Can I use Opening Range Breakout on XAUUSD?

Yes, you can modify the opening range breakout strategy to work with XAUUSD. You would need to replace the equity with the Forex symbol in the AddForex method. Here is an example of how you can do it:

class OpeningRangeBreakout(QCAlgorithm):  
    openingBar = None  

    def Initialize(self):  
        self.SetStartDate(2018, 7, 10)    
        self.SetEndDate(2019, 6, 30)    
        self.SetCash(100000)  
        self.AddForex("XAUUSD", Resolution.Minute)  
        self.Consolidate("XAUUSD", timedelta(minutes=30), self.OnDataConsolidated)  

    def OnData(self, data):  
        if self.Portfolio.Invested or self.openingBar is None:  
            return  
        if data["XAUUSD"].Close > self.openingBar.High:  
            self.SetHoldings("XAUUSD", 1)  
        elif data["XAUUSD"].Close < self.openingBar.Low:  
            self.SetHoldings("XAUUSD", -1)  

    def OnDataConsolidated(self, bar):  
        if bar.Time.hour == 9 and bar.Time.minute == 30:  
            self.openingBar = bar

This code will create an opening range breakout strategy for XAUUSD. The strategy will go long when the close price is above the high price of the opening range, and go short when the close price is below the low price of the opening range.

Please note that you might need to adjust the time of the opening range depending on the Forex market hours.

Source: QuantConnect Forum Discussion

Thank you for your help, however when i run the back test. Still no trades are being made.

How do I adjust that?

There could be several reasons why no trades are being made during your backtest. Here are a few things you could check:

1. Data Availability: Ensure that the data for the symbol "XAUUSD" is available for the date range you have set in your backtest. If you're backtesting locally, you might not have the data available by default. As mentioned in one of the forum discussions, the data is only available for free in the cloud.

2. Market Hours: Forex trades 24/5, not 24/7. So, you need to make sure the algorithm is set to execute trades within the market hours.

3. Conditions for Trades: Check the conditions you've set for making trades. If the conditions are too strict or not possible, trades might not be executed. For example, in the code snippet provided, trades are executed when the close price is above the high price or below the low price of the opening range. If these conditions are not met, no trades will be executed.

4. Resolution: The resolution of your data might also affect your trades. If the resolution is too low (e.g., daily), the algorithm might not have enough data points to execute trades.

If you've checked all these points and still see no trades, it might be helpful to add some logging to your algorithm to understand what's happening at each step. You can use the self.Debug function to log information during the backtest.

If you're still having issues, please share the relevant parts of your code or error messages, and I'll be happy to help you troubleshoot further.

My back test is still not running, could you please take a look at my code and try to find my issue as to why the back test will not run.?

class OpeningRangeBreakout(QCAlgorithm):  
    openingBar = None  
    def Initialize(self):  
        self.SetStartDate(2023, 1, 1)    
        self.SetEndDate(2024, 1, 1)    
        self.SetCash(100000)  
        self.AddForex("XAUUSD", Resolution.Minute)  
        self.Consolidate("XAUUSD", timedelta(minutes=30), self.OnDataConsolidated)  
    def OnData(self, data):  
        if self.Portfolio.Invested or self.openingBar is None:  
            return  
        if data["XAUUSD"].Close > self.openingBar.High:  
            self.SetHoldings("XAUUSD", 1)  
        elif data["XAUUSD"].Close < self.openingBar.Low:  
            self.SetHoldings("XAUUSD", -1)  
    def OnDataConsolidated(self, bar):  
        if bar.Time.hour == 9 and bar.Time.minute == 30:  
            self.openingBar = bar

The issue with your backtest might be related to the date range you've set. You've set the start date as 2023 and the end date as 2024. As of now, QuantConnect might not have data available for this future date range.

Try changing the start and end dates to a range in the past for which data is available. For example:

self.SetStartDate(2018, 1, 1)    
self.SetEndDate(2019, 1, 1)

Another potential issue could be the time you've set for the opening bar. The Forex market operates 24 hours a day from 5 p.m. ET on Sunday to 5 p.m. ET on Friday. You've set the opening bar to be at 9:30, which might not be an appropriate time for the Forex market. You might want to adjust this based on the specific characteristics of the Forex pair you're trading.

Lastly, ensure that the conditions for making trades are being met during your backtest. If the close price never goes above the high or below the low of the opening range, no trades will be executed. You might want to adjust these conditions or add some logging to your algorithm to understand what's happening at each step.

If you're still having issues, please share any error messages you're seeing during the backtest, and I'll be happy to help you troubleshoot further.

That also did not yield to any results on the back test

class OpeningRangeBreakout(QCAlgorithm):  
    openingBar = None  
    def Initialize(self):  
        self.SetStartDate(2018, 1, 1)    
        self.SetEndDate(2019, 1, 1)    
        self.SetCash(100000)  
        self.AddForex("XAUUSD", Resolution.Minute)  
        self.Consolidate("XAUUSD", timedelta(minutes=30), self.OnDataConsolidated)  
    def OnData(self, data):  
        if self.Portfolio.Invested or self.openingBar is None:  
            return  
        if data["XAUUSD"].Close > self.openingBar.High:  
            self.SetHoldings("XAUUSD", 1)  
        elif data["XAUUSD"].Close < self.openingBar.Low:  
            self.SetHoldings("XAUUSD", -1)  
    def OnDataConsolidated(self, bar):  
        if bar.Time.hour == 9 and bar.Time.minute == 30:  
            self.openingBar = bar

The issue might be related to the time you've set for the opening bar. The Forex market operates 24 hours a day from 5 p.m. ET on Sunday to 5 p.m. ET on Friday. You've set the opening bar to be at 9:30, which might not be an appropriate time for the Forex market.

