Overall Statistics
Total Trades
21
Average Win
3.04%
Average Loss
-1.44%
Compounding Annual Return
0.041%
Drawdown
12.800%
Expectancy
-0.065
Net Profit
0.131%
Sharpe Ratio
0.037
Loss Rate
70%
Win Rate
30%
Profit-Loss Ratio
2.12
Alpha
0.126
Beta
-7.731
Annual Standard Deviation
0.063
Annual Variance
0.004
Information Ratio
-0.217
Tracking Error
0.063
Treynor Ratio
0
Total Fees
$0.00
 
import numpy as np

### <summary>
### Basic template algorithm simply initializes the date range and cash. This is a skeleton
### framework you can use for designing an algorithm.
### </summary>
class BasicTemplateAlgorithm(QCAlgorithm):
    '''Basic template algorithm simply initializes the date range and cash'''

    def Initialize(self):
        self.SetStartDate(2015,1, 1)  #Set Start Date
        self.SetEndDate(2017,12,31)    #Set End Date
        self.SetCash(1000)           #Set Strategy Cash
        self.AddForex("EURUSD", Resolution.Daily, Market.Oanda)
        self.SetBrokerageModel(BrokerageName.OandaBrokerage)
        self.sma_20 = self.SMA("EURUSD", 20, Resolution.Daily)
        self.sma_50 = self.SMA("EURUSD", 50, Resolution.Daily)
        self.SetWarmUp(50)
        
    def OnData(self, data):
        if self.Portfolio["EURUSD"].Invested==False and self.sma_20.Current.Value > self.sma_50.Current.Value:
            self.MarketOrder("EURUSD", 1000)
            
        if self.sma_50.Current.Value > self.sma_20.Current.Value:
            self.Liquidate()