Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
8.529%
Drawdown
20.200%
Expectancy
0
Net Profit
12.142%
Sharpe Ratio
0.604
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.313
Beta
-10.852
Annual Standard Deviation
0.157
Annual Variance
0.025
Information Ratio
0.475
Tracking Error
0.157
Treynor Ratio
-0.009
Total Fees
$2.00
 
import numpy as np
from System.Drawing import Color


class plotFISHER(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2017,10, 7)  #Set Start Date
        self.SetEndDate(2019,10,11)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash

        self.spy = self.AddEquity("SPY", Resolution.Daily)

        self.FISHER = FisherTransform(9)
        self.RegisterIndicator(self.spy.Symbol, self.FISHER, Resolution.Daily)
        
        IndicatorPlot = Chart("Trade Plot")
        IndicatorPlot.AddSeries(Series("FISHER", SeriesType.Line,"",Color.Black))
        
        self.SetWarmUp(25)

    def OnData(self, data):
        if not self.FISHER.IsReady: return
        self.Log("FISHER:" + str(self.FISHER.Current.Value))

        # Add values to "Trade Plot"
        self.Plot("Trade Plot", "FISHER", self.FISHER.Current.Value)

        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)