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
$0.00
 
class QuantumResistanceShield(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 7, 13)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        self.SetSecurityInitializer(self.CustomSecurityInitializer)
        
        self.AddEquity("SPY", Resolution.Minute)
        self.AddEquity("AAPL", Resolution.Minute)

    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.ticketLong = self.MarketOrder("SPY", 1)
            self.fillPriceSpy = self.ticketLong.AverageFillPrice
            
            self.ticketShort = self.MarketOrder("AAPL", -1)
            self.fillPriceAapl = self.ticketShort.AverageFillPrice
        
        if "SPY" in data.QuoteBars:
            self.Plot('SPY', 'Bid Unrealized',  data.QuoteBars["SPY"].Bid.Close - self.fillPriceSpy)   
            self.Plot('SPY', 'Close Unrealized',  data.Bars["SPY"].Close - self.fillPriceSpy)
            self.Plot('SPY', 'Official Unrealized', self.Portfolio["SPY"].UnrealizedProfit)
    
        if "AAPL" in data.QuoteBars:
            self.Plot('AAPL', 'Ask Unrealized',  self.fillPriceAapl - data.QuoteBars["AAPL"].Ask.Close)   
            self.Plot('AAPL', 'Close Unrealized',  self.fillPriceAapl - data.Bars["AAPL"].Close)
            self.Plot('AAPL', 'Official Unrealized', self.Portfolio["AAPL"].UnrealizedProfit)
    
    
    def CustomSecurityInitializer(self, security):
        security.SetFeeModel(CustomFeeModel())
        
class CustomFeeModel:
    def GetOrderFee(self, parameters):
        return OrderFee(CashAmount(0, 'USD'))