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
 
class ResistanceDynamicProcessor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 4, 20)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("VXX", Resolution.Hour)
        self.AddEquity("VXXB", Resolution.Hour)
        self.rsi = self.RSI("VXX", 10,  MovingAverageType.Simple, Resolution.Daily)        


    def OnData(self, data):
        if (data.ContainsKey("VXX")) and (not self.rsi.IsReady):
            self.historywarmup("VXXB")
            
    def historywarmup(self,symbol):
        history = self.History([symbol], 10, Resolution.Hour)
        for time, row in history.loc[symbol].iterrows():
            self.rsi.Update(time, row["close"])