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
 
class TestIndicatorRollingWindows(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 6, 18)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        # Contains all of security symbols
        self.Symbols = ["SPY", "AAPL", "IBM"]
        
        # Loop through all symbols, AddEquity and initialize indicator rolling windows
        for symbol in self.Symbols:
            self.AddEquity(symbol, Resolution.Daily)
            self.SMA(symbol, 5).Updated += self.SmaUpdated
            self.smaWindow = RollingWindow[IndicatorDataPoint](5)

    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''
        pass
        
    def SmaUpdated(self, sender, updated):
        self.smaWindow.Add(updated)