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 |
#region imports from AlgorithmImports import * #endregion class stdMomp(QCAlgorithm): def Initialize(self): self.SetStartDate(2022, 4, 10) self.SetEndDate(2022, 4, 10) resolution = Resolution.Hour self.stock = self.AddEquity("SPY", Resolution.Hour).Symbol self.SetWarmUp(20 + 1, resolution) self.momp = self.MOMP(self.stock, 1, resolution) std = StandardDeviation(20) self.std = IndicatorExtensions.Of(std, self.momp) def OnData(self, slice): stdvalue = self.std.Current.Value mompval = self.momp.Current.Value self.Debug(f'{stdvalue} stdvalue') self.Debug(f'{mompval} mompvalue') self.Debug(f'{abs(mompval)} absolute value of mompvalue')