| 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 -0.081 Tracking Error 0.416 Treynor Ratio 0 Total Fees $0.00 |
class TransdimensionalDynamicShield(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 5) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity('SPY', Resolution.Hour, Market.USA, True, 0, True)
def OnData(self, data):
if self.Time.hour < 4 or self.Time.hour > 11:
return
if 'SPY' in data:
self.Plot('SPY', 'Close', data['SPY'].Close)
self.Plot('Time', 'Hour', self.Time.hour)