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
-4.084
Tracking Error
0.131
Treynor Ratio
0
Total Fees
$0.00
 
class ModulatedMultidimensionalShield(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 10, 31)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        spy = self.AddEquity("SPY", Resolution.Daily)
        self.EnableAutomaticIndicatorWarmUp = True
        self.macd = self.MACD("SPY", 12, 26, 9, MovingAverageType.Exponential, Resolution.Daily)


    def OnData(self, data):
        self.Plot("MACD1", "Fast", self.macd.Fast.Current.Value)
        self.Plot("MACD1", "Slow", self.macd.Slow.Current.Value)
        self.Plot("MACD2", "Default", self.macd.Current.Value)
        self.Plot("MACD2", "Fast-Slow", self.macd.Fast.Current.Value - self.macd.Slow.Current.Value)
        self.Plot("MACD2", "Histogram", self.macd.Histogram.Current.Value)
        self.Plot("MACD2", "Signal", self.macd.Signal.Current.Value)