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)