In Forex trading, the "opening" time often refers to the start of the new trading day in the trader's time zone, which is typically the open of the Asian trading session (0:00 GMT). You might want to adjust this based on the specific characteristics of the Forex pair you're trading.

Here's how you can adjust the time for the opening bar:

def OnDataConsolidated(self, bar):  
    if bar.Time.hour == 0 and bar.Time.minute == 0:  
        self.openingBar = bar

Also, it's important to note that the Forex data in QuantConnect is quoted in Eastern Time (the same as New York Stock Exchange), so you might need to adjust the time accordingly if you're considering a different time zone.

If you're still having issues, please share any error messages you're seeing during the backtest, and I'll be happy to help you troubleshoot further.

That still did not work. 

class OpeningRangeBreakout(QCAlgorithm):  
    openingBar = None  
    def Initialize(self):  
        self.SetStartDate(2018, 1, 1)    
        self.SetEndDate(2019, 1, 1)    
        self.SetCash(100000)  
        self.AddForex("XAUUSD", Resolution.Minute)  
        self.Consolidate("XAUUSD", timedelta(minutes=30), self.OnDataConsolidated)  
    def OnData(self, data):  
        if self.Portfolio.Invested or self.openingBar is None:  
            return  
        if data["XAUUSD"].Close > self.openingBar.High:  
            self.SetHoldings("XAUUSD", 1)  
        elif data["XAUUSD"].Close < self.openingBar.Low:  
            self.SetHoldings("XAUUSD", -1)  
    def OnDataConsolidated(self, bar):  
        if bar.Time.hour == 0 and bar.Time.minute == 0:  
            self.openingBar = bar

The issue might be related to the way you're setting the openingBar. In your OnDataConsolidated method, you're setting the openingBar only once at the start of the trading day (0:00). However, you're using a 30-minute bar for consolidation, which means a new bar is generated every 30 minutes.

If you want to capture the first 30-minute bar of each day as the openingBar, you should add a condition to reset the openingBar at the end of each day. Here's how you can do it:

def OnDataConsolidated(self, bar):  
    if bar.Time.hour == 0 and bar.Time.minute == 0:  
        self.openingBar = bar
    elif bar.Time.hour == 23 and bar.Time.minute == 30:
        self.openingBar = None

This way, the openingBar is reset at the end of each day (23:30), and the first 30-minute bar of the next day (0:00) is captured as the new openingBar.

If you're still having issues, please share any error messages you're seeing during the backtest, and I'll be happy to help you troubleshoot further.

That did not work to produce a back test

class OpeningRangeBreakout(QCAlgorithm):  
    openingBar = None  
    def Initialize(self):  
        self.SetStartDate(2018, 1, 1)    
        self.SetEndDate(2019, 1, 1)    
        self.SetCash(100000)  
        self.AddForex("XAUUSD", Resolution.Minute)  
        self.Consolidate("XAUUSD", timedelta(minutes=30), self.OnDataConsolidated)  
    def OnData(self, data):  
        if self.Portfolio.Invested or self.openingBar is None:  
            return  
        if data["XAUUSD"].Close > self.openingBar.High:  
            self.SetHoldings("XAUUSD", 1)  
        elif data["XAUUSD"].Close < self.openingBar.Low:  
            self.SetHoldings("XAUUSD", -1)  
    def OnDataConsolidated(self, bar):  
        if bar.Time.hour == 0 and bar.Time.minute == 0:  
            self.openingBar = bar
        elif bar.Time.hour == 23 and bar.Time.minute == 30:
            self.openingBar = None

I'm sorry to hear that you're still having issues with your backtest. Let's try a different approach.

The issue might be related to the way you're handling the consolidated data. In your current setup, you're consolidating the data into 30-minute bars and then checking if the current time is 0:00 or 23:30. However, this might not work as expected because the consolidated bar's time is the beginning of the bar. So, a bar consolidated at 0:00 will contain data from 0:00 to 0:30, and a bar consolidated at 23:30 will contain data from 23:30 of the previous day to 0:00 of the current day.

Instead, you can create a daily consolidated bar and use it to determine the opening range. Here's how you can do it:

class OpeningRangeBreakout(QCAlgorithm):  
    openingRange = None  

    def Initialize(self):  
        self.SetStartDate(2018, 1, 1)    
        self.SetEndDate(2019, 1, 1)    
        self.SetCash(100000)  
        self.AddForex("XAUUSD", Resolution.Minute)  
        self.Consolidate("XAUUSD", timedelta(days=1), self.OnDataConsolidated)  

    def OnData(self, data):  
        if self.Portfolio.Invested or self.openingRange is None:  
            return  
        if data["XAUUSD"].Close > self.openingRange.High:  
            self.SetHoldings("XAUUSD", 1)  
        elif data["XAUUSD"].Close < self.openingRange.Low:  
            self.SetHoldings("XAUUSD", -1)  

    def OnDataConsolidated(self, bar):  
        self.openingRange = bar

In this setup, the OnDataConsolidated method is called at the end of each trading day, and the openingRange is set to the daily bar. Then, in the OnData method, you're comparing the current price with the high and low of the openingRange.

Please note that this is a simplified version of the opening range breakout strategy. In a real-world scenario, you might want to consider other factors such as the size of the opening range, the volume, and the volatility.

If you're still having issues, please share any error messages you're seeing during the backtest, and I'll be happy to help you troubleshoot further.