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
-0.787
Tracking Error
0.155
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# Anualized STD of log returns
from AlgorithmImports import *
# ---------------------------
STOCK = 'GOOG'; PERIOD = 126;
# ---------------------------
class MuscularYellowGreenGaur(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2016, 1, 2)  
        self.SetEndDate(2021, 5, 13) 
        self.SetCash(100000)  
        self.stock = self.AddEquity(STOCK, Resolution.Daily).Symbol
        self.log_roc = self.LOGR(self.stock, 1)
        self.std_log_roc = IndicatorExtensions.Of(StandardDeviation(PERIOD), self.log_roc)
        self.SetWarmUp(PERIOD + 1, Resolution.Daily)


    def OnData(self, data):
        if self.IsWarmingUp: return
        std = self.std_log_roc.Current.Value
        vol = std*(252)**0.5

        self.Plot(self.stock, "vol", vol)