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
-0.847
Tracking Error
0.156
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
from datetime import timedelta


class runLevels(QCAlgorithm):
    
    def Initialize(self):
        
        self.SetStartDate(2016, 12, 1) 
        self.SetEndDate(2021, 12, 1)
        self.SetCash(100000)
        
        self.ticker = "AAPL"              ## SET TICKER
        
        self.AddEquity(self.ticker, Resolution.Minute)
        self.Securities[self.ticker].SetDataNormalizationMode(DataNormalizationMode.Raw)
        
        self.Consolidate(self.ticker, Resolution.Daily, self.DailyConsolidated)
        
        self.Schedule.On(self.DateRules.On(self.EndDate.year, self.EndDate.month, self.EndDate.day),  self.TimeRules.At(0, 0),  self.LastDay)
                 
        self.ConsolidatedBars=[]

        
    def OnData(self, data):
        pass
    
    def DailyConsolidated(self, bar):

        self.ConsolidatedBars.append(bar)
                
    def LastDay(self):
        
        self.history = self.History(self.Symbol(self.ticker), len(self.ConsolidatedBars), Resolution.Daily)

        NumberErrors=0

        for i in range(0,len(self.ConsolidatedBars)-1):
            historicSlice = self.history.iloc[i]
            HistoricBar = TradeBar(historicSlice.name[1], self.Symbol(self.ticker), historicSlice.open, historicSlice.high, historicSlice.low, historicSlice.close, historicSlice.volume)
            ConsolidatedBar = self.ConsolidatedBars[i+1]
            
            #IF DIFFERENCE IS MORE THAN 0.05
            if abs(HistoricBar.High - ConsolidatedBar.High) > 0.05 or abs(HistoricBar.Low - ConsolidatedBar.Low) > 0.05:
                
                #Log histotic and consolidated to compare
                #self.Log(f"HISTORIC {HistoricBar.EndTime} H: {HistoricBar.High} L:{HistoricBar.Low} CONSOLIDATED {ConsolidatedBar.EndTime} H: {ConsolidatedBar.High} L:{ConsolidatedBar.Low}")
                
                NumberErrors += 1
                
        self.Log(f"TOTAL NUMBER OF DAYS WITH INACCURACIES: {NumberErrors} OUT OF {len(self.ConsolidatedBars)} TOTAL DAYS")