| 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 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 |
class NadionMultidimensionalAtmosphericScrubbers(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 6, 1) # Set Start Date
self.SetEndDate(2019, 6, 18) # Set End Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Daily)
self.rw = RollingWindow[float](10) # Create RollingWindow object with length of 10
def OnData(self, data):
self.rw.Add(data["SPY"].Close) # Add SPY bar close to the rolling window
if (self.rw.IsReady):
self.sorted = sorted(list(self.rw)) # Sort the rolling window in ascending order
## insert trading logic using self.sorted here