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 BasicTemplateAlgorithm(QCAlgorithm):
    

        

    def Initialize(self):
        self.SetCash(100000)
        self.SetStartDate(2016,1,1)
        self.SetEndDate(2016,2,1)
        self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol
        self.symbols = ['XLY','XLP','XLE','XLF','XLV','XLI','XLB','XLK','XLU'] # all sector
        for i in self.symbols:
            self.AddEquity(i, Resolution.Minute)

        self.atr=[]
        for i in self.symbols:
            self.atr.append(self.ATR(i, 14))
        # Before the open
        self.Schedule.On(self.DateRules.EveryDay(self.spy), \
        self.TimeRules.AfterMarketOpen(self.spy, -5), \
        Action(self.beforeTheOpen))


    def beforeTheOpen(self):
        for i in range(len(self.symbols)):
            self.Log("ATR: {0}".format(self.atr[i].Current.Value))

    def OnData(self, slice):
        pass