Overall Statistics
Total Trades
32175
Average Win
0.04%
Average Loss
-0.06%
Compounding Annual Return
816.692%
Drawdown
2.900%
Expectancy
0.096
Net Profit
316.298%
Sharpe Ratio
10.604
Loss Rate
31%
Win Rate
69%
Profit-Loss Ratio
0.59
Alpha
1.543
Beta
0.1
Annual Standard Deviation
0.146
Annual Variance
0.021
Information Ratio
8.057
Tracking Error
0.182
Treynor Ratio
15.51
Total Fees
$0.00
using Accord.Extensions;
using QuantConnect.Data.Market;

namespace QuantConnect.Indicators
{
    public class WilliamsFractals : TradeBarIndicator
    {
        private readonly RollingWindow<TradeBar> _fractal;
        private readonly int _fractalMidIndex;

        private decimal _barryUp;
        private decimal _barryDown;

        public decimal BarryUp => _barryUp;
        public decimal BarryDown => _barryDown;
        public decimal MidPoint => (_barryUp - _barryDown) / 2m;

        public override bool IsReady => _fractal.IsReady;

        public WilliamsFractals(int fractalLength = 5) : this("WilliamsFractals" + fractalLength, fractalLength)
        {
        }

        public WilliamsFractals(string name, int fractalLength = 5) : base(name)
        {
            _fractal = new RollingWindow<TradeBar>(fractalLength);
            _fractalMidIndex = fractalLength / 2 - (fractalLength % 2 == 0 ? 1 : 0);
        }

        protected override decimal ComputeNextValue(TradeBar input)
        {
            _fractal.Add(input);

            if (!_fractal.IsReady) return MidPoint;

            if (_fractal.IndexOfMax((bar, index) => bar.High) == _fractalMidIndex)
            {
                _barryUp = input.High;
            }

            if (_fractal.IndexOfMin((bar, index) => bar.Low) == _fractalMidIndex)
            {
                _barryDown = input.Low;
            }

            return MidPoint;
        }
    }
}
namespace QuantConnect.CSharp.Algorithms
{   
    public class ScalpingAlgorithm : QCAlgorithm
    {
    	private WilliamsFractals _wf;
    	
    	private string symbol = "NZDCHF";
    	
        public override void Initialize() 
        {
            SetStartDate(2016, 1, 1);         
            SetEndDate(DateTime.Now);
            
            SetCash(3000);
            
            AddSecurity(SecurityType.Forex, symbol, Resolution.Minute);
            
            Securities[symbol].FeeModel = new ConstantFeeModel(0.0m);
            
            _wf = new WilliamsFractals();
        }

        public void OnData(TradeBars data) 
        {   
        	_wf.Update(data[symbol]);
        	
            if (_wf.IsReady)
            {
				if (data[symbol].Price >= _wf.BarryUp)
				{
					SetHoldings(symbol, -1.0m);
				}
				else if (data[symbol].Price <= _wf.BarryDown)
				{
					SetHoldings(symbol, 1.0m);
				}
            }
        }
    }
}