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 0.156 Tracking Error 0.141 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset |
# region imports from AlgorithmImports import * # endregion class PensiveFluorescentOrangeRhinoceros(QCAlgorithm): def Initialize(self): self.SetStartDate(2018, 1, 1) # Set Start Date self.SetEndDate(2019,1,1) self.SetCash(100000) # Set Strategy Cash self.AddEquity("SPY", Resolution.Minute) self.Consolidate("SPY",timedelta(minutes=5),self.OnDataConsolidated) self.window = RollingWindow[TradeBar](5) self.swinghigh=0 def OnData(self, data: Slice): if not self.window.IsReady:return if self.Portfolio.Invested:return if self.window[0].High < self.window[2].High and self.window[1].High < self.window[2].High and self.window[3].High < self.window[2].High and self.window[4].High < self.window[2].High: self.swinghigh=self.window[2].High self.Log("Looking for Swing High") self.Log("right side 1nd point >> {0}".format(self.window[0].High)) self.Log("right side 2nd point >> {0}".format(self.window[1].High)) self.Log("Middle point >> {0}".format(self.window[2].High)) self.Log("Left side 2nd point >> {0}".format(self.window[3].High)) self.Log("Left side 1st point >> {0}".format(self.window[4].High)) self.Log("Swing High >>{0}".format(self.swinghigh)) def OnDataConsolidated(self,tradeBar): self.window.Add(tradeBar) self.Log(f'{tradeBar.Time}: {tradeBar.Open} - {tradeBar.EndTime}: {tradeBar.Close}')