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 algorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2012,1,1) #Set Start Date self.SetEndDate(2012,2,5) #Set End Date self.SetCash(100000) #Set Strategy Cash self.market_window = 200 self.AddEquity('SPY', Resolution.Daily) self.Schedule.On(self.DateRules.MonthStart("SPY"), self.TimeRules.AfterMarketOpen("SPY", 60), Action(self.Rebalance)) def Rebalance(self): history = self.History(["SPY"], 20, Resolution.Daily) self.Debug(history.head())