Overall Statistics |
Total Trades 1674 Average Win 1.34% Average Loss -1.22% Compounding Annual Return -11.789% Drawdown 49.300% Expectancy -0.013 Net Profit -28.464% Sharpe Ratio -0.386 Loss Rate 53% Win Rate 47% Profit-Loss Ratio 1.11 Alpha -0.082 Beta -1.076 Annual Standard Deviation 0.206 Annual Variance 0.043 Information Ratio -0.3 Tracking Error 0.259 Treynor Ratio 0.074 Total Fees $0.00 |
using NodaTime; namespace QuantConnect { public class DateTimeEffectAlgo : QCAlgorithm { /* +-------------------------------------------------+ * |Algorithm Control Panel | * +-------------------------------------------------+*/ private readonly string[] _pairs = {"EURUSD", "USDJPY"}; private readonly decimal _leverage = 10m; private readonly decimal _exposure = 1m; /* +-------------------------------------------------+*/ private decimal _shareByPair; private readonly List<Symbol> _symbols = new List<Symbol>(); public override void Initialize() { SetStartDate(year: 2015, month: 01, day: 01); //Set Start Date SetEndDate(year: 2017, month: 09, day: 01); //Set End Date SetCash(startingCash: 25000); //Set Strategy Cash SetBrokerageModel(BrokerageName.OandaBrokerage); _shareByPair = (_leverage *_exposure ) / _pairs.Length; // Find more symbols here: http://quantconnect.com/data foreach (var pair in _pairs) { _symbols.Add(AddForex(pair, Resolution.Minute, "OANDA", leverage: _leverage).Symbol); if (pair == "EURUSD") { SetBenchmark(_symbols.Last()); } } Schedule.On(DateRules.Every(DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday), TimeRules.At(hour: 9, minute: 15, timeZone: DateTimeZone.Utc), () => { foreach (var symbol in _symbols) { SetHoldings(symbol, -_shareByPair); } }); Schedule.On(DateRules.EveryDay(), TimeRules.At(14, 15, DateTimeZone.Utc), () => { foreach (var symbol in _symbols) { if (Portfolio[symbol].IsShort) { Liquidate(symbol); } } }); } } }