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
-0.531
Tracking Error
0.168
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# reduce

from functools import reduce
import numpy as np


class CalculatingOrangeMule(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2008, 1, 1)  
        self.SetCash(100000)  
        self.stock = self.AddEquity("QQQ", Resolution.Daily).Symbol


    def OnData(self, data):
        
        C = self.History(self.stock, 21, Resolution.Daily)['close']
        avg=sum(C)/len(C)
        X = float(np.sqrt(252)*reduce(lambda a,b:a+abs(avg-b),C,0)/len(C))/C[-1]
        
        self.Plot("Indicator", "X", X)