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
-2.621
Tracking Error
0.139
Treynor Ratio
0
Total Fees
$0.00
 
class IndicatorTests(QCAlgorithm):
    def Initialize(self):
       # In addition to other initialize logic:
       self.SetStartDate(2020, 7, 1)
       
       self.AddEquity("SPY", Resolution.Daily)
       
       self.rsi = self.RSI("SPY", 14)                     # Creating a RSI
       self.rsiSMA = IndicatorExtensions.SMA(self.rsi, 3) # Creating the SMA on the RSI
       
       # alternatively
       self.rsiSMA2 = SimpleMovingAverage(3)
       self.rsi.Updated += self.UpdateSMA
       
    def UpdateSMA(self, sender, updated):
        self.rsiSMA2.Update(self.Time, updated.Value)
      
    def OnEndOfDay(self):
        if self.rsiSMA.IsReady:
            self.Plot("RSI SMA", "RSI", self.rsi.Current.Value)
            self.Plot("RSI SMA", "SMA of RSI", self.rsiSMA.Current.Value)
            self.Plot("RSI SMA", "SMA of RSI 2", self.rsiSMA2.Current.Value)