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
-1.707
Tracking Error
0.219
Treynor Ratio
0
Total Fees
$0.00
 
class algo(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2020, 4, 20)  
        self.SetCash(10000)  
        self.window = RollingWindow[TradeBar](3)
        self.btcusd = self.AddCrypto("BTCUSD", Resolution.Daily, Market.GDAX).Symbol
        self.lowWindow = RollingWindow[float](3)
        self.highWindow  = RollingWindow[float](3)

    def OnData(self, data):
        self.lowWindow.Add(data[self.btcusd].Low)
        self.highWindow.Add(data[self.btcusd].High)
        if self.highWindow.IsReady and self.lowWindow.IsReady:
            self.Plot('Custom', 'Today High: ', self.highWindow[0])
            self.Plot('Custom', 'Today Low: ', self.lowWindow[0])
            self.Plot('Custom', 'Yesterday High: ', self.highWindow[1])
            self.Plot('Custom', 'Yesterday Low: ', self.lowWindow[1])
            self.Plot('Custom', 'Oldest Day (two days ago) High: ', self.highWindow[2])
            self.Plot('Custom', 'Oldest Day (two days ago) Low: ', self.lowWindow[2])