Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -28.943% Drawdown 0.400% Expectancy 0 Net Profit -0.280% Sharpe Ratio -6.917 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.191 Beta -30.922 Annual Standard Deviation 0.034 Annual Variance 0.001 Information Ratio -7.177 Tracking Error 0.035 Treynor Ratio 0.008 Total Fees $0.00 |
using System.Collections.Generic; using QuantConnect.Data; namespace QuantConnect.Algorithm.CSharp { public class BasicTemplateForexAlgorithm : QCAlgorithm { private RollingWindow<Tick> tickWindow; public override void Initialize() { SetStartDate(2018, 1, 1); //Set Start Date SetEndDate(2018, 1, 3); //Set End Date SetCash(100000); //Set Strategy Cash AddForex("EURUSD", Resolution.Tick); tickWindow = new RollingWindow<Tick>(2); } public override void OnData(Slice data) { foreach (var i in data["EURUSD"]){ tickWindow.Add(i); } Log(tickWindow[0].AskPrice); if (!tickWindow.IsReady) return; var currentTick = tickWindow[0].AskPrice; var lastTick = tickWindow[1].AskPrice; if (currentTick > lastTick) { Debug(currentTick + " > " + lastTick); } else { Debug(currentTick + " < " + lastTick); } if (!Portfolio.Invested) { SetHoldings("EURUSD", 1); Debug("Purchased Stock"); } } } }