Rengo Trend Following Strategy with Crypto

Hi Leonardo,

Great start to using Python and QC! Here are a few things to consider:

• The algorithm currently makes a History call everytime OnData is executed. This can be made more efficient by employing a RollingWindow with a warm up period. Our documentation and Fading The Gap Bootcamp lesson explain these very well.
• Move the definition of `evaluate_renko` outside OnData to speed up execution. Also, remove the `self` keyword inside `evaluate_ranko` as it is unnecessary.
• To calculate the IQR correctly, we need to find the percentile between 25% and 75%, not 50% and 80%.
• `__get_optimal_brick_size` is never called, thus the brick size is static instead of being a function of the trailing ATR as the strategy blog post explains.
• Adjust the algorithm's infrastructure to adhere to the Algorithm Framework. We have thorough documentation and a great Bootcamp lesson that explain how this can be done. With it, we can move all of the strategy logic outside of OnData and into an alpha model. Additionally, we can replace `LiquidateUnrealizedLosses` with a risk management module like the Maximum Drawdown Percent Per Security module.

Best,
Derek Melchin