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
6.824
Tracking Error
0.098
Treynor Ratio
0
Total Fees
$0.00
 
class VentralOptimizedCompensator(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 9, 16)  # Set Start Date
        self.SetEndDate(2020, 9, 17)
        self.SetCash(100000)  # Set Strategy Cash
        self.symbol = self.AddForex('USDJPY', Resolution.Second).Symbol
        
        renko = RenkoConsolidator(.1)
        renko.DataConsolidated += self.HandleRenko
        self.SubscriptionManager.AddConsolidator(self.symbol, renko)
        
    def HandleRenko(self, sender, data):
        self.Plot('FX', 'Close', data.Value)
        self.Plot('FX2', 'Spread', self.CurrentSlice[self.symbol].Ask.Close - self.CurrentSlice[self.symbol].Bid.Close)