| 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 |
# this is incomplete attempt to conver c# file to python. coarse funciton incomplete.
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
AddReference("QuantConnect.Indicators")
from System import *
from QuantConnect import *
from System.Linq import *
from QuantConnect.Indicators import *
from QuantConnect.Data.Market import *
from System.Collections.Concurrent import *
from QuantConnect.Data.UniverseSelection import *
from QuantConnect.Indicators.CandlestickPatterns import *
from datetime import timedelta, datetime
import numpy as np
import sys
import decimal
class TestCandlestickAlgorithm ( QCAlgorithm):
def Initialize(self):
self.SetCash(100000)
self.SetStartDate(2009,7,1)
self.SetEndDate(2009,9,11)
self.SetBrokerageModel(BrokerageName.OandaBrokerage)
self.security= self.AddForex("EURUSD", Resolution.Daily, Market.Oanda)
#self.security = self.AddEquity("SPY", Resolution.Daily)
self.symbol = self.security.Symbol
periods = decimal.Decimal(10)
self.pattern = Doji(self.symbol)
self.SetWarmUp(timedelta(days=10))
def OnData(self,slice):
self.Log("Time: {}" . format(slice.Time) )
if (self.IsWarmingUp): return
if slice is None:
self.Log("no slice " )
return
self.Log("slice data is open {} close {} " . format(slice[self.symbol].Open, slice[self.symbol].Close) )
self.Log("self pattern is {} " . format(self.pattern))
if self.pattern is None:
self.Log("pattern not yet defined. skipping")
return
if (self.pattern == 1):
self.Log("Time: {} pattern is 1 going long" . format(slice.Time) )
self.SetHoldings(self.symbol, 1)
elif (self.pattern == -1):
self.Log("pattern is -1 going short")
self.SetHoldings(self.symbol, -1);
else:
self.Log("no doji recognized skipping")