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
-7.436
Tracking Error
0.052
Treynor Ratio
0
Total Fees
$0.00
 
namespace QuantConnect.Algorithm.CSharp
{
    public class TransdimensionalVentralContainmentField : QCAlgorithm
    {

        public RollingWindow<float> Trail1 = new RollingWindow<float>(2);
        public RollingWindow<float> Trail2 = new RollingWindow<float>(2);
        public float SL2 = 500;
        public Random random = new Random();

        public override void Initialize()
        {
            SetStartDate(2019, 12, 7);  //Set Start Date
            SetEndDate(2020, 1, 1);
            SetCash(100000);             //Set Strategy Cash
            
            AddEquity("SPY", Resolution.Daily);
            
            Trail1.Add(0);
            Trail2.Add(0);
        }

        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// Slice object keyed by symbol containing the stock data
        public override void OnData(Slice data)
        {
            Trail1.Add(random.Next(0, 1000));
            
            if (Trail1[0] > Trail2[0] && Trail1[1] > Trail2[0])
                Trail2.Add(Math.Max(Trail2[0], Trail1[0] - SL2));
            else if (Trail1[0] < Trail2[0] && Trail1[1] < Trail2[0]) 
                Trail2.Add(Math.Min(Trail2[0], Trail1[0] - SL2));
            else if (Trail1[0] > Trail2[0])
                Trail2.Add(Trail1[0] - SL2);
            else
                Trail2.Add(Trail1[0] + SL2);
        }

    }
}