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
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
class TurtleSoupAlgo(QCAlgorithm):
    
    def Initialize(self):
        self.SetStartDate(2010, 1, 1)
        self.SetEndDate(2019, 6, 30)
        self.SetCash(100000)
        self.AAPL = self.AddEquity("AAPL", Resolution.Minute)
        
        self.Window = RollingWindow[TradeBar](5)
        self.Consolidate("AAPL", Resolution.Daily, self.TradeBarHandler);
        
        self.AvgTrueRange = self.ATR("AAPL", 20, MovingAverageType.Simple, Resolution.Daily)
        self.SetWarmUp(20)
        
    def TradeBarHandler(self, TradeBar):
        self.Window.Add(TradeBar);
    
    def OnData(self, data):
        if not (self.Window.IsReady): 
            return
        
        self.ATRValue = self.AvgTrueRange.TrueRange
        self.Debug("AVG True Range Value: {}".format(self.ATRValue))