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 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees $0.00 |
class OptimizedVerticalRadiator(QCAlgorithm): def Initialize(self): self.SetStartDate(2019, 1, 17) # Set Start Date self.SetCash(100000) # Set Strategy Cash # self.AddEquity("SPY", Resolution.Daily) equity_symbols = [ "AAPL", "FB", "TSLA", "AMD", "AMZN", "BABA", "BAC", "BYND", "MSFT", "NFLX", "MU", "NVDA", "SNAP", "GE", "DIS", "T", "BA", "ROKU", "UBER", "NIO", "CRM", "INTC", "X", "TWTR", "QCOM", "CSCO", "JPM", "CZR", "WDC", "JD", "GOOGL", "TEVA", "F", "WMT", "PCG", "C", "SQ", "FCX", "ADBE", "LYFT", "CGC", "ORCL", "OXY", "V", "PFE", "QSR", "S", "VZ", "LULU", "AVGO", "BMY", "MPC", "BB", "WFC", "CVS", "IQ", "BX", "BIDU", "GOLD", "KO", "SBUX", "ABBV", "ACB", "PYPL", "CNC", "TWLO", "CRON", "FDX", "UNH", "NKE", "CMG", "MRK", "TLRY", "HAL", "GM", "HD", "GS", "SHOP", "GOOG", "CHK", "XOM", "MA", "AAL", "CAT", "PBR", "RIG", "ZM", "CLF", "M", "WYNN", "JNJ", "KR", "IBM", "DISH", "MO", "TGT", "DELL", "DBX", "COST", "CMCSA", "KHC", "PG", "BHC", "EA", "OSTK", "SLB", "TRP", "JCI", "LVS", "AMAT", "MCD", "CVX", "CELG", "TTD", "AGN", "QD", "DOCU", "CLDR", "BCE", "LEN", "EBAY", "GME", "APC", "DAL", "XLNX", "AMGN", "AMRN", "NEM", "ATVI", "WBA", "OKTA", "KMI", "CTL", "SFIX", "LNG", "BP", "MDR", "GILD", "STZ", "UPS", "AXP", "GRUB", "BNS", "HOME", "PWR", "NOK", "UNP", "ACN", "APA", "DHI" ] lookback = 90 self.SetWarmUp(lookback) # store the ATRs of given symbols self.atr = {} for ticker in equity_symbols: # use the ATR indicator in QC instead of calculating manually self.AddEquity(ticker, Resolution.Daily) self.atr[ticker] = self.ATR(ticker, 90, MovingAverageType.Simple, Resolution.Daily) def OnData(self, data): for ticker in self.atr.keys(): if self.atr[ticker].IsReady: self.Log(f"{ticker}'s ATR Value: {self.atr[ticker].Current.Value}")