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 0.577 Tracking Error 0.178 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset Portfolio Turnover 0% |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QuantConnect.Data.Custom.AlphaStreams; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect.Algorithm.CSharp { public class SmoothLightBrownCrocodile : QCAlgorithm { private Symbol _symbol; private LeastSquaresMovingAverage _lsma; private ExponentialMovingAverage _ema1; private ExponentialMovingAverage _ema3; public override void Initialize() { SetStartDate(2022,1,1); SetEndDate(2022,4,1); _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _lsma = LSMA(_symbol, 10); _ema1 = IndicatorExtensions.EMA(_lsma, 10); _ema3 = (new ExponentialMovingAverage(_symbol,10)).Of(_lsma); var chart = new Chart("Comparison"); var series = new Series("lsma", SeriesType.Line, 0); chart.AddSeries(series); series = new Series("ema1", SeriesType.Line, 0); chart.AddSeries(series); series = new Series("ema3", SeriesType.Line, 0); chart.AddSeries(series); } public override void OnData(Slice data) { if (_ema1.IsReady && _ema3.IsReady) { Plot("Comparison", "lsma", _lsma); Plot("Comparison", "ema1", _ema1); Plot("Comparison", "ema3", _ema3); } } } }