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
-1.648
Tracking Error
0.226
Treynor Ratio
0
Total Fees
$0.00
 
class OptimizedMultidimensionalReplicator(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 6, 20)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity('SPY', Resolution.Minute)
        self.AddEquity('AAPL', Resolution.Minute)
    
        consolidator1 = TradeBarConsolidator(timedelta(minutes=15))
        consolidator2 = TradeBarConsolidator(timedelta(minutes=15))
        self.spy_sma = SimpleMovingAverage(20)
        self.aapl_sma = SimpleMovingAverage(20)
        self.RegisterIndicator('SPY', self.spy_sma, consolidator1)
        self.RegisterIndicator('AAPL', self.aapl_sma, consolidator2)
        
    def OnData(self, data):
        if not self.spy_sma.IsReady or not self.aapl_sma.IsReady:
            return
        
        self.Plot('Custom', 'Difference', self.spy_sma.Current.Value-self.aapl_sma.Current.Value)