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
-0.578
Tracking Error
0.278
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# Donchian Channel indicator
from AlgorithmImports import *
# --------------------------
STOCK = "GME"; PERIOD = 252;
# --------------------------
class DonchianChannel(QCAlgorithm):
    
    def Initialize(self): 
        self.SetStartDate(2020, 1, 2)
        self.SetEndDate(2021, 1, 2)
        self.stock = self.AddEquity(STOCK, Resolution.Minute).Symbol 
        self.SetWarmUp(PERIOD + 1, Resolution.Daily)
        self.donchian = self.DCH(self.stock, PERIOD, PERIOD, Resolution.Daily)

        
    def OnData(self, data):
        if self.IsWarmingUp or not self.donchian.IsReady: return
        if not (self.Time.hour == 9 and self.Time.minute == 31): return       
 
        price = float(self.Securities[self.stock].Price)
        hh = self.donchian.UpperBand.Current.Value
        ll = self.donchian.LowerBand.Current.Value
        
        self.Plot(self.stock, 'price', price)
        self.Plot(self.stock, 'hh', hh)
        self.Plot(self.stock, 'll', ll)