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
-0.822
Tracking Error
0.323
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# history.mean()
# -------------------------------------------------------
ASSETS = ['QQQ', 'SPY', 'MDY', 'XLP', 'IEF']; PERIOD = 64
# -------------------------------------------------------
class HistoryMean(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 1)               
        self.SetEndDate(2021, 2, 4)
        self.assets = [self.AddEquity(ticker, Resolution.Hour).Symbol for ticker in ASSETS]
        self.SetWarmUp(PERIOD + 1, Resolution.Daily)
        self.Schedule.On(self.DateRules.EveryDay(self.assets[0]), 
            self.TimeRules.AfterMarketOpen(self.assets[0], 31), self.Indicator)
                  
      
    def Indicator(self):
        if self.IsWarmingUp: return 

        for i, sec in enumerate(self.assets):
            history = self.History([sec], PERIOD, Resolution.Daily)['close'].unstack(level=0).dropna()
            sma = history.mean()
            self.Plot("Indicator", self.assets[i], sma)