Overall Statistics
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(2013,10,11)
        self.AddEquity("SPY", Resolution.Daily)
        self.cr = ClosingRangeIndicator(1)
        self.RegisterIndicator("SPY", self.cr, Resolution.Daily)

    def OnData(self, data):
        cr = self.cr.Value
        self.Debug(cr)


class ClosingRangeIndicator:
    def __init__(self, period):
        self.Time = datetime.min
        self.Value = 0
        self.IsReady = False
        self.queue = deque(maxlen=period)

    # Update method is mandatory
    def Update(self, input):
        count = len(self.queue)
        self.queue.appendleft(input.Close)
        self.Time = input.EndTime
        self.Value = (input.Close - input.Low)/(input.High - input.Low)
        self.IsReady = count == self.queue.maxlen