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 datetime import timedelta, timezone

class TransdimensionalOptimizedCoreWave(QCAlgorithm):
    def Initialize(self):
        self.period = 14
        self.prev_time = None

        self.resolution = Resolution.Minute
        self.SetCash(10000)
        
        self.SetStartDate(2019, 6, 26)
        self.SetEndDate(2019, 6, 28)
        self.forex = self.AddForex("EURUSD", self.resolution, "fxcm", True)
        self.SetWarmUp(self.period)


    def OnData(self, data):
        d = data["EURUSD"]
        t = d.Time
        
        #if d.Open == 1.135575 and d.High == 1.13558 and d.Low == 1.13552 and d.Close == 1.13558:
            #self.Log("DUPLICATE: " + str(t.replace(tzinfo=timezone.utc).timestamp()) + "; " + str(d.Open))
        if self.prev_time == t:
            self.Log("DUPLICATE TIME @ {} ({})".format(t, t.timestamp()))
       
        self.prev_time = t
        return