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
0.362
Tracking Error
0.188
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# Cryptos Consolidated Bar EMAC Signal
# ------------------------------------------------------------------------
CRYPTOS = ["ETHUSD", "BTCUSD", "LINKUSD"]; BAR = 120; FAST = 12; SLOW = 26;
# ------------------------------------------------------------------------

class MultipleTickerSingleTechnicalIndicatorWithResampling(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2022, 3, 1)  
        self.SetEndDate(2022, 4, 29)  
        self.SetCash(100000)  
        self.cryptos = [self.AddCrypto(ticker, Resolution.Minute).Symbol for ticker in CRYPTOS]
        self.fast = {}; self.slow = {};
        for sec in self.cryptos:
            Consolidator = TradeBarConsolidator(timedelta(minutes = BAR))
            self.fast[sec] = ExponentialMovingAverage(FAST)
            self.slow[sec] = ExponentialMovingAverage(SLOW)
            self.RegisterIndicator(sec, self.fast[sec], Consolidator)
            self.RegisterIndicator(sec, self.slow[sec], Consolidator)            
            self.Consolidate(sec, timedelta(minutes = BAR), self.CustomBarHandler)
        self.SetWarmUp(SLOW*BAR, Resolution.Minute)
        

    def CustomBarHandler(self, consolidated):
        if self.IsWarmingUp: return

        for sec in self.cryptos:
            if not self.fast[sec].IsReady: continue
            if not self.slow[sec].IsReady: continue
            price = self.Securities[sec].Price
            fast = self.fast[sec].Current.Value
            slow = self.slow[sec].Current.Value
            signal = (fast - slow) / ((fast + slow) / 2.0)
            self.Plot("Signal", sec,  signal)