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
-4.437
Tracking Error
0.14
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class CasualSkyBlueFly(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 12, 1)  # Set Start Date
        self.SetEndDate(2021, 12, 31)  # Set Start Date
        self.SetCash(1000)  # Set Strategy Cash
        tsla = self.AddEquity("TSLA", Resolution.Hour)
        tsla.SetDataNormalizationMode(DataNormalizationMode.Raw)
        

        self.macd = self.MACD("TSLA", 12, 26, 9, MovingAverageType.Exponential, Resolution.Hour)
        self.SetWarmUp(200)

        self.MACD_UP_Window = RollingWindow[bool](2)
        self.Debug("-------------------------------------------------------------------------------------------------------------------")
        
    def OnData(self, data):
        macd = self.macd.Fast.Current.Value - self.macd.Slow.Current.Value
        if macd > self.macd.Signal.Current.Value:
            self.MACD_UP_Window.Add(True)
        else:
            self.MACD_UP_Window.Add(False)
            
        if not self.MACD_UP_Window.IsReady:
            return            
            
        #Check MACD
        if self.MACD_UP_Window[0] and not self.MACD_UP_Window[1]:
            self.Debug("MACD - YEAR: " + str(self.Time.year) + "/MONTH: " + str(self.Time.month) + "/DAY: " + str(self.Time.day ) + "/HOUR: " + str(self.Time.hour))
            self.Debug("MACD - short: " + str(self.macd.Fast) + "/long: " + str(self.macd.Slow))
        if not self.MACD_UP_Window[0] and self.MACD_UP_Window[1]:
            self.Debug("MACD - YEAR: " + str(self.Time.year) + "/MONTH: " + str(self.Time.month) + "/DAY: " + str(self.Time.day ) + "/HOUR: " + str(self.Time.hour))
            self.Debug("MACD - short: " + str(self.macd.Fast) + "/long: " + str(self.macd.Slow))