Overall Statistics
Total Trades
2097
Average Win
0.84%
Average Loss
-0.70%
Compounding Annual Return
18.734%
Drawdown
11.900%
Expectancy
0.167
Net Profit
219.027%
Sharpe Ratio
1.121
Loss Rate
47%
Win Rate
53%
Profit-Loss Ratio
1.20
Alpha
0.127
Beta
-0.014
Annual Standard Deviation
0.112
Annual Variance
0.013
Information Ratio
0.286
Tracking Error
0.166
Treynor Ratio
-9.182
Total Fees
$0.00
 
namespace QuantConnect 
{  
    public class BasicTemplateAlgorithm : QCAlgorithm
    {
    	public string symbol = "EURUSD";
    	
        public override void Initialize() 
        {
            SetStartDate(2011, 1, 1);         
            SetEndDate(DateTime.Now);
            SetCash(2500);

            AddSecurity(SecurityType.Forex, symbol, Resolution.Hour);
        }

        public void OnData(QuoteBars data) 
        {
        	Schedule.On(DateRules.Every(DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday), TimeRules.At(05, 00), () => 
            {
                SetHoldings(symbol, -5, false, "Short " + symbol + " at 5am");
            });
            
            Schedule.On(DateRules.Every(DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday), TimeRules.At(08, 00), () => 
            {
                SetHoldings(symbol, 0, false, "Cover " + symbol + " at 8am");
            });
        }
    }
}