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 Tracking Error 0 Treynor Ratio 0 Total Fees $0.00 |
import clr clr.AddReference("System") clr.AddReference("QuantConnect.Algorithm") clr.AddReference("QuantConnect.Common") from System import * from QuantConnect import * from QuantConnect.Algorithm import * from System.Drawing import Color import numpy as np import datetime class ExtendedHoursIndicators(QCAlgorithm): def Initialize(self): self.SetStartDate(2018, 10, 14) self.SetEndDate(2019, 1, 2) self.spy = self.AddEquity("SPY", Resolution.Hour, Market.USA, True, 0, True) self.symbol = self.spy.Symbol self.spy.SetDataNormalizationMode(DataNormalizationMode.Raw) self.outputHistory = [] self.consolidatorWide = TradeBarConsolidator(timedelta(hours=2), fillDataForward=True, extendedMarketHours=True) self.SubscriptionManager.AddConsolidator(self.symbol, self.consolidatorWide) self.consolidatorWide.DataConsolidated += self.WideBarHandler ##--def Initialize(self):--##################################################### def WideBarHandler(self, sender, consolidated): self.outputHistory.append(consolidated.Close) if consolidated.Time.year >= 2019: dev = np.std(self.outputHistory[-7:-1]) self.Debug("Length: " + str(len(self.outputHistory))) self.Debug("Dev: " + str(dev)) ##--def WideBarHandler(self, sender, consolidated):--###########################