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
-19.14
Tracking Error
0.129
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# region imports
from AlgorithmImports import *
# endregion

from tsfracdiff import FractionalDifferentiator

class MuscularOrangeCaribou(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2010, 1, 1)
        self.SetEndDate(2010, 1, 5)
        self.SetCash(1000)
        self.AddEquity("SPY", Resolution.Minute)
        self.ModelStuff()

    def OnData(self, data: Slice):
        pass

    def ModelStuff(self):

        df = self.History(self.Securities.Keys, timedelta(days=3), Resolution.Minute)

        # Prices
        close = df.unstack(level=0)['close']

        # Fractionally differentiate
        fracDiff = FractionalDifferentiator()
        close_stationary = fracDiff.FitTransform( close )

        # Invert the transform if needed
        close = fracDiff.InverseTransform( close_stationary )

        # See the estimated orders
        fracDiff.orders

        # Model Stuff
        
        
        return