Overall Statistics
Total Trades
423
Average Win
0.35%
Average Loss
-0.26%
Compounding Annual Return
-31.743%
Drawdown
20.600%
Expectancy
-0.058
Net Profit
-6.835%
Sharpe Ratio
-0.714
Loss Rate
60%
Win Rate
40%
Profit-Loss Ratio
1.34
Alpha
-0.161
Beta
0.185
Annual Standard Deviation
0.221
Annual Variance
0.049
Information Ratio
-0.738
Tracking Error
0.237
Treynor Ratio
-0.852
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;

namespace QuantConnect.Algorithm.Examples
{
    public class MultipleSymbolConsolidationAlgorithm : QCAlgorithm
    {
        public readonly TimeSpan BarPeriod = TimeSpan.FromHours(1);
        public readonly int RollingWindowSize = 20;
        public readonly Dictionary<string, SymbolData> _data = new Dictionary<string, SymbolData>();
        decimal _delta;
        
        /*public readonly IReadOnlyList<string> EquitySymbols = new List<string>
        {
            "AAPL", 
            "SPY", 
            "IBM"
        };*/
        
        public readonly IReadOnlyList<string> ForexSymbols = new List<string>
        {
            "EURUSD",
            //"USDJPY",
            "EURGBP",
            "EURCHF",
            "USDCAD",
            "USDCHF",
            "AUDUSD",
            "NZDUSD",
        };

        public override void Initialize()
        {
            SetStartDate(2014, 12, 01);
            SetEndDate(DateTime.Now.Date.AddDays(-1));
            
            //Cash allocation
            SetCash(1000);

            // initialize our equity data
            /*foreach (var symbol in EquitySymbols)
            {
                _data.Add(symbol, new SymbolData(symbol, SecurityType.Equity, BarPeriod, RollingWindowSize));
            }*/

            // initialize our forex data
            foreach (var symbol in ForexSymbols)
            {
                _data.Add(symbol, new SymbolData(symbol, SecurityType.Forex, BarPeriod, RollingWindowSize));
            }

            // loop through all our symbols and request data subscriptions and initialize indicatora
            foreach (var kvp in _data)
            {
                // this is required since we're using closures below, for more information
                // see: http://stackoverflow.com/questions/14907987/access-to-foreach-variable-in-closure-warning
                var symbolData = kvp.Value;

                // request data subscription
                AddSecurity(symbolData.SecurityType, symbolData.Symbol, Resolution.Minute);

                // define a consolidator to consolidate data for this symbol on the requested period
                var consolidator = new TradeBarConsolidator(BarPeriod);
                
                // define our indicator
                symbolData._sma1 = new SimpleMovingAverage(symbolData.Symbol + 10, 10);
                symbolData._sma2 = new SimpleMovingAverage(symbolData.Symbol + 20, 20);
                symbolData._slow = new SimpleMovingAverage(symbolData.Symbol + 5, 5);
                
                // wire up our consolidator to update the indicator
                consolidator.DataConsolidated += (sender, bar) =>
                {
                    // 'bar' here is our newly consolidated data
                    symbolData._sma1.Update(bar.Time, bar.Close);
                    symbolData._sma2.Update(bar.Time, bar.Close);
                    symbolData._slow.Update(bar.Time, (symbolData._sma1 - symbolData._sma2));
                    
                    // we're also going to add this bar to our rolling window so we have access to it later
                    symbolData.Bars.Add(bar);
                };

                // we need to add this consolidator so it gets auto updates
                SubscriptionManager.AddConsolidator(symbolData.Symbol, consolidator);
            }
        }

        public void OnData(TradeBars data)
        {
            foreach (var symbolData in _data.Values)
            {
                // this check proves that this symbol was JUST updated prior to this OnData function being called
                if (symbolData.IsReady && symbolData.WasJustUpdated(data.Time))
                {
                    _delta = symbolData._sma1 - symbolData._sma2;
                    
                    if (Portfolio[symbolData.Symbol].Invested && _delta < symbolData._slow)
                    {
                        Liquidate(symbolData.Symbol);
                    }
                    
                    if (!Portfolio[symbolData.Symbol].Invested && _delta > symbolData._slow)
                    {
                        MarketOrder(symbolData.Symbol, 1000);
                    }
                }
            }
        }

        /*public override void OnEndOfDay()
        {
            int i = 0;
            foreach (var kvp in _data.OrderBy(x => x.Value.Symbol))
            {
                // we have too many symbols to plot them all, so plot ever other
                if (kvp.Value.IsReady && ++i%2 == 0)
                {
                    Plot(kvp.Value.Symbol, kvp.Value._sma1);
                }
            }
        }*/

        public class SymbolData
        {
            public readonly string Symbol;
            public readonly SecurityType SecurityType;
            public readonly RollingWindow<TradeBar> Bars;
            public readonly TimeSpan BarPeriod;
            public SimpleMovingAverage _sma1;
            public SimpleMovingAverage _sma2;
            public SimpleMovingAverage _slow;

            public SymbolData(string symbol, SecurityType securityType, TimeSpan barPeriod, int windowSize)
            {
                Symbol = symbol;
                SecurityType = securityType;
                BarPeriod = barPeriod;
                Bars = new RollingWindow<TradeBar>(windowSize);
            }

            public bool IsReady
            {
                get { 
                    return Bars.IsReady
                    && _sma1.IsReady
                    && _sma2.IsReady
                    && _slow.IsReady
                    ;}
            }

            public bool WasJustUpdated(DateTime current)
            {
                return Bars.Count > 0 && Bars[0].Time == current - BarPeriod;
            }
        }
    }
}