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
-0.694
Tracking Error
0.122
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# HH and LL in first 45 minute

# ----------------------------
SYMBOLS = ["XLE","XLP","XLK"]; 
# ----------------------------

class CryingGreenDolphin(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 3, 15)
        self.SetEndDate(2022, 3, 16)
        self.SetCash(10000000)
        self.symbols = [self.AddEquity(ticker, Resolution.Minute).Symbol for ticker in SYMBOLS]
        self.maxPrices45 = {} 
        self.minPrices45 = {}
        for x in self.symbols:
            self.maxPrices45[x] = self.MAX(x, 45, Resolution.Minute, Field.High)  
            self.minPrices45[x] = self.MIN(x, 45, Resolution.Minute, Field.Low)
        self.Schedule.On(self.DateRules.EveryDay(self.symbols[0]), self.TimeRules.AfterMarketOpen(self.symbols[0], 45), 
            self.trade)
        

    def trade(self):
        for sec in self.symbols:
            self.Plot(sec, 'max45', self.maxPrices45[sec].Current.Value)
            self.Plot(sec, 'min45', self.minPrices45[sec].Current.Value)