Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-38.806%
Drawdown
1.700%
Expectancy
0
Net Profit
-0.365%
Sharpe Ratio
0.097
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.162
Beta
-0.703
Annual Standard Deviation
0.135
Annual Variance
0.018
Information Ratio
0.801
Tracking Error
0.327
Treynor Ratio
-0.019
Total Fees
$0.00
 
class ModulatedCalibratedProcessor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 11, 10)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        self.symbol = self.AddCfd("XAUUSD", Resolution.Minute, Market.Oanda).Symbol
        self.max = Maximum(60)
        

    def OnData(self, data):
        if not data.ContainsKey(self.symbol) or data[self.symbol] is None:
            return
        
        if self.max.IsReady:
            if data[self.symbol].Close > self.max.Current.Value:
                self.SetHoldings(self.symbol, 1)
                
            self.Plot("Custom", "Max", self.max.Current.Value)
            self.Plot("Custom", "Close", data[self.symbol].Close)
        
        self.max.Update(data.Time, data[self.symbol].High)