Overall Statistics
Total Trades
2
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
$3.20
 
class VerticalParticleRegulators(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 11, 27)
        self.SetEndDate(2019, 12, 1) 
        self.SetCash(100000)
        
        self.AddAlpha(MyAlphaModel())
        
        symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]
        self.SetUniverseSelection( ManualUniverseSelectionModel(symbols) )
        
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
        
        self.SetExecution(ImmediateExecutionModel())

class MyAlphaModel(AlphaModel):
    started = False
    finished = False
    
    def Update(self, algorithm, data):
        insights = []
                
        if not self.started:
            insight = Insight.Price("SPY", timedelta(hours = 5), InsightDirection.Up)
            insights.append(insight)
            self.started = True
        elif not self.finished:
            insight = Insight.Price("SPY", timedelta(hours = 5), InsightDirection.Flat)
            insights.append(insight)
            self.finished = True
        
        return Insight.Group(insights)
    
    def OnSecuritiesChanged(self, algorithm, changes):
        pass