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
-2.186
Tracking Error
0.129
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# Donchian Channel Indicator


class DonchianChannel(QCAlgorithm):
    
    def Initialize(self): 
        self.SetStartDate(2021, 1, 1)
        self.SetEndDate(2021, 6, 2)
        res = Resolution.Daily
        period = 10;
        ma = 5
        self.stock = self.AddEquity('QQQ', res).Symbol 
        self.SetWarmUp(period + ma + 1)
        self.sma = self.SMA(self.stock, ma, res)
        self.donchian = self.DCH(self.stock, period, period, res)


    def OnData(self, data):
        if self.IsWarmingUp or not self.donchian.IsReady: return

        hh = self.donchian.UpperBand.Current.Value
        ll = self.donchian.LowerBand.Current.Value
        ml = self.donchian.Current.Value
        sma = self.sma.Current.Value

        self.Plot('Indicator', 'HH', hh)
        self.Plot('Indicator', 'LL', ll)
        self.Plot('Indicator', 'ML', ml)
        self.Plot('Indicator', 'SMA', sma)