Overall Statistics Total Trades 71 Average Win 1.35% Average Loss -1.13% Compounding Annual Return -0.131% Drawdown 9.100% Expectancy -0.007 Net Profit -0.796% Sharpe Ratio -0.002 Loss Rate 55% Win Rate 45% Profit-Loss Ratio 1.20 Alpha -0.003 Beta -0.182 Annual Standard Deviation 0.044 Annual Variance 0.002 Information Ratio 0.14 Tracking Error 0.094 Treynor Ratio 0.001 Total Fees \$0.00
```from datetime import datetime
import decimal
import numpy as np

class DynamicBreakoutAlgorithm(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2010,1,15)
self.SetEndDate(2016,2,15)
self.SetCash(100000)
fx = self.AddForex("GBPUSD", Resolution.Hour, Market.Oanda)
self.syl = fx.Symbol
self.Schedule.On(self.DateRules.EveryDay(self.syl), self.TimeRules.BeforeMarketClose(self.syl,1),Action(self.SetSignal))
self.numdays = 20
self.ceiling,self.floor = 60,20
self.buypoint, self.sellpoint= None, None
self.longLiqPoint, self.shortLiqPoint, self.yesterdayclose= None, None, None
self.SetBenchmark(self.syl)
self.Bolband = self.BB(self.syl, self.numdays, 2, MovingAverageType.Simple, Resolution.Daily)

def SetSignal(self):

close = self.History(self.syl, 31, Resolution.Daily)['close']
todayvol = np.std(close[1:31])
yesterdayvol = np.std(close[0:30])
deltavol = (todayvol - yesterdayvol) / todayvol
self.numdays = int(round(self.numdays * (1 + deltavol)))

if self.numdays > self.ceiling:
self.numdays = self.ceiling
elif self.numdays < self.floor:
self.numdays = self.floor

self.high = self.History(self.syl, self.numdays, Resolution.Daily)['high']
self.low = self.History(self.syl, self.numdays, Resolution.Daily)['low']

self.sellpoint = min(self.low)
historyclose = self.History(self.syl, self.numdays, Resolution.Daily)['close']
self.longLiqPoint = np.mean(historyclose)
self.shortLiqPoint = np.mean(historyclose)
self.yesterdayclose = historyclose.iloc[-1]

# wait for our BollingerBand to fully initialize
if not self.Bolband.IsReady: return

holdings = self.Portfolio[self.syl].Quantity

if self.yesterdayclose > self.Bolband.UpperBand.Current.Value and self.Portfolio[self.syl].Price >= self.buypoint:
self.SetHoldings(self.syl, 1)
elif self.yesterdayclose < self.Bolband.LowerBand.Current.Value and self.Portfolio[self.syl].Price <= self.sellpoint:
self.SetHoldings(self.syl, -1)

if holdings > 0 and self.Portfolio[self.syl].Price <= self.shortLiqPoint:
self.Liquidate(self.syl)
elif holdings < 0 and self.Portfolio[self.syl].Price >= self.shortLiqPoint:
self.Liquidate(self.syl)

self.Log(str(self.yesterdayclose)+(" # of days ")+(str(self.numdays)))

def OnData(self,data):
pass                        ```