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
0.156
Tracking Error
0.231
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# Indicator Extensions Minus with VWAP 


class VerticalTransdimensionalCoreWave(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2021, 7, 16)
        self.SetEndDate(2021, 7, 20)
        res = Resolution.Minute
        self.stock = self.AddEquity("SPY", res).Symbol
        self.SetWarmUp(200)
        self.fast = SimpleMovingAverage(1)
        self.RegisterIndicator(self.stock, self.fast, res) 
        self.slow = SimpleMovingAverage(200)
        self.RegisterIndicator(self.stock, self.slow, res) 
        self.macd = IndicatorExtensions.Minus(self.fast, self.slow) 
        self.vwap = self.VWAP(self.stock)
        self.macd_vwap = IndicatorExtensions.Minus(self.fast, self.vwap) 
        
        
    def OnData(self, data):
        if self.IsWarmingUp or not self.slow.IsReady: return
        if not self.CurrentSlice.Bars.ContainsKey(self.stock): return

        macd_manualy = float(self.fast.Current.Value - self.slow.Current.Value)
        macd_iem = self.macd.Current.Value
        macd_vwap = self.macd_vwap.Current.Value
        
        self.Plot("Trade Plot", "fast", self.fast.Current.Value)
        self.Plot("Trade Plot", "slow", self.slow.Current.Value) 
        self.Plot("Trade Plot", "vwap", self.vwap.Current.Value) 

        self.Plot("Try", "macd_manualy", macd_manualy) 
        self.Plot("Try", "macd_iem", macd_iem) 
        # self.Plot("Try", "macd_vwap", macd_vwap)