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Is there a way to get these? I'm testing a scalping strategy one day at a time and would like to be able to see the exact value of a bottom or top wick so I can record highest and lowest intraday P/L in dollars.
I did find that when testing only one day you can find a drawdown chart in the report with intraday data but it shows as a percentage and you can still not see the exact % value.
I could always estimate the % value to approximate the largest intraday drawdown in dollars, but if a way to get exact values exists I'd much prefer that! Thank you
Derek Melchin
Hi LoganW,
To get the OHLC values of a security, check its TradeBar object in the OnData method.
To get the drawdown of the portfolio, track the TotalPortfolioValue property of the portfolio at each time step in the OnData method.
Best,
Derek Melchin
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LoganW
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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