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
2.23
Tracking Error
0.394
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
 
class CrawlingYellowGreenBat(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 9, 4)  # Set Start Date
        self.SetEndDate(2020, 9, 10)
        self.SetCash(100000)  # Set Strategy Cash
        
        self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
        
        self.bid_volume = SimpleMovingAverage(5)
        self.ask_volume = SimpleMovingAverage(5)
        
        self.Schedule.On(self.DateRules.EveryDay(self.symbol), self.TimeRules.Every(timedelta(minutes=5)), self.trade)
        
        
        
    def OnData(self, data):
        if not(data.ContainsKey(self.symbol) and data[self.symbol] is not None):
            return
        
        bar = data.QuoteBars[self.symbol]
        self.bid_volume.Update(self.Time, bar.LastBidSize)
        self.ask_volume.Update(self.Time, bar.LastAskSize)
        
    def trade(self):
        if not self.ask_volume.IsReady or self.ask_volume.Current.Value == 0:
            return
        self.Plot("Ratio", "Value", self.bid_volume.Current.Value / self.ask_volume.Current.Value)