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
-69.79
Tracking Error
0.097
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class WarmupHistoryAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021,7,19)   #Set Start Date
        self.SetCash(100000)          #Set Strategy Cash
        
        spy = Symbol.Create('SPY', SecurityType.Equity, Market.USA) 

        consolidator = TradeBarConsolidator(timedelta(minutes=5))
        consolidator.DataConsolidated += self.UpdateIndicators
        
        self.sma = SimpleMovingAverage(spy, 200)

        history = self.History(spy, 360, Resolution.Minute)
        for time, row in history.loc[spy].iterrows():
            tradebar = TradeBar(time, spy, row.open, row.high, row.low, row.close, row.volume)
            consolidator.Update(tradebar)
            
    def UpdateIndicators(self, sender, bar):
        self.sma.Update(bar.EndTime, bar.Close)
        self.Log(f'bar received on {bar.EndTime}')