| 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 -0.048 Tracking Error 0.164 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 |
class LogicalVioletSeahorse(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 3, 1) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Minute)
self.AddAlpha(MyAlphaModel())
class MyAlphaModel(AlphaModel):
last_consolidation_time = None
minute = 0
def Update(self, algorithm, data):
if self.last_consolidation_time is not None and self.minute != self.last_consolidation_time.minute:
self.minute = self.last_consolidation_time.minute
return [Insight.Price("SPY", timedelta(minutes=10), InsightDirection.Up)]
return []
def consolidation_handler(self, sender, bar):
self.last_consolidation_time = bar.Time
def OnSecuritiesChanged(self, algorithm, changes):
for security in changes.AddedSecurities:
self.consolidator = TradeBarConsolidator(timedelta(minutes=20))
self.consolidator.DataConsolidated += self.consolidation_handler
algorithm.SubscriptionManager.AddConsolidator(security.Symbol, self.consolidator)
for security in changes.RemovedSecurities:
pass