Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -2.510% Drawdown 0.100% Expectancy 0 Net Profit -0.067% Sharpe Ratio -5.678 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.03 Beta 0.547 Annual Standard Deviation 0.004 Annual Variance 0 Information Ratio -9.853 Tracking Error 0.004 Treynor Ratio -0.039 Total Fees $1.00 |
class ParticleTachyonCoreWave(QCAlgorithm): def Initialize(self): self.SetStartDate(2019, 5, 1) # Set Start Date self.SetCash(100000) # Set Strategy Cash self.AddEquity("SPY", Resolution.Minute) consolidator = TradeBarConsolidator(TimeSpan.FromHours(6)) ## Selected resolution is hourly, so this will create a 6-hour consolidator consolidator.DataConsolidated += self.OnDataConsolidated ## Tell consolidator which function to run at consolidation intervals self.SubscriptionManager.AddConsolidator("SPY", consolidator) ## Add consolidator to algorithm def OnData(self, data): pass def OnDataConsolidated(self, sender, bar): self.Debug(str(self.Time) + " > New Bar!") if not self.Portfolio.Invested: self.MarketOrder("SPY", 10)