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
-2.228
Tracking Error
0.185
Treynor Ratio
0
Total Fees
$0.00
 
class TransdimensionalHorizontalRegulators(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 5, 11)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPXU", Resolution.Daily)
        
        self.fast_atr_period = 10
        
        self.fast_atr = self.ATR("SPXU", self.fast_atr_period, Resolution.Daily)
        
        identity = Identity('SPXU')
        fast_atr_cust = IndicatorExtensions.Over(self.fast_atr, identity)
        # fast_atr_cust = IndicatorExtensions.Times(fast_atr_cust, 100) 
        
        self.n_fast_atr_ema = IndicatorExtensions.EMA(fast_atr_cust, 5)
        
        self.SetWarmup(10)
        
    def OnData(self, data):
        if self.IsWarmingUp:
            return
        if self.n_fast_atr_ema.IsReady:
            self.Plot('Cust', 'ATR EMA', self.n_fast_atr_ema.Current.Value * 100)