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 0.185 Treynor Ratio 0 Total Fees $0.00 |
class TransdimensionalHorizontalRegulators(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 5, 11) # Set Start Date self.SetCash(100000) # Set Strategy Cash self.AddEquity("SPXU", Resolution.Daily) self.fast_atr_period = 10 self.fast_atr = self.ATR("SPXU", self.fast_atr_period, Resolution.Daily) identity = Identity('SPXU') fast_atr_cust = IndicatorExtensions.Over(self.fast_atr, identity) # fast_atr_cust = IndicatorExtensions.Times(fast_atr_cust, 100) self.n_fast_atr_ema = IndicatorExtensions.EMA(fast_atr_cust, 5) self.SetWarmup(10) def OnData(self, data): if self.IsWarmingUp: return if self.n_fast_atr_ema.IsReady: self.Plot('Cust', 'ATR EMA', self.n_fast_atr_ema.Current.Value * 100)