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
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
 
import numpy as np


class BasicTemplateAlgorithm(QCAlgorithm):

    def Initialize(self):
        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

        self.SetStartDate(2018,9, 18)  #Set Start Date
        self.SetEndDate(2018,10,18)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash
        

        # Find more symbols here: http://quantconnect.com/data
        eurusd = self.AddForex("EURUSD", Resolution.Daily, Market.Oanda)
        
        self.resolution = Resolution.Daily
        
        self.tr_max_period = 5
        self.tr = self.TR(eurusd.Symbol, self.resolution)

        self.tr_max = IndicatorExtensions.MAX(self.tr, self.tr_max_period)

    def OnData(self, data):

        self.Log("High minus Low: "+str(data["EURUSD"].High-data["EURUSD"].Low )+" | TR: "+str(self.tr.Current.Value)+" | TR_MAX: "+str(self.tr_max)+" | TR_MAX IsReady: "+str(self.tr_max.IsReady) )