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
-2.228
Tracking Error
0.193
Treynor Ratio
0
Total Fees
$0.00
 
class KeltnerVortexStandardAlgo(QCAlgorithm):

    def Initialize(self):
        self.TradedSymbol = "AAPL"
        
        self.AddEquity(self.TradedSymbol, Resolution.Minute)
        
        self.SetStartDate(2020, 6, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        # self.AddEquity("SPY", Resolution.Minute)
                
        self.KCH(self.TradedSymbol, 20, 1.5, MovingAverageType.Simple, Resolution.Minute).Updated += self.OnKCHUpdated
        self.UpperBandWin = RollingWindow[IndicatorDataPoint](2)
        
        self.SetWarmUp(21, Resolution.Minute)
        
    def OnKCHUpdated(self, sender, updated):    
        self.UpperBandWin.Add(IndicatorDataPoint(updated.Time, sender.UpperBand))

    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''
        if not self.UpperBandWin.IsReady: return
        
        self.Plot("Keltner Upper Band", self.UpperBandWin[0].Value)
    
        # if not self.Portfolio.Invested:
        #    self.SetHoldings("SPY", 1)