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
-0.741
Tracking Error
0.332
Treynor Ratio
0
Total Fees
$0.00
 
class OptimizedParticleContainmentField(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 11)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.PMI = self.AddData(QuandlPMICompositeIndex, "ISM/MAN_PMI", Resolution.Daily).Symbol
        
        self.PMI_delayed = Delay(1)
        self.RegisterIndicator(self.PMI, self.PMI_delayed, Resolution.Daily)
        
        self.SetWarmUp(1)

    def OnData(self, data):
        if self.PMI_delayed.IsReady:
            self.Plot('PMI', 'Delayed', self.PMI_delayed.Current.Value)
        if data.ContainsKey(self.PMI):
            self.Plot('PMI', 'No-delay', data[self.PMI].Value)
        
class QuandlPMICompositeIndex(PythonQuandl):
    def __init__(self):
        self.ValueColumnName = "PMI"