Overall Statistics
Total Trades
9079
Average Win
0.03%
Average Loss
-0.02%
Compounding Annual Return
2.288%
Drawdown
13.800%
Expectancy
0.113
Net Profit
11.989%
Sharpe Ratio
0.296
Probabilistic Sharpe Ratio
3.651%
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
1.23
Alpha
0.032
Beta
-0.097
Annual Standard Deviation
0.071
Annual Variance
0.005
Information Ratio
-0.439
Tracking Error
0.202
Treynor Ratio
-0.216
Total Fees
$3525.59
namespace QuantConnect.Algorithm.Framework.Selection {
    public class G10CurrencySelectionModel : ManualUniverseSelectionModel
    {
        
        public G10CurrencySelectionModel() :
            base(new[]
            {
            	"EURUSD", 
            	"GBPUSD", 
            	"USDJPY", 
            	"AUDUSD", 
            	"NZDUSD",
            	"USDCAD", 
            	"USDCHF", 
            	"USDNOK", 
            	"USDSEK"
            }.Select(x => Symbol.Create(x,SecurityType.Forex, Market.Oanda))){
            }
    }
	
}
namespace QuantConnect.Algorithm.CSharp
{
    public class QuantumHorizontalContainmentField : QCAlgorithm
    {

        public override void Initialize()
        {
            // Set Start Date so that backtest has 5+ years of data
            SetStartDate(2015, 8, 4);

            // No need to set End Date as the final submission will be tested
            // up until the review date

            // Set $1m Strategy Cash to trade significant AUM
            SetCash(1000000);

            // Add a relevant benchmark, with the default being SPY
            AddEquity("SPY");
            SetBenchmark("SPY");

            // Use the Alpha Streams Brokerage Model, developed in conjunction with
            // funds to model their actual fees, costs, etc.
            // Please do not add any additional reality modelling, such as Slippage, Fees, Buying Power, etc.
            SetBrokerageModel(new AlphaStreamsBrokerageModel());

			AddAlpha(new MacdAlphaModel(12, 26, 9, MovingAverageType.Exponential, Resolution.Daily));

			SetExecution(new StandardDeviationExecutionModel(1, 2, Resolution.Daily));

			SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());

			SetRiskManagement(new TrailingStopRiskManagementModel(0.03m));

			AddUniverseSelection(new G10CurrencySelectionModel());

        }

        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// Slice object keyed by symbol containing the stock data
        public override void OnData(Slice data)
        {
            // if (!Portfolio.Invested)
            // {
            //    SetHoldings("SPY", 1);
            //    Debug("Purchased Stock");
            // }
        }

    }
}