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
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
class TachyonDynamicRegulators(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 1, 10)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash

        # Subscribe to SPY daily data
        spy = self.AddEquity("SPY", Resolution.Daily)

        # Create a RSI Indicator with a 30 day period
        self.spyRSI = self.RSI(spy.Symbol, 30 , Resolution.Daily)

        # Create a rolling window to hold our past RSI values
        self.historicalRSI = RollingWindow[IndicatorDataPoint](60)

        # Warm up our indicator
        self.SetWarmUp(timedelta(days = 30))
        
    def OnData(self, data):
        # If the algorithm is warming up, we wait
        if self.IsWarmingUp:
            return
        
        # We can access the RSI
        rsi = self.spyRSI.Current
        
        # We can also store the current RSI values in 
        # our rolling window of historical values
        self.historicalRSI.Add(rsi)