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
 
from QuantConnect.Data.Market import TradeBar
from QuantConnect.Data.Market import QuoteBar
import decimal

class RollingWindowAlgorithm(QCAlgorithm):
    '''Example on how to use Rolling Window with bar and indicator'''

    def Initialize(self):
        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
        
        self.SetStartDate(2017,1,1)  #Set Start Date
        self.SetEndDate(2018,1,1)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash
        # Find more symbols here: http://quantconnect.com/data
        self.AddForex("EURUSD", Resolution.Minute)
        self.window = RollingWindow[QuoteBar](2)
 
        
        self.Schedule.On(self.DateRules.MonthStart("EURUSD"), 
        self.TimeRules.AfterMarketOpen("EURUSD"), 
        Action(self.GetMonths))
        
    def OnData(self, data):
        self.window.Add(data["EURUSD"])
        
    
        
    def GetMonths(self):
        
        if not (self.window.IsReady): return
        newOpen = self.window[0].Open 
        lastClose = self.window[1].Close

        self.Debug('  lastclose  ' +str(lastClose))