Overall Statistics Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 3.437% Drawdown 20.200% Expectancy 0 Net Profit 5.507% Sharpe Ratio 0.309 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.155 Beta -5.546 Annual Standard Deviation 0.142 Annual Variance 0.02 Information Ratio 0.168 Tracking Error 0.142 Treynor Ratio -0.008 Total Fees \$1.00
```import numpy as np
from System.Drawing import Color
from decimal import Decimal

class movingAverageEnvPlotExample(QCAlgorithm):

def Initialize(self):

self.SetStartDate(2017, 6, 1)
self.SetEndDate(2019, 1, 1)
self.SetCash(5000)
self.spy = self.AddEquity("SPY", Resolution.Daily)

# Fixed deviation percentage for upper and lower band
deviationPct = 0.05

# Construct a simple moving average and a upper and lower band
self.middleBand = self.SMA("SPY", 20, Resolution.Daily)
self.upperBand = IndicatorExtensions.Times(self.middleBand,(1+deviationPct))
self.lowerBand = IndicatorExtensions.Times(self.middleBand,(1-deviationPct))

# Construct "Trade Plot"
IndicatorPlot = Chart("Trade Plot")
IndicatorPlot.AddSeries(Series("Upper Band", SeriesType.Line,"", Color.Blue))
IndicatorPlot.AddSeries(Series("Middle Band", SeriesType.Line,"", Color.Green))
IndicatorPlot.AddSeries(Series("Lower Band", SeriesType.Line,"", Color.Red))
IndicatorPlot.AddSeries(Series("Close Price", SeriesType.Line,"", Color.Black))

self.AddChart(IndicatorPlot)

def OnData(self,data):
if not self.upperBand.IsReady: return

high = self.upperBand.Current.Value
mid = self.middleBand.Current.Value
low = self.lowerBand.Current.Value

price = self.Securities["SPY"].Close

# Add values to "Trade Plot"
self.Plot("Trade Plot", "Upper Band", str(high))
self.Plot("Trade Plot", "Middle Band", str(mid))
self.Plot("Trade Plot", "Lower Band", str(low))
self.Plot("Trade Plot", "Close Price", str(price))

# Enter a long position
if not self.Portfolio.Invested:
self.SetHoldings("SPY",1)                        ```