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
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# std_abs_momp

# ---------------------------------------------
STOCK = "SPY"; STD_PERIOD = 20; MOM_PERIOD = 1;
# ---------------------------------------------

class stdMomp(QCAlgorithm):
    
    def Initialize(self):
        self.SetStartDate(2022, 4, 11) 
        self.SetEndDate(2022, 4, 11)   
        res = Resolution.Hour
        self.stock = self.AddEquity(STOCK, res).Symbol
        

    def OnData(self, slice):
        hist = self.History(self.stock, (STD_PERIOD + MOM_PERIOD + 1), Resolution.Hour)['close']
        abs_momp = 100*(hist.pct_change().abs())[-STD_PERIOD:]
        std_abs_momp = abs_momp.std()
        
        self.Plot('Close', self.stock, hist[-1])
        self.Plot(self.stock, "abs_momp", abs_momp[-1])
        self.Plot(self.stock, "std_abs_momp", std_abs_momp)