Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
24.438%
Drawdown
1.800%
Expectancy
0
Net Profit
0%
Sharpe Ratio
3.068
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.044
Beta
1.008
Annual Standard Deviation
0.073
Annual Variance
0.005
Information Ratio
-3.332
Tracking Error
0.013
Treynor Ratio
0.222
Total Fees
$1.14
 
namespace QuantConnect 
{   
    public class IndicatorConsolidator : QCAlgorithm
    {
    	AverageTrueRange _atr;
    	SimpleMovingAverage _sma;
    	
    	public override void Initialize()
        {
            SetStartDate(2016, 12, 1);         
            SetEndDate(DateTime.Now.Date.AddDays(-1));
            SetCash(50000);
            
            var symbol = "SPY";
            AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
            var fiveMinuteConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(5));
            _atr = new AverageTrueRange("ATR_" + symbol, 5, MovingAverageType.Simple);
            _sma = new SimpleMovingAverage("SMA_" + symbol, 5);
            RegisterIndicator(symbol, _atr, fiveMinuteConsolidator);
			RegisterIndicator(symbol, _sma, fiveMinuteConsolidator);
			SubscriptionManager.AddConsolidator(symbol, fiveMinuteConsolidator);
				
			fiveMinuteConsolidator.DataConsolidated += FiveMinuteHandler;
        }
        
        private void FiveMinuteHandler(object sender, TradeBar bar)
        {
        	Debug(Time + " -> "+ _sma);
        	if (!Portfolio.Invested && _sma > bar.Close)
        	{
        		SetHoldings("SPY", 1);
        	}
        }

        public void OnData(TradeBars data) 
        {
        	//
        }
    }
}