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
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# region imports
from AlgorithmImports import *
# endregion

class MeasuredOrangeHornet(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 4, 16)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.symbol = self.AddEquity("SPY", Resolution.Tick).Symbol

        self.macd = MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential)

        self.consolidator = TickConsolidator(10)
        self.consolidator.DataConsolidated += self.consolidation_handler
        self.SubscriptionManager.AddConsolidator(self.symbol, self.consolidator)

        ticks = self.History[Tick](self.symbol, timedelta(days=1))
        for tick in ticks:
            self.consolidator.Update(tick)

    def consolidation_handler(self, sender: object, consolidated_bar: TradeBar) -> None:
        self.macd.Update(consolidated_bar.EndTime, consolidated_bar.Close)
        self.Quit()