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 |
from clr import AddReference AddReference("System") AddReference("QuantConnect.Algorithm") AddReference("QuantConnect.Common") from System import * from QuantConnect import * from QuantConnect.Algorithm import * from QuantConnect.Data.Consolidators import * from datetime import timedelta class NotebookProject(QCAlgorithm): consol = None def Initialize(self): self.SetTimeZone("Europe/London") self.eurusdAskClosePrice = 0 self.SetBrokerageModel(BrokerageName.OandaBrokerage) self.SetStartDate(DateTime(2020, 6, 19)) #Set Start Date self.SetEndDate(self.StartDate + timedelta(60)) #Set End Date self.wticousd = self.AddCfd("WTICOUSD", Resolution.Minute, Market.Oanda) thirtyMinuteConsolidator = QuoteBarConsolidator(timedelta(minutes=30)) thirtyMinuteConsolidator.DataConsolidated += self.ThirtyMinuteQuoteBarHandler self.SubscriptionManager.AddConsolidator("WTICOUSD", thirtyMinuteConsolidator) self.SetWarmup(200) self.sto = self.STO("WTICOUSD", 21, 21, 39) self.cci = self.CCI("WTICOUSD", 200) self.RegisterIndicator("WTICOUSD", self.sto, thirtyMinuteConsolidator) self.RegisterIndicator("WTICOUSD", self.cci, thirtyMinuteConsolidator) def OnData(self, data): pass def ThirtyMinuteQuoteBarHandler(self, sender, consolidated): sto_value = self.sto.Current.Value cci_value = self.cci.Current.Value self.Debug(f'{self.Time} >> {sto_value} && {self.Time} >> {cci_value} ') #self.Debug(f"{self.Time} >> Open >> {consolidated.Open} && Close {consolidated.Close} ") self.consol = consolidated