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
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# HH-LL test

# ------------------------
STOCK = "SPY"; PERIOD = 5;
# ------------------------

class Test(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 6, 1)  
        self.SetEndDate(2022, 6, 1)  
        self.SetCash(100000) 
        self.stock = self.AddEquity(STOCK, Resolution.Minute).Symbol
        self.hh = self.MAX(self.stock, PERIOD, Resolution.Minute, Field.High)
        self.ll = self.MIN(self.stock, PERIOD, Resolution.Minute, Field.Low)
        self.SetWarmUp(PERIOD, Resolution.Minute)
        self.Schedule.On(self.DateRules.EveryDay(self.stock), self.TimeRules.AfterMarketOpen(self.stock, PERIOD + 1), 
            self.DailyCheck)
        

    def DailyCheck(self):
        if self.IsWarmingUp: return
        if not (self.hh.IsReady and self.ll.IsReady): return
    
        price = self.Securities[self.stock].Price
        hh = self.hh.Current.Value
        ll = self.ll.Current.Value

        self.Debug("Price: " + str(price) + " // High: " + str(hh) + " // Low: " + str(ll))