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
-12.711
Tracking Error
0.022
Treynor Ratio
0
Total Fees
$0.00
 
class DynamicUncoupledPrism(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 7, 20)  # Set Start Date
        self.SetEndDate(2020, 7, 21)
        self.SetCash(1500)  # Set Strategy Cash
        self.symbol = "EURUSD"
        
        # Add forex and set brokerage model
        self.AddForex(self.symbol, Resolution.Minute, Market.Oanda, True, 50)
        # self.SetBrokerageModel(BrokerageName.OandaBrokerage) 
        
        # Setup indicators
        self.rsi = RelativeStrengthIndex(6, MovingAverageType.Simple)
        
        # Setup bar consolidator
        thirtyMinuteConsolidator = QuoteBarConsolidator(timedelta(minutes=30))
        self.SubscriptionManager.AddConsolidator(self.symbol, thirtyMinuteConsolidator)
        self.RegisterIndicator(self.symbol, self.rsi, thirtyMinuteConsolidator)
        
        # Setup window
        self.rsiWindow = RollingWindow[float](5)


    def OnData(self, data):
        self.rsiWindow.Add(self.rsi.Current.Value)
        
        # Wait for rsi
        if not self.rsi.IsReady:
            return
        
        self.Debug(data.Bars[self.symbol].EndTime)
        self.Debug("RSI: " + str(self.rsi.Current.Value))
        self.Debug("OPEN: " + str(data.Bars[self.symbol].Open))
        self.Debug("HIGH: " + str(data.Bars[self.symbol].High))
        self.Debug("LOW: " + str(data.Bars[self.symbol].Low))
        self.Debug("CLOSE: " + str(data.Bars[self.symbol].Close))
            
        # self.Debug("IS_INVESTED: " + str(is_invested))
        # self.Debug("IS_LONG: " + str(is_long))
        # self.Debug("IS_SHORT: " + str(is_short))
        # self.Debug("SHOULD LONG: " + str(should_buy))
        # self.Debug("SHOULD EXIT LONG: " + str(should_exit_buy))
        # self.Debug("SHOULD SHORT: " + str(should_sell))
        # self.Debug("SHOULD EXIT SHORT: " + str(should_exit_sell))
        # self.Debug(data.Bars[self.symbol].EndTime)
        # self.Debug("OPEN: " + str(data.Bars[self.symbol].Open))
        # self.Debug("HIGH: " + str(data.Bars[self.symbol].High))
        # self.Debug("LOW: " + str(data.Bars[self.symbol].Low))
        # self.Debug("CLOSE: " + str(data.Bars[self.symbol].Close))