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 from QuantConnect.Indicators import CommodityChannelIndex, Stochastic from QuantConnect.Data import Slice class NotebookProject(QCAlgorithm): wti_thirtyMinute = None naturalgas_thirtyMinute = None gold_thirtyMinute = None wticcousd_symbol = "WTICOUSD" naturalgas_symbol = "NATGASUSD" gold_symbol = "XAUUSD" def Initialize(self): self.SetTimeZone("Europe/London") self.SetBrokerageModel(BrokerageName.OandaBrokerage) #self.SetStartDate(DateTime(2020, 6, 29)) #Set Start Date self.SetStartDate(datetime.now() - timedelta(2)) #Set Start Date #self.SetEndDate(DateTime(2020, 7, 1)) #Set End Date self.SetEndDate(datetime.now()) #Set End Date self.wticousd = self.AddCfd("WTICOUSD", Resolution.Minute, Market.Oanda) #self.natgasusd = self.AddCfd(self.naturalgas_symbol, Resolution.Minute, Market.Oanda) self.gold = self.AddCfd("XAUUSD", Resolution.Minute, Market.Oanda) self.wticousd.SetDataNormalizationMode(DataNormalizationMode.Raw) #self.natgasusd.SetDataNormalizationMode(DataNormalizationMode.Raw) self.gold.SetDataNormalizationMode(DataNormalizationMode.Raw) #WEST TEXAS thirtyMinuteConsolidator = QuoteBarConsolidator(timedelta(minutes=30)) thirtyMinuteConsolidator.DataConsolidated += self.ThirtyMinuteQuoteBarHandler self.SubscriptionManager.AddConsolidator("WTICOUSD", thirtyMinuteConsolidator) #NATURAL GAS #naturalgas_thirtyMinuteConsolidator = QuoteBarConsolidator(timedelta(minutes=30)) #naturalgas_thirtyMinuteConsolidator.DataConsolidated += self.naturalgas_ThirtyMinuteQuoteBarHandler #self.SubscriptionManager.AddConsolidator(self.naturalgas_symbol, naturalgas_thirtyMinuteConsolidator) #GOLD gold_thirtyMinuteConsolidator = QuoteBarConsolidator(timedelta(minutes=30)) gold_thirtyMinuteConsolidator.DataConsolidated += self.gold_ThirtyMinuteQuoteBarHandler self.SubscriptionManager.AddConsolidator("XAUUSD", gold_thirtyMinuteConsolidator) self.sto_wti = Stochastic("WTICOUSD", 105, 21, 30) self.cci_wti = CommodityChannelIndex("WTICOUSD", 200) #self.sto_naturalgas = Stochastic(self.naturalgas_symbol, 18, 20, 14) self.sto_gold = Stochastic("XAUUSD", 172, 21, 95) self.cci_gold = CommodityChannelIndex("XAUUSD", 200) #self.RegisterIndicator("WTICOUSD", self.sto, thirtyMinuteConsolidator) #self.RegisterIndicator("WTICOUSD", self.cci, thirtyMinuteConsolidator) 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.SetWarmup(200*30, Resolution.Minute) def OnData(self, data): pass 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.TypicalPriceAverage if self.IsWarmingUp: return #TESTING #if (str(consolidated.Symbol) == "WTICOUSD" and (self.Time.month == 6 and self.Time.day == 18 and self.Time.hour == 9 and self.Time.minute == 0)): #self.Debug(f'{self.Time} >> STO >> {sto_value_wti} CCI >> {cci_value}') #self.Notify.Email("martintolmusk@gmail.com", "WTICOUSD Stochastic above 60", str(sto_value_wti)) # self.Debug(f'{self.Time} >> STO >> {sto_value_wti}') #LIVE if float(str(sto_value_wti.Current.Value)) > float(62) and float(str(sto_value_wti.Current.Value)) < float(67): self.Notify.Email("martintolmusk@gmail.com", "WTICOUSD Stochastic between 62 and 67", "BUY ALERT for 1,300 pips = Stochastic", str(sto_value_wti.Current.Value)) self.Notify.Email("martintolmusk@gmail.com", "WTICOUSD CCI", "BUY ALERT for 1,300 pips", str(cci_value_wti)) #self.Log(f'{self.Time} STO >> {sto_value_wti.Current.Value}') #self.Debug(f'{self.Time} STO >> {sto_value_wti.Current.Value}') else: self.Notify.Email("martintolmusk@gmail.com", "Nonsense", "Nonsense email") #self.Log(f'{self.Time} >> STO >> {sto_value_wti.Current.Value} ') #self.Debug(f'{self.Time} >> STO >> {sto_value_wti.Current.Value} ') #self.Debug(f'{self.Time} >> STO >> {consolidated.Symbol}') self.wti_thirtyMinute = consolidated #def naturalgas_ThirtyMinuteQuoteBarHandler(self, sender, consolidated): #self.sto_naturalgas.Update(consolidated) #self.cci.Update(consolidated) #sto_value_natgas = self.sto_naturalgas.StochD #cci_value = self.cci.Current.Value #if self.IsWarmingUp: # return #TESTING #if self.Time.month == 6 and self.Time.day == 18 and self.Time.hour >= 7 and self.Time.hour <= 11: #self.Debug(f'{self.Time} >> STO >> {sto_value_natgas} CCI >> {cci_value}') #self.Notify.Email("martintolmusk@gmail.com", "WTICOUSD Stochastic above 60", str(sto_value_natgas)) #self.Debug(f'{self.Time} >> STO >> {sto_value_natgas}') #LIVE # if consolidated.Symbol == self.naturalgas_symbol and float(str(sto_value_natgas)) >= 62 and float(str(sto_value_natgas)) <= 66: # self.Notify.Email("martintolmusk@gmail.com", "Natural Gas Stochastic above 62", str(sto_value_natgas)) # self.naturalgas_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 #TESTING #if self.Time.month == 6 and self.Time.day == 18 and self.Time.hour >= 7 and self.Time.hour <= 11: #self.Debug(f'{self.Time} >> STO >> {sto_value_gold} CCI >> {cci_value}') #self.Notify.Email("martintolmusk@gmail.com", "WTICOUSD Stochastic above 60", str(sto_value_gold)) #self.Debug(f'{self.Time} >> STO >> {sto_value_gold}') #LIVE if float(str(sto_value_gold.Current.Value)) > float(59) and float(str(sto_value_gold.Current.Value)) < float(65): self.Notify.Email("martintolmusk@gmail.com", "GOLD Stochastic between 61 and 64", "BUY ALERT 15 dollars", str(sto_value_gold.Current.Value)) self.Notify.Email("martintolmusk@gmail.com", "GOLD CCI", "BUY ALERT 15 dollars", str(cci_value_gold)) #self.Debug(f'{self.Time} STO >> {sto_value_gold.Current.Value}') else: self.Notify.Email("martintolmusk@gmail.com", "Nonsense", "Nonsense email") #self.Debug(f'{self.Time} >> STO >> {sto_value_gold.Current.Value} ') self.gold_thirtyMinute = consolidated