| 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 -1.588 Tracking Error 0.168 Treynor Ratio 0 Total Fees $0.00 |
class CalibratedModulatedCompensator(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 1) #Starts Jan 1 2020
self.SetEndDate(2021,2,3) #Ends Today
self.SetCash(1000) #Thousand dollar balance
self.spy = self.AddEquity("SPY", Resolution.Minute) #Add SPY Minute Data
self.spy.SetDataNormalizationMode(DataNormalizationMode.Raw) #Set Data Normalization Mode
self.SetWarmup(3)
self.window = RollingWindow[TradeBar](3)
self.lowWindow = RollingWindow[float](3)
self.highWindow = RollingWindow[float](3)
def OnData(self, data):
self.lowWindow.Add(data["SPY"].Low)
self.highWindow.Add(data["SPY"].High)
if self.highWindow.IsReady and self.lowWindow.IsReady:
High = self.highWindow[0]
Low = self.lowWindow[0]
LastHigh = self.highWindow[1]
LastLow = self.lowWindow[1]
OldHigh = self.highWindow[2]
OldLow = self.lowWindow[2]