Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-9.725
Tracking Error
0.027
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
 
import datetime
TF = 15
class Consol(QCAlgorithm):
    sym = "SPY"
    def Initialize(self):
        self.SetStartDate(2020, 12, 1)
        self.SetEndDate(2020, 12, 3)
        self.SetCash(100000)

        spy = self.AddEquity(self.sym, Resolution.Minute)

        self.sma05_hi = self.SMA(self.sym,  5*TF, Resolution.Minute,  Field.High)
        self.sma05_lo = self.SMA(self.sym,  5*TF, Resolution.Minute,  Field.Low)

        Consolidator = TradeBarConsolidator(timedelta(minutes=TF))
        self.SubscriptionManager.AddConsolidator("SPY", Consolidator)

        self.RegisterIndicator(self.sym, self.sma05_hi, Consolidator)
        self.RegisterIndicator(self.sym, self.sma05_lo, Consolidator)

        spy.SetDataNormalizationMode(DataNormalizationMode.Raw)

    def OnData(self, data):
        
        self.Plot("Data Chart", "Asset Low Price", data["SPY"].Low)
        self.Plot("Data Chart", "Asset High Price", data["SPY"].High)

        self.Plot("Data Chart", "MA5 Low",  self.sma05_lo.Current.Value)
        self.Plot("Data Chart", "MA5 High", self.sma05_hi.Current.Value )