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
-692.926
Tracking Error
0.108
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class DeterminedTanPigeon(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 3, 15) # Set Start Date
        self.SetEndDate(2022, 3, 19)
        self.SetCash(100000) # Set Strategy Cash
        self.UniverseSettings.Resolution = Resolution.Minute
        self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
        self.consolidator = TradeBarConsolidator(timedelta(1))
        self.SubscriptionManager.AddConsolidator(self.symbol, self.consolidator)
    
        self.customConsolidator = TradeBarConsolidator(self.CustomPeriod)
        self.customConsolidator.DataConsolidated += self.CustomBarHandler
        self.SubscriptionManager.AddConsolidator(self.symbol, self.customConsolidator)
    
    def CustomPeriod(self, dt):
        period = timedelta(hours=7, minutes=0) #1:00pmpm
        start = dt.replace(minute=0)
        return CalendarInfo(start, period)
    
    def CustomBarHandler(self, sender, bar):
        self.Log(str(bar.Time) + " -> " + str(bar.EndTime))
        self.Log("Time: {} -> Bar close {} high {}".format(self.Time, bar.Close,bar.High))

    def OnData(self, data):
        if not data.Bars.ContainsKey("SPY"):
            return
    
        if data.Time.hour == 16 and data.Time.minute == 0:
            bar = self.consolidator.WorkingBar
            self.Log("Time: {} -> Bar close {} high {}".format(self.Time, bar.Close,bar.High))