Overall Statistics
import numpy as np
class TransdimensionalTachyonEngine(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 5, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity('SPY', Resolution.Daily)
        self.spy_atr = self.ATR('SPY', 10, Resolution.Daily)
        
        # ATR values for the past 20 days
        self.atr_window = RollingWindow[float](20)
        
        # register function to update our ATR window when ATR is updated
        self.spy_atr.Updated += self.UpdateATRWindow
        
        self.SetWarmup(10)
    
    def UpdateATRWindow(self, sender, updated):
        if self.spy_atr.IsReady:
            self.Plot('Custom', 'ATR', self.spy_atr.Current.Value)
            self.atr_window.Add(self.spy_atr.Current.Value)
            if self.atr_window.IsReady:
                self.Plot('Custom', 'ATR High', np.max(list(self.atr_window)))
                self.Plot('Custom', 'ATR Low', np.min(list(self.atr_window)))