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
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
 
from datetime import datetime, timedelta
import numpy as np
### <summary>
### Basic template algorithm simply initializes the date range and cash. This is a skeleton
### framework you can use for designing an algorithm.
### </summary>
class BasicTemplateAlgorithm(QCAlgorithm):
    '''Basic template algorithm simply initializes the date range and cash'''

    def Initialize(self):
        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
        
        self.SetStartDate(2013, 01, 1)
        self.SetEndDate(datetime.now().date() - timedelta(1))
        self.SetWarmUp(timedelta(5000))
        self.SetCash(10000)
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, 
                                AccountType.Margin)
        self.AddEquity("XIV", Resolution.Daily)

        self.Schedule.On(self.DateRules.EveryDay("XIV"), self.TimeRules.AfterMarketOpen("XIV", 10), Action(self.EveryDayAfterMarketOpen))
                 
    def EveryDayAfterMarketOpen(self):
        xiv_pct_change = self.MOMP("XIV", 5, Resolution.Daily)
        self.Log(str(xiv_pct_change))

    def OnData(self, data):
        return