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
-1.02
Tracking Error
0.243
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
MA = 200; MOM = 21;

class MomentumOfMovingAverage(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2009, 1, 1)  
        self.SetEndDate(2010, 1, 1)    
        self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol
        
        self.SetWarmUp(MA + MOM + 1)
        self.sma200 = self.SMA(self.spy, MA, Resolution.Daily)
        mom = MomentumPercent(MOM)
        self.momSMA = IndicatorExtensions.Of(mom, self.sma200)


    def OnData(self, data):
        if self.IsWarmingUp or  not (self.momSMA.IsReady): return

        self.Plot('Indicator',"momSMA", self.momSMA.Current.Value) 
        self.Plot('Indicator', "zero", 0)