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
-3.237
Tracking Error
0.136
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
 
class HipsterYellowGreenSalamander(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 10, 26)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.EnableAutomaticIndicatorWarmUp = True
        self.atr = self.ATR(self.symbol, 20, Resolution.Daily)
        self.window = RollingWindow[float](10)


    def OnData(self, data):
        if self.atr.IsReady:
            self.window.Add(self.atr.Current.Value)
            self.Plot("Window", "Length", self.window.Count)