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
0.193
Tracking Error
0.164
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# region imports
from AlgorithmImports import *
# endregion

class SwimmingFluorescentYellowBaboon(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 4, 20)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.logr1 = LogReturn(1)
        self.hvol100 = IndicatorExtensions.Of(StandardDeviation(100), self.logr1)

    def OnData(self, data: Slice):
        self.logr1.Update(self.Time, data[self.symbol].Close)
        if self.hvol100.IsReady:
            self.Plot("Indicator", "Value", self.hvol100.Current.Value)