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
-1.496
Tracking Error
0.163
Treynor Ratio
0
Total Fees
$0.00
 
class OptimizedVerticalContainmentField(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020,8,24)  # Set Start Date
        self.SetEndDate(2020,12,31)
        self.spy = self.AddEquity("SPY", Resolution.Daily)
        self.SetCash(10000)  # Set Strategy Cash
        self.SetWarmUp(200)
        
        self.Firststock = "SPY"
        
        #Indicators that can be optimized
        self.FirstBuyIndicator = .21
        self.FirstSellIndicator = -.24
        self.FirstHMAPeriod = 35
       
        #Initializing the Hull Moving Average of the First Stock
        self.Firsthma = self.HMA(self.Firststock, self.FirstHMAPeriod, Resolution.Daily)
        self.roc = IndicatorExtensions.Of(RateOfChangePercent(2), self.Firsthma)
        self.roc_sma = IndicatorExtensions.SMA(self.roc, 2)
        
    def OnData(self, data):
        if self.roc_sma.IsReady:
            self.Plot("HMA", "Value", self.Firsthma.Current.Value)
            self.Plot("ROC", "Value", self.roc.Current.Value)
            self.Plot("ROC", "SMA", self.roc_sma.Current.Value)