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
 
class MultidimensionalOptimizedContainmentField(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 10, 10)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash

        self.spy = self.AddEquity("SPY",Resolution.Daily)
        
        # Inititalize rolling window
        self.closeWindow = RollingWindow[Decimal](4)


    def OnData(self, data):

        # Return if no data is found        
        if not data.ContainsKey("SPY"): return
    
        # Add SPY bar close to the rolling window
        self.closeWindow.Add(data["SPY"].Close)
        
        # Print current value to log
        self.Log(self.closeWindow[0])