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 -15.768 Tracking Error 0.086 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 from QuantConnect.Indicators import CommodityChannelIndex, Stochastic from QuantConnect.Data import Slice class NotebookProject(QCAlgorithm): wti_thirtyMinute = None gold_thirtyMinute = None naturalgas_thirtyMinute = None def Initialize(self): self.SetTimeZone("Europe/London") self.SetBrokerageModel(BrokerageName.OandaBrokerage) self.SetStartDate(2020, 7, 15) #Set Start Date self.SetEndDate(datetime.now()) #Set End Date self.wticousd = self.AddCfd("WTICOUSD", Resolution.Minute, Market.Oanda) self.gold = self.AddCfd("XAUUSD", Resolution.Minute, Market.Oanda) self.natgasusd = self.AddCfd("NATGASUSD", Resolution.Minute, Market.Oanda) self.wticousd.SetDataNormalizationMode(DataNormalizationMode.Raw) self.gold.SetDataNormalizationMode(DataNormalizationMode.Raw) self.natgasusd.SetDataNormalizationMode(DataNormalizationMode.Raw) #WEST TEXAS thirtyMinuteConsolidator = QuoteBarConsolidator(timedelta(minutes=15)) thirtyMinuteConsolidator.DataConsolidated += self.ThirtyMinuteQuoteBarHandler self.SubscriptionManager.AddConsolidator("WTICOUSD", thirtyMinuteConsolidator) #GOLD gold_thirtyMinuteConsolidator = QuoteBarConsolidator(timedelta(minutes=15)) gold_thirtyMinuteConsolidator.DataConsolidated += self.gold_ThirtyMinuteQuoteBarHandler self.SubscriptionManager.AddConsolidator("XAUUSD", gold_thirtyMinuteConsolidator) #NATURAL GAS naturalgas_thirtyMinuteConsolidator = QuoteBarConsolidator(timedelta(minutes=15)) naturalgas_thirtyMinuteConsolidator.DataConsolidated += self.naturalgas_ThirtyMinuteQuoteBarHandler self.SubscriptionManager.AddConsolidator("NATGASUSD", naturalgas_thirtyMinuteConsolidator) self.sto_wti = Stochastic("WTICOUSD", 350, 21, 21) self.cci_wti = CommodityChannelIndex("WTICOUSD", 175) self.sto_gold = Stochastic("XAUUSD", 172, 21, 95) self.cci_gold = CommodityChannelIndex("XAUUSD", 200) self.sto_naturalgas = Stochastic("NATGASUSD", 210, 21, 260) self.cci_naturalgas = CommodityChannelIndex("NATGASUSD", 200) self.PlotIndicator("Indicator-WTICOUSD ", self.sto_wti.StochD) self.PlotIndicator("Indicator-CommodityChannelIndex_WTI ", self.cci_wti)#TypicalPriceAverage) self.PlotIndicator("Indicator-XAUUSD ", self.sto_gold.StochD) self.PlotIndicator("Indicator-CommodityChannelIndex_GOLD", self.cci_gold)#TypicalPriceAverage) self.PlotIndicator("Indicator-NATGASUSD ", self.sto_naturalgas.StochD) self.PlotIndicator("Indicator-CommodityChannelIndex_GOLD", self.cci_naturalgas)#TypicalPriceAverage) self.SetWarmup((210+21+260)*15, Resolution.Minute) def ThirtyMinuteQuoteBarHandler(self, sender, consolidated): self.sto_wti.Update(consolidated) self.cci_wti.Update(consolidated) sto_value_wti = self.sto_wti.StochD cci_value_wti = self.cci_wti.ComputeNextValue if self.IsWarmingUp: return self.wti_thirtyMinute = consolidated def gold_ThirtyMinuteQuoteBarHandler(self, sender, consolidated): self.sto_gold.Update(consolidated) self.cci_gold.Update(consolidated) sto_value_gold = self.sto_gold.StochD cci_value_gold = self.cci_gold.TypicalPriceAverage if self.IsWarmingUp: return self.gold_thirtyMinute = consolidated def naturalgas_ThirtyMinuteQuoteBarHandler(self, sender, consolidated): self.sto_naturalgas.Update(consolidated) self.cci_naturalgas.Update(consolidated) sto_value_naturalgas = self.sto_naturalgas.StochD cci_value_naturalgas = self.cci_naturalgas.TypicalPriceAverage if self.IsWarmingUp: return self.naturalgas_thirtyMinute = consolidated