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 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 |
# this is incomplete attempt to conver c# file to python. coarse funciton incomplete. from clr import AddReference AddReference("System") AddReference("QuantConnect.Algorithm") AddReference("QuantConnect.Common") AddReference("QuantConnect.Indicators") from System import * from QuantConnect import * from System.Linq import * from QuantConnect.Indicators import * from QuantConnect.Data.Market import * from System.Collections.Concurrent import * from QuantConnect.Data.UniverseSelection import * from QuantConnect.Indicators.CandlestickPatterns import * from datetime import timedelta, datetime import numpy as np import sys import decimal class TestCandlestickAlgorithm ( QCAlgorithm): def Initialize(self): self.SetCash(100000) self.SetStartDate(2009,7,1) self.SetEndDate(2009,9,11) self.SetBrokerageModel(BrokerageName.OandaBrokerage) self.security= self.AddForex("EURUSD", Resolution.Daily, Market.Oanda) #self.security = self.AddEquity("SPY", Resolution.Daily) self.symbol = self.security.Symbol periods = decimal.Decimal(10) self.pattern = Doji(self.symbol) self.SetWarmUp(timedelta(days=10)) def OnData(self,slice): self.Log("Time: {}" . format(slice.Time) ) if (self.IsWarmingUp): return if slice is None: self.Log("no slice " ) return self.Log("slice data is open {} close {} " . format(slice[self.symbol].Open, slice[self.symbol].Close) ) self.Log("self pattern is {} " . format(self.pattern)) if self.pattern is None: self.Log("pattern not yet defined. skipping") return if (self.pattern == 1): self.Log("Time: {} pattern is 1 going long" . format(slice.Time) ) self.SetHoldings(self.symbol, 1) elif (self.pattern == -1): self.Log("pattern is -1 going short") self.SetHoldings(self.symbol, -1); else: self.Log("no doji recognized skipping")