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
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
 
namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// This is a test to understand indicator data and rolling windows.
    /// </summary>
    public class IndicatorTest : QCAlgorithm
    {
        private Symbol symbolOanda = QuantConnect.Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda);
        private Symbol symbolFXCM = QuantConnect.Symbol.Create("EURUSD", SecurityType.Forex, Market.FXCM);
        private Resolution resolution = Resolution.Daily;
        private RollingWindow<IndicatorDataPoint> macdOandaWindow;
        private RollingWindow<IndicatorDataPoint> macdFXCMWindow;
        private MovingAverageConvergenceDivergence macdOanda;
        private MovingAverageConvergenceDivergence macdFXCM;

        public override void Initialize()
        {
            SetStartDate(2018, 12, 03);  //Set Start Date
            SetEndDate(2018, 12, 10);    //Set End Date

            AddForex(symbolOanda, resolution);
            AddForex(symbolFXCM, resolution);

            macdOanda = MACD( symbolOanda, 12, 26, 1, MovingAverageType.Exponential, resolution );
            macdOanda.Updated += (sender, updated) => macdOandaWindow.Add(updated);
            macdOandaWindow = new RollingWindow<IndicatorDataPoint>(4);
            macdFXCM = MACD( symbolFXCM, 12, 26, 1, MovingAverageType.Exponential, resolution );
            macdFXCM.Updated += (sender, updated) => macdFXCMWindow.Add(updated);
            macdFXCMWindow = new RollingWindow<IndicatorDataPoint>(4);
            
            SetWarmUp(30);
        } 

        public override void OnData(Slice data)
        {
            if (IsWarmingUp)
            	return;
            
        	if ( data.ContainsKey(symbolOanda))
        		Log("Oanda data.Time = " + data.Time.ToString()
        										+ ": macdOandaWindow[0].Time = " + macdOandaWindow[0].Time.ToString()
        										+ ", values = " + macdOandaWindow[0].Value.ToString("0.00000")
        										+ ", " + macdOandaWindow[1].Value.ToString("0.00000")
        										+ ", " + macdOandaWindow[2].Value.ToString("0.00000")
        										+ ", " + macdOandaWindow[3].Value.ToString("0.00000")
        										);
        	if ( data.ContainsKey(symbolFXCM))
	        	Log("FXCM data.Time = " + data.Time.ToString()
	        									+ ": macdFXCMWindow[0].Time = " + macdFXCMWindow[0].Time.ToString()
        										+ ", values = " + macdFXCMWindow[0].Value.ToString("0.00000")
        										+ ", " + macdFXCMWindow[1].Value.ToString("0.00000")
        										+ ", " + macdFXCMWindow[2].Value.ToString("0.00000")
        										+ ", " + macdFXCMWindow[3].Value.ToString("0.00000")
        										);
        }
    }
}