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
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# std momp

# ---------------------------------------------
STOCK = "SPY"; STD_PERIOD = 20; MOM_PERIOD = 1;
# ---------------------------------------------

class stdMomp(QCAlgorithm):
    
    def Initialize(self):
        self.SetStartDate(2022, 4, 11) 
        self.SetEndDate(2022, 4, 11)   
        res = Resolution.Hour
        self.stock = self.AddEquity("SPY", res).Symbol
        self.momp = self.MOMP(self.stock, MOM_PERIOD, res)
        std = StandardDeviation(STD_PERIOD)
        self.std = IndicatorExtensions.Of(std, self.momp) 
        self.SetWarmUp(STD_PERIOD + MOM_PERIOD + 1, res)
        

    def OnData(self, slice):
        if self.IsWarmingUp or not self.std.IsReady: return
        
        std = self.std.Current.Value
        momp = self.momp.Current.Value
        self.Debug(f'{std} std value')
        self.Debug(f'{momp} momp value')
        
        self.Plot(self.stock, "momp", momp)
        self.Plot(self.stock, "std momp", std)