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 |
import numpy as np class BasicTemplateAlgorithm(QCAlgorithm): def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.SetStartDate(2018,9, 18) #Set Start Date self.SetEndDate(2018,10,18) #Set End Date self.SetCash(100000) #Set Strategy Cash # Find more symbols here: http://quantconnect.com/data eurusd = self.AddForex("EURUSD", Resolution.Daily, Market.Oanda) self.resolution = Resolution.Daily self.tr_max_period = 5 self.tr = self.TR(eurusd.Symbol, self.resolution) self.tr_max = IndicatorExtensions.MAX(self.tr, self.tr_max_period) def OnData(self, data): self.Log("High minus Low: "+str(data["EURUSD"].High-data["EURUSD"].Low )+" | TR: "+str(self.tr.Current.Value)+" | TR_MAX: "+str(self.tr_max)+" | TR_MAX IsReady: "+str(self.tr_max.IsReady) )