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
0.676
Tracking Error
0.163
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
 
class OptimizedVerticalContainmentField(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021,1,1)  # Set Start Date
        self.SetEndDate(2021,1,31)
        self.spy = self.AddEquity("SPY", Resolution.Minute)
        self.SetCash(10000)  # Set Strategy Cash
        self.SetWarmUp(200)
        
        self.Firststock = "SPY"
        
        #Indicators that can be optimized
        self.FirstHMAPeriod = 30
       
        #Initializing the Hull Moving Average of the First Stock
        self.Firsthma = self.HMA(self.Firststock, self.FirstHMAPeriod, Resolution.Minute)
        self.Firsthma.Updated += self.consolidation_handler
        self.Parabolic = ParabolicStopAndReverse(0.02, 0.02, .2)
        
    def consolidation_handler(self, sender, bar):
        if self.Firsthma.IsReady:
            hma = self.Firsthma.Current.Value
            trade_bar = TradeBar(bar.EndTime, self.spy.Symbol, hma, hma, hma, hma, 0)
            self.Parabolic.Update(trade_bar)
        
        
    def OnData(self, data):
        if self.Firsthma.IsReady:
            self.Plot("HMA", "Value", self.Firsthma.Current.Value)
            self.Plot("Parabolic", "Value", self.Parabolic.Current.Value)