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
-18.32
Tracking Error
0.09
Treynor Ratio
0
Total Fees
$0.00
 
class HorizontalTachyonContainmentField(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2020, 11, 30)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        symbol = self.AddEquity('SPY', Resolution.Minute).Symbol
        thirtyMinuteConsolidator = TradeBarConsolidator(timedelta(minutes=30))
        thirtyMinuteConsolidator.DataConsolidated += self.ThirtyMinuteHandler        
        self.SubscriptionManager.AddConsolidator(symbol, thirtyMinuteConsolidator)
        
        self.rw = RollingWindow[TradeBar](2)
        self.short_ema = ExponentialMovingAverage(10)
        self.RegisterIndicator(symbol, self.short_ema, thirtyMinuteConsolidator)
        
        history = self.History(symbol, 10*30, Resolution.Minute).loc[symbol]
        for idx, bar in history.iterrows():
            tradeBar = TradeBar(idx, symbol, bar.open, bar.high, bar.low, bar.close, bar.volume, timedelta(minutes=1))
            thirtyMinuteConsolidator.Update(tradeBar)
           
        self.Log(self.short_ema.Current.Value)
    
    def ThirtyMinuteHandler(self, sender, bar):
        self.short_ema.Update(IndicatorDataPoint(bar.Time, bar.Close))
        self.rw.Add(bar)