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
-2.691
Tracking Error
0.143
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
 
class MeasuredFluorescentOrangeJellyfish(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 9, 29)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.SetWarmUp(100)
        
        self.roc = self.ROC("SPY", 1)
        self.std_roc = IndicatorExtensions.Of(StandardDeviation(100), self.roc)
        
        self.log_roc = self.LOGR("SPY", 1)
        self.std_log_roc = IndicatorExtensions.Of(StandardDeviation(100), self.log_roc)


    def OnData(self, data):
        if not(data.ContainsKey(self.symbol) and data[self.symbol] is not None):
            return
        
        if self.std_log_roc.IsReady:
            self.Plot("ROC", "Value", self.roc.Current.Value)
            self.Plot("Log Return", "Value", self.log_roc.Current.Value)
            self.Plot("STD of ROC", "Value", self.std_roc.Current.Value)
            self.Plot("STD of Log Return", "Value", self.std_log_roc.Current.Value)