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
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# region imports
from AlgorithmImports import *
# endregion

class LogicalBlueCobra(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 7, 5)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.future = self.AddFuture(Futures.Currencies.BTC)
        self.future.SetFilter(0, 182)

        self.max = Maximum(self.future.Symbol, 1)

        consolidation_period = timedelta(minutes=15)
        consolidator = TradeBarConsolidator(consolidation_period)
        consolidator.DataConsolidated += self.consolidation_handler
        self.RegisterIndicator(self.future.Symbol, self.max, consolidator, Field.High)

        self.WarmUpIndicator(self.future.Symbol, self.max, consolidation_period, Field.High)

        self.calls = 0

    def consolidation_handler(self, sender: object, consolidated_bar: TradeBar) -> None:
        self.calls += 1
        if self.calls > 10:
            self.Quit()
        self.Debug(f"{consolidated_bar.EndTime}; High price: {consolidated_bar.High}; Max price: {self.max.Current.Value}")