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 -6.337 Tracking Error 0.403 Treynor Ratio 0 Total Fees $0.00 |
class MultidimensionalVentralCoil(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 3, 30) # Set Start Date self.SetCash(100000) # Set Strategy Cash self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol thirtyMinuteConsolidator = TradeBarConsolidator(timedelta(minutes=30)) self.SubscriptionManager.AddConsolidator(self.spy, thirtyMinuteConsolidator) thirtyMinuteConsolidator.DataConsolidated += self.OnThirtyMinuteBar self.barWindow = RollingWindow[TradeBar](2) def OnThirtyMinuteBar(self, sender, bar): self.barWindow.Add(bar) if not self.barWindow.IsReady: return currentBar = self.barWindow[0] previousBar = self.barWindow[1] currentHigh = currentBar.High currentLow = currentBar.Low previousHigh = previousBar.High previousLow = previousBar.Low self.Plot("My Custom Chart", "High", currentHigh) self.Plot("My Custom Chart", "Low", currentLow)