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
-4.335
Tracking Error
0.17
Treynor Ratio
0
Total Fees
$0.00
 
class VerticalTransdimensionalShield(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 10, 7)
        self.SetEndDate(2019, 10, 11)
        
        self.SetCash(100000)
        
        self.AddSecurity("SPY", Resolution.Minute)
        
        self.UniverseSettings.Resolution = Resolution.Second
        self.SetUniverseSelection(ScheduledUniverseSelectionModel(
            self.DateRules.EveryDay("SPY"),
            self.TimeRules.AfterMarketOpen("SPY", -10), #self.TimeRules.At(9, 20),
            self.SelectSymbols
        ))
        
        self.logged = False

    def OnData(self, data):
        if not self.logged:
            self.logged = True
            self.Log(f"{[str(symbol) for symbol in data.Keys]}")
    
    def SelectSymbols(self, _):
        self.Log(f"SelectSymbols at {self.Time}")
        return [Symbol.Create(ticker, SecurityType.Equity, Market.USA) for ticker in ["AIG", "BAG", "IBM"]]
        
    def OnEndOfDay(self):
        self.logged = False