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
-0.408
Tracking Error
0.186
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# region imports
from AlgorithmImports import *
from datetime import timedelta
# endregion

class CalculatingSkyBlueFlamingo(QCAlgorithm):
        
    def Initialize(self):
        self.SetStartDate(2018, 9, 1)  ## Set Start Date
        self.SetCash(100000)           ## Set Strategy Cash
        self.AddForex('GBPUSD', Resolution.Hour, Market.Oanda)
        self.strength = self.RSI('GBPUSD', 6, MovingAverageType.Wilders)
        self.strength.Updated += self.RSIUpdated
        self.rsi = RollingWindow[IndicatorDataPoint](2)
        
        ## Create on a Sunday -- Oanda Forex opens 17:00 Sunday, closes Friday 17:00
        self.Schedule.On(self.DateRules.On(2018, 9, 2), self.TimeRules.At(17,0), self.DailyConsolidator)

    def RSIUpdated(self, sender, updated):
            self.rsi.Add(updated)

    def OnData(self, data): ## Skip because this is for hourly data
        pass
        
    def DailyConsolidator(self):
        consolidator = QuoteBarConsolidator(24)   ## 24 hours in a day
        consolidator.DataConsolidated += self.OnDataConsolidated
        self.SubscriptionManager.AddConsolidator('GBPUSD', consolidator)
        self.RegisterIndicator('GBPUSD', self.strength, consolidator)
        
    def OnDataConsolidated(self, sender, bar):
        self.Log('New Daily Bar >> ' + str(bar.Close))
        self.Log('CurrRSI Value >> ' + str(self.rsi[0]))
        self.Log('PrevRSI Value >> ' + str(self.rsi[1]))