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
-3.155
Tracking Error
0.123
Treynor Ratio
0
Total Fees
$0.00
 
class DynamicNadionGearbox(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 11, 5)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        self.AddEquity('SPY', Resolution.Daily)
        self.rw = RollingWindow[TradeBar](10)
        
    def OnData(self, data):
        if not data.Bars.ContainsKey('SPY') or data['SPY'] is None:
            return
        
        self.rw.Add(data['SPY'])
        
        temp_arr = []
        temp_arr.append(data['SPY'])
        self.Log(f'close: {temp_arr[0].Close}')
        
        if not self.rw.IsReady:
            return
        
        max_val = max(list(self.rw)[1:], key=lambda x:x.High).High
        max_val2 = max([bar.High for bar in self.rw])
        
        self.Log(f'max method 1: {max_val}')
        self.Log(f'max method 2: {max_val2}')