| Overall Statistics |
|
Total Orders 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Start Equity 100000 End Equity 100000 Net Profit 0% Sharpe Ratio 0 Sortino 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 3.457 Tracking Error 0.2 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset Portfolio Turnover 0% |
# region imports from AlgorithmImports import * # endregion class ClassicRenkoBarConsolidatorAlgorithm(QCAlgorithm): _consolidators = {} _bucket_size = 100_000.0 def initialize(self) -> None: self.set_start_date(2025, 3, 1) self.set_end_date(2025, 3, 5) self._es = self.add_future("ES", Resolution.Tick) self._es.set_filter(0,180) def on_consolidated(self, sender: object, bar: TradeBar) -> None: self.log(str(bar)) def on_data(self, slice): if self._es.mapped not in self._consolidators: def selector(data): value = data.quantity * data.price return value consolidator = ClassicRenkoConsolidator(self._bucket_size, selector=selector) consolidator.data_consolidated += self.on_consolidated #self.subscription_manager.add_consolidator(self._es.mapped, consolidator, TickType.TRADE) self._consolidators[self._es.mapped] = consolidator ticks = slice.ticks.get(self._es.mapped, []) for tick in ticks: self._consolidators[self._es.mapped].update(tick)
