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
 
# True Range

# -----------------------------------------
EQUITIES = ['AAPL','MSFT']; BAR_SIZE = 3; 
# -----------------------------------------

class LogicalBrownKoala(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 5, 3)
        self.SetEndDate(2022, 5, 3)
        self.SetCash(100000)
        self.equities = [self.AddEquity(ticker, Resolution.Minute).Symbol for ticker in EQUITIES]
        self.true_range = {}
        for sec in self.equities:
            Consolidator = TradeBarConsolidator(timedelta(minutes = BAR_SIZE))
            Consolidator.DataConsolidated += self.MinutesHandler
            self.true_range[sec] = TrueRange()
            self.RegisterIndicator(sec, self.true_range[sec], Consolidator)


    def MinutesHandler(self, sender, bar):
        for sec in self.equities:
            self.Plot("True Range", sec, self.true_range[sec].Current.Value)