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
-0.913
Tracking Error
0.152
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# Bill Williams Fractal Indicator

STOCK = 'QQQ';

class BillWilliamsFractal(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2016, 6, 24)
        self.SetEndDate(2021, 11, 11) 
        self.stock = self.AddEquity(STOCK, Resolution.Daily).Symbol
        

    def OnEndOfDay(self, symbol):

        H = self.History(self.stock, 5, Resolution.Daily)['high']
        L = self.History(self.stock, 5, Resolution.Daily)['low'] 
        
        upFractal = (L[-5] > L[-3] < L[-4]) and (L[-2] > L[-3] < L[-1])
        dnFractal = (H[-5] < H[-3] > H[-4]) and (H[-2] < H[-3] > H[-1])
        
        bull = 1 if upFractal else 0
        bear = -1 if dnFractal else 0
        
        self.Plot("Indicator", "bull", bull)
        self.Plot("Indicator", "bear", bear)