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
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
class TransdimensionalVentralFlange(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 8, 13)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.res = Resolution.Minute
        
        self.AddEquity('SPY', self.res)
        self.mom = self.MOM('SPY', 10, self.res)
        self.time_frame = [None, None]
        
        self.EnableAutomaticIndicatorWarmup = True
    
    def OnData(self, data):
        self.time_frame[1] = self.mom.Current.EndTime
        
        period = self.mom.Period
        
        if self.res == Resolution.Minute:
            self.time_frame[0] = self.Time - timedelta(minutes=period)
        elif self.res == Resolution.Hour:
            self.time_frame[0] = self.Time - timedelta(hours=period)
        elif self.res == Resolution.Daily:
            self.time_frame[0] = self.Time - timedelta(days=period)
            
        self.Log('Start Time: ' + str(self.time_frame[0]))
        self.Log('End Time: ' + str(self.time_frame[1]))