Overall Statistics Total Trades 19 Average Win 21.20% Average Loss -6.70% Compounding Annual Return 44.445% Drawdown 36.000% Expectancy 0.388 Net Profit 44.736% Sharpe Ratio 0.783 Loss Rate 67% Win Rate 33% Profit-Loss Ratio 3.16 Alpha 0.32 Beta 0.501 Annual Standard Deviation 0.453 Annual Variance 0.206 Information Ratio 0.63 Tracking Error 0.453 Treynor Ratio 0.708 Total Fees \$0.00
```using System;
using System.Linq;
using QuantConnect.Indicators;
using QuantConnect.Models;

namespace QuantConnect.Algorithm.Examples
{
/// <summary>
///
/// QuantConnect University: EMA + SMA Cross
///
/// In this example we look at the canonical 15/30 day moving average cross. This algorithm
/// will go long when the 15 crosses above the 30 and will liquidate when the 15 crosses
/// back below the 30.
/// </summary>
public class QCUMovingAverageCross : QCAlgorithm
{
private const string Symbol = "XAUUSD";

private ExponentialMovingAverage fast;
private ExponentialMovingAverage slow;

public override void Initialize()
{
// set up our analysis span
SetStartDate(2016, 01, 01);
SetEndDate(2017, 01, 01);
SetCash(5000);

SetBrokerageModel(BrokerageName.OandaBrokerage);

// request SPY data with minute resolution

// create a 15 day exponential moving average
fast = EMA(Symbol, 12, Resolution.Daily);

// create a 30 day exponential moving average
slow = EMA(Symbol, 26, Resolution.Daily);

}

private DateTime previous;
public void OnData(QuoteBars data)
{
// a couple things to notice in this method:
//  1. We never need to 'update' our indicators with the data, the engine takes care of this for us
//  2. We can use indicators directly in math expressions
//  3. We can easily plot many indicators at the same time

// wait for our slow ema to fully initialize

// only once per day
if (previous.Date == data.Time.Date) return;

// define a small tolerance on our checks to avoid bouncing
const decimal tolerance = 0.00015m;
var holdings = Portfolio[Symbol].Quantity;

// we only want to go long if we're currently short or flat
if (holdings <= 0)
{
// if the fast is greater than the slow, we'll go long
if (fast > slow )
{
// Liquidate(Symbol);
// Log("BUY  >> " + Securities[Symbol].Price);
// SetHoldings(Symbol, 100);
MarketOrder(Symbol, 20, false,  "buy 100 EURUSD");

}

}

if (holdings >= 0)
{
// if the fast is greater than the slow, we'll go long
if (fast < slow )
{
// Liquidate(Symbol);
//    Log("SELL  >> " + Securities[Symbol].Price);
MarketOrder(Symbol,-20, false,  "sell 100 EURUSD");

}

}

// we only want to liquidate if we're currently long
// if the fast is less than the slow we'll liquidate our long

previous = data.Time;
}
}
}                        ```