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 |
import numpy as np import pandas as pd class MyAlgo(QCAlgorithm): def Initialize(self): self.SetCash(100000) # Start and end dates for the backtest. self.SetStartDate(2019,9,1) self.SetEndDate(2019,9,15) self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol # Schedule (3:59pm) self.Schedule.On(self.DateRules.EveryDay("SPY"), \ self.TimeRules.At(15, 39), \ Action(self.rebalance)) def OnData(self, data): pass def rebalance(self): # History (Hourly) history = self.History(self.spy, 90, Resolution.Hour) spy_history = history['close'].unstack(level=0) self.Debug(str(self.Time) + " Getting Hourly SPY: " + '\n'+ str(spy_history.tail())) # History (Minute) min_history = self.History(self.spy, 10, Resolution.Minute) spy_min = min_history['close'].unstack(level=0) current_spy = spy_min.iloc[-1] self.Debug(str(self.Time) + " Getting Minute SPY: " + '\n'+ str(spy_min.tail())) self.Debug(str(self.Time) + " Current SPY: " + '\n'+ str(current_spy))