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.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))