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()