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 -22.801 Tracking Error 0.203 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset |
class WellDressedBlueChimpanzee(QCAlgorithm): def Initialize(self): self.SetStartDate(2013, 1, 1) # Set Start Date self.SetEndDate(2013,1,5) self.SetCash(100000) # Set Strategy Cash self.spx = self.AddIndex("SPX", Resolution.Daily) self.Schedule.On(self.DateRules.EveryDay(self.spx.Symbol), self.TimeRules.At(1,0), self.TrainModel) self.Schedule.On(self.DateRules.EveryDay(self.spx.Symbol), self.TimeRules.AfterMarketOpen(self.spx.Symbol, 30),Action(self.Trade)) def OnData(self, data): self.data = data def TrainModel(self): hist = self.History(self.spx.Symbol, 2, Resolution.Daily) self.Debug(f"TrainModel {self.Time} log: {str(hist)}!") def Trade(self): hist = self.History(self.spx.Symbol, 2, Resolution.Daily) self.Debug(f"Trade {self.Time} log: {str(hist)}!")