Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
8.386%
Drawdown
1.600%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0.942
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.013
Beta
0.229
Annual Standard Deviation
0.062
Annual Variance
0.004
Information Ratio
-2.013
Tracking Error
0.069
Treynor Ratio
0.253
Total Fees
$2.00
 
namespace QuantConnect 
{   
    public class TEMAWindow : QCAlgorithm
    {
    	private RollingWindow<TEMAState> _win;
        private TripleExponentialMovingAverage _tema;
        
        public override void Initialize() 
        {
	        SetStartDate(2017, 1, 1);  
            AddSecurity(SecurityType.Forex,"EURUSD", Resolution.Hour);
            
			_win = new RollingWindow<TEMAState>(2);
            _tema = TEMA("EURUSD", 17);
        }
		
		public void OnData(TradeBars data)
        {
        	if (_tema.IsReady) _win.Add(new TEMAState(_tema));
        	if (!_win.IsReady) return;
        	
        	if(!Portfolio.Invested) SetHoldings("EURUSD", 1);
        	
        	Plot("TEMA", "Current", _win[0].Value);
        	Plot("TEMA", "Previous", _win[1].Value);
        }
    }
    
    public class TEMAState
    {
    	public readonly decimal Value;
        public TEMAState(TripleExponentialMovingAverage tema)
        {
           	Value = tema.Current;
        }
    }
}