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Really cool!  This would seem like doing the same thing as something like this correct?
 

# region imports

from AlgorithmImports import *

# endregion



class DonchianChannelBreakoutAlgorithm(QCAlgorithm):



    def Initialize(self):

        self.SetStartDate(2020, 1, 1)

        self.SetEndDate(2022, 8, 1)

        self.SetCash(100000)

        self.symbol = self.AddEquity("XOM", Resolution.Daily).Symbol

        self.EnableAutomaticIndicatorWarmUp = True

		self.high = self.MAX(self.symbol, 20, Resolution.Daily, Field.High)

		self.low = self.MIN(self.symbol, 20, Resolution.Daily, Field.Low)

		

	def OnData(self, data: Slice):

        if self.symbol not in data.Bars:

            return

        bar = data.Bars[self.symbol]



        if bar.Close > self.high and not self.Portfolio[self.symbol].IsLong:

            self.SetHoldings(self.symbol, 1)

        elif bar.Close < self.low:

            if self.can_short and not self.Portfolio[self.symbol].IsShort:

                self.SetHoldings(self.symbol, -1)

            if not self.can_short and self.Portfolio[self.symbol].IsLong:

                self.SetHoldings(self.symbol, 0)

Hi Axist,

Very close! If we wanted to use Min/Max indicators, we would need to add a delay period via indicator extensions.

self.high = IndicatorExtensions.Of(Delay(1), self.MAX(self.symbol, 20, Resolution.Daily, Field.High))

self.low = IndicatorExtensions.Of(Delay(1), self.MIN(self.symbol, 20, Resolution.Daily, Field.Low))

Otherwise, 

bar.Close > self.high.Current.Value

and

bar.Close < self.low.Current.Value

would always be false. The Donchian Channel indicator has this delay built-in.

See the attached backtest for reference.

Best,
Derek Melchin

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