Overall Statistics
Total Trades
30
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$400000.00
 
class BasicTemplateAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2017, 7, 17)
        self.SetEndDate(2017, 7, 17)
        self.SetCash(100000)
        
        self.resolution = Resolution.Minute
        self.pair = self.AddForex("AUDUSD").Symbol

    def OnData(self, data):
        security = self.Securities[self.pair]
        invested = security.Invested
        
#        if not invested: 
        price = data[self.pair].Close

        weight = 1
        direction = 1
        quantity = int(self.CalculateOrderQuantity(self.pair, weight))
        self.Buy(self.pair, quantity)
        self.Debug("MarketOrder: " + str(quantity))

        price = self.Securities[self.pair].Close
        onePercent = 0.001
        
#                inc = security.PriceVariationModel.GetMinimumPriceVariation(security)
        inc = 0.0001
        priceProfit = Math.Round(price * (1 + direction * onePercent) / inc) * inc
        priceLoss = Math.Round(price * (1 - direction * onePercent) / inc) * inc

        # take profit
        self.LimitOrder(self.pair, -quantity, priceProfit)
        self.Debug("LimitOrder: " + str(-quantity) + ", " + str(priceProfit))
        
        # stop loss
        self.StopMarketOrder(self.pair, -quantity, priceLoss)
        self.Debug("StopMarketOrder: " + str(-quantity) + ", " + str(priceLoss))

    def OnOrderEvent(self, orderEvent):
        order = self.Transactions.GetOrderById(orderEvent.OrderId)
        
        self.Debug(str(order))

        if order.Status == OrderStatus.Filled:
            if order.Type == OrderType.Limit or order.Type == OrderType.StopMarket:
                self.Transactions.CancelOpenOrders(order.Symbol)