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 |
from datetime import timedelta import math class Tachyon (QCAlgorithm): def Initialize(self): self.ticker = 'SPY' self.AddEquity(self.ticker, Resolution.Daily) self.SetBenchmark(self.ticker) self.symbol_ = self.Symbol(self.ticker) self.cash = 100000 self.SetCash(self.cash) self.SetStartDate(2019, 1, 1) self.SetEndDate(2019, 2, 1) self.Consolidate("SPY", CalendarType.Weekly, self.CalendarTradeBarHandler) self.window = RollingWindow[TradeBar](2) def CalendarTradeBarHandler(self, tradeBar): self.window.Add(tradeBar) self.Log(f'{tradeBar.Time}: {tradeBar.Open} - {tradeBar.EndTime}: {tradeBar.Close}') def OnData(self, data): # Wait for windows to be ready. if not (self.window.IsReady): return def CalendarTradeBarHandler(self, tradeBar): self.window.Add(tradeBar) self.Log(f'{tradeBar.Time}: {tradeBar.Open} - {tradeBar.EndTime}: {tradeBar.Close}') def OnData(self, data): if not (self.window.IsReady): return currBar = self.window[0] # Current bar had index zero. pastBar = self.window[1] # Previous bar has index one currP = self.Securities[self.ticker].Price prehigh = pastBar.High self.Log("BarLogs: {0} : {1} : {2}".format(pastBar.Time, pastBar.High, pastBar.Low)) if not self.Portfolio.Invested: if currP>prehigh: MarketOrder(self.ticker, 100) ''' if not self.Portfolio.Invested: if currP>prehigh: MarketOrder(self.ticker, 100) '''