Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-78.618%
Drawdown
5.700%
Expectancy
0
Net Profit
-1.988%
Sharpe Ratio
-2.943
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.154
Beta
-101.417
Annual Standard Deviation
0.328
Annual Variance
0.108
Information Ratio
-2.976
Tracking Error
0.328
Treynor Ratio
0.01
Total Fees
$0.00
 
import numpy as np
from decimal import Decimal
from datetime import timedelta

class VWAP(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2013, 10, 7)  
        self.SetEndDate(2013, 10, 12)    
        self.SetCash(1000)           
        security = self.AddForex("EURUSD", Resolution.Minute)
        self.vwap = VolumeWeightedAveragePriceIndicator("EURUSD", 5)
        hourlyConsolidator = QuoteBarConsolidator(timedelta(hours=1))
        hourlyConsolidator.DataConsolidated += self.HourlyBarHandler
        self.SubscriptionManager.AddConsolidator("EURUSD", hourlyConsolidator)

    def OnData(self, data):

        if not self.Portfolio.Invested and self.vwap.IsReady:
            self.Debug(str(self.vwap.Current.Value))
            self.MarketOrder("EURUSD", 5000)

    def HourlyBarHandler(self, sender, bar):
        # TradeBar( DateTime time, Symbol symbol, decimal open, decimal high, decimal low, decimal close, decimal volume)
        # assume the volume is 100
        tradeBar = TradeBar(bar.EndTime, bar.Symbol, bar.Open, bar.High, bar.Low, bar.Close, 100)
        self.vwap.Update(tradeBar)