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
 
import numpy as np

class HistoryAndIndicatorArrays(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2017,1,28)
        self.SetEndDate(2017,1,30)
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)
        
        self.df = self.History(self.Symbol("SPY"), 240, Resolution.Minute)
        
        # macd = []
        # for row in self.df:
        #     macd_value = self.MACD(self.Symbol("SPY"), 12, 26, 9, MovingAverageType.Simple, Resolution.Minute)
        #     macd.append(macd_value)
            
        # self.df['MACD'] = macd  
        
        # rsi = []
        # for row in self.df:
        #     rsi_value = self.RSI(self.Symbol("SPY"), 14, MovingAverageType.Simple, Resolution.Minute)
        #     rsi.append(rsi_value)
            
        # self.df['RSI'] = rsi 
        
        # self.Debug(self.df)
        
        resultset = []
        
        for row in self.df:
            resultset.append(np.array(row)) # But I also somehow want the next 19 historical rows as well included in each nparray


    def OnData(self, data):
        pass