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
-0.848
Tracking Error
0.223
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# QC DEMA Rolling Window

from AlgorithmImports import *

STOCK = 'SPY'; PERIOD = 50; WINDOW = 10;

class DemaRollingWindow(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 31)
        self.SetEndDate(2021, 10, 20) 
        self.SetWarmUp(5*PERIOD + WINDOW, Resolution.Daily)
        self.stock = self.AddEquity(STOCK, Resolution.Daily).Symbol
        self.dema_window = RollingWindow[IndicatorDataPoint](WINDOW)
        self.DEMA(self.stock, PERIOD).Updated += (lambda sender, updated: self.dema_window.Add(updated))


    def OnData(self, data):
        if self.IsWarmingUp or not self.dema_window.IsReady: return         

        self.Plot("Indicator","DEMA last", self.dema_window[0])
        self.Plot("Indicator", "DEMA first", self.dema_window[WINDOW-1])
        self.Plot("Indicator", "DEMA mid", self.dema_window[WINDOW//2-1])