| 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 -8.91 Tracking Error 0.223 Treynor Ratio 0 Total Fees $0.00 |
### Demonstrates how to create a custom indicator and register it for automatic updated
class CustomIndicatorAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2013,10,7)
self.SetEndDate(2013,10,11)
symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
self.indicator = CustomSimpleMovingAverage('custom', symbol, 4)
self.RegisterIndicator("SPY", self.indicator, Resolution.Minute)
def OnData(self, data):
if self.indicator.IsReady:
self.Plot("Custom SMA", "Value", self.indicator.Value)
# Python implementation of SimpleMovingAverage.
# Represents the traditional simple moving average indicator (SMA).
class CustomSimpleMovingAverage(PythonIndicator):
def __init__(self, name, symbol, period):
self.Name = name
self.Time = datetime.min
self.Value = 0
self.sma = SimpleMovingAverage(period)
# Update method is mandatory
def Update(self, input):
self.Time = input.Time
self.sma.Update(input.Time, input.Close)
if self.sma.IsReady:
self.Value = self.sma.Current.Value
return self.sma.IsReady