Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-30.906%
Drawdown
44.900%
Expectancy
0
Start Equity
1000000.00
End Equity
689687.20
Net Profit
-31.031%
Sharpe Ratio
-0.593
Sortino Ratio
-0.752
Probabilistic Sharpe Ratio
2.806%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.186
Beta
0.371
Annual Standard Deviation
0.342
Annual Variance
0.117
Information Ratio
-0.449
Tracking Error
0.349
Treynor Ratio
-0.546
Total Fees
$0.00
Estimated Strategy Capacity
$88000.00
Lowest Capacity Asset
EURUSD 8G
Portfolio Turnover
1.36%
 
# region imports
from AlgorithmImports import *
# endregion

class ForexDemoAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2018, 1, 1) 
        self.set_end_date(2019, 1, 1)
        self.set_cash(1000000)

        self.symbol = self.add_forex("EURUSD", Resolution.DAILY).symbol

    def on_data(self, slice: Slice) -> None:
        if self.portfolio.invested:
            return        
        self.set_holdings(self.symbol, 5.0) # 500%