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
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 ETFemaCross(QCAlgorithm):
    
    def Initialize(self):
        self.SetStartDate(2017,12,01)  
        self.SetEndDate(2017,12,20)    
        self.SetCash(25000)
        self.etfs = ["VXX",
                     "VONE",
                     "ILTB",
                     "FNCL",
                     "HYD",
                     "IXUS",
                     "ICVT",
                     "QAI",
                     "PICK",
                     "QQQ"]
          
        self.etfData = []        
        for etf in self.etfs:
            self.AddEquity(etf, Resolution.Minute)
            self.EMA13 = self.EMA(etf, 13, Resolution.Daily)
            self.EMA49 = self.EMA(etf, 49, Resolution.Daily)
            self.etfData.append([etf, self.EMA13, self.EMA49])
        self.Debug(str(self.etfData))
            
    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)