Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000
End Equity
100000
Net Profit
0%
Sharpe Ratio
0
Sortino 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
-0.65
Tracking Error
0.177
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
# region imports
from AlgorithmImports import *
# endregion

class AdvanceDeclineRatioAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2020,1,1)
        symbols = [self.add_equity(ticker).symbol for ticker in ['SPY', 'QQQ', 'AAPL']] 
        adr = self.adr(symbols, Resolution.DAILY)
        adr.window.size = 10
        adr.updated += self.on_adr_update

    def on_adr_update(self, adr, current):
        self.plot('ADR', '0', current.value)
        last = adr[9]
        if last:
            self.plot('ADR', '10', last.value)