Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-92.394%
Drawdown
1.700%
Expectancy
0
Net Profit
-1.169%
Sharpe Ratio
-11.174
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.007
Beta
-214.535
Annual Standard Deviation
0.132
Annual Variance
0.017
Information Ratio
-11.174
Tracking Error
0.132
Treynor Ratio
0.007
Total Fees
$3.27
 
from System import *
from QuantConnect import *
from QuantConnect.Indicators import *
from QuantConnect.Algorithm import *
from collections import deque
from datetime import datetime, timedelta
from numpy import sum


class CustomIndicatorAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2013, 10, 7)
        self.SetEndDate(2013, 10, 8)
        self.AddEquity("SPY", Resolution.Minute)

        self.sum_volume = DailyVolumeIndicator("DailyVolume")
        self.RegisterIndicator("SPY", self.sum_volume, Resolution.Minute)

    def OnData(self, data):
        self.Debug(str(self.sum_volume.Value))

        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)


class DailyVolumeIndicator:
    def __init__(self, name):
        self.Name = name
        self.date = datetime.min
        self.Value = 0
        self.IsReady = False

    # Update method is mandatory
    def Update(self, input):
        
        if input.EndTime.date() != self.date:
            self.volume = 0
            self.date = input.EndTime.date()
        else:
            self.volume += input.Volume    

        self.Value = self.volume