Overall Statistics
Total Trades
7
Average Win
0%
Average Loss
0%
Compounding Annual Return
-3.860%
Drawdown
0.100%
Expectancy
0
Net Profit
-0.075%
Sharpe Ratio
-8.97
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.016
Beta
-0.787
Annual Standard Deviation
0.003
Annual Variance
0
Information Ratio
-13.072
Tracking Error
0.003
Treynor Ratio
0.035
Total Fees
$35.00
 
class QuantumMultidimensionalCoreWave(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 11, 7)  # Set Start Date
        self.SetEndDate(2018,11,13) # Set End Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddForex("EURUSD", Resolution.Daily, Market.FXCM)
        self.Securities["EURUSD"].SetFeeModel(CustomFeeModel())

    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''

        # if not self.Portfolio.Invested:
        self.Buy("EURUSD", 1000)
        
    def OnOrderEvent(self, orderEvent):
        self.Log(orderEvent)
        self.Log("fee: "+str(orderEvent.OrderFee.Value.Amount))

class CustomFeeModel(FeeModel):
    def GetOrderFee(self, parameters):
        # custom fee math
        fee = max(1, parameters.Order.AbsoluteQuantity
                  * 0.005)
        return OrderFee(CashAmount(fee, "USD"))