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
 
namespace QuantConnect 
{
    public class VwapIndicatorExampleAlgorithm : QCAlgorithm
    {
    	public Equity SPY;
    	public VolumeWeightedAveragePriceIndicator SPY_VWAP;
    	
        public override void Initialize() 
        {
            SetStartDate(2017, 10, 1);         
            SetEndDate(DateTime.Now);
            SetCash(25000);
            
            SPY = AddEquity("SPY", Resolution.Minute);
            SPY_VWAP = VWAP("SPY", 390);
            
            // plot price/vwap
            PlotIndicator("SPY", SPY_VWAP);
            PlotIndicator("SPY", Identity("SPY"));
        }
        
        public override void OnData(Slice data) 
        {
        }
        
        public override void OnEndOfDay()
        {
        	SPY_VWAP.Reset();
        }
    }
}