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
Sortino 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
8.993
Tracking Error
0.041
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
# region imports
from AlgorithmImports import *
# endregion

class SquareFluorescentYellowWhale(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2024, 1, 15)
        self.SetCash(100000)
        symbol = self.AddCryptoFuture("ARBUSDT", Resolution.Hour).Symbol
        history = self.History(symbol, 10000).loc[symbol]
        self.last = None
        for i, row in history.iterrows():
            if self.last is not None and row.high / self.last > 2:
                self.Log(f"{i}:   High={row.high}")
            self.last = row.high

    def OnData(self, slice):
        for bar in slice.Bars.Values:
            if self.last is not None and bar.High / self.last > 2:
                self.Log(f"{self.Time}:   High={bar.High}")
            self.last = bar.High