Overall Statistics |
Total Trades 2 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 Tracking Error 0 Treynor Ratio 0 Total Fees $3.20 |
class VerticalParticleRegulators(QCAlgorithm): def Initialize(self): self.SetStartDate(2019, 11, 27) self.SetEndDate(2019, 12, 1) self.SetCash(100000) self.AddAlpha(MyAlphaModel()) symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ] self.SetUniverseSelection( ManualUniverseSelectionModel(symbols) ) self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel()) self.SetExecution(ImmediateExecutionModel()) class MyAlphaModel(AlphaModel): started = False finished = False def Update(self, algorithm, data): insights = [] if not self.started: insight = Insight.Price("SPY", timedelta(hours = 5), InsightDirection.Up) insights.append(insight) self.started = True elif not self.finished: insight = Insight.Price("SPY", timedelta(hours = 5), InsightDirection.Flat) insights.append(insight) self.finished = True return Insight.Group(insights) def OnSecuritiesChanged(self, algorithm, changes): pass