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
-1.038
Tracking Error
0.193
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
from System.Drawing import Color

class SquareFluorescentPinkSardine(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 1, 1)
        self.SetEndDate(2021, 7, 11)
        self.SetCash(100000)  # Set Strategy Cash
        self.spy = self.AddEquity("SPY", Resolution.Hour).Symbol
        self.Schedule.On(self.DateRules.MonthStart("SPY"), self.TimeRules.At(15, 0), Action(self.SMA_signal))
        self.SetBenchmark("SPY")
        
        self.fast = self.SMA(self.spy, 20, Resolution.Daily);
        self.slow = self.SMA(self.spy, 60, Resolution.Daily);
        

        
        smaPlot = Chart('SMA Chart')
        smaPlot.AddSeries(Series('fast_s 25', SeriesType.Line, '$', Color.Red))
        smaPlot.AddSeries(Series('slow_s 100', SeriesType.Line, '$', Color.Red))
        smaPlot.AddSeries(Series('benchmark', SeriesType.Line, '$', Color.Red))
        
    def SMA_signal (self):
        if not self.fast.IsReady:
            print("fast not ready")
            return 
        
        if not self.slow.IsReady:
            print("slow not ready")
            return 
        
        self.fastValue = self.fast.Current.Value
        self.slowValue = self.slow.Current.Value
        
        if self.fastValue < self.slowValue:
            self.signal = " sell"
        else:
            self.signal = " buy"
        
        self.Plot('SMA Chart', 'fast_s', self.fast.Current.Value)
        self.Plot('SMA Chart', 'slow_s', self.slow.Current.Value)
        self.Plot('SMA Chart', 'benchmark', self.Securities[self.spy].Close)
        
        self.SMA_values = "Fast: " + str(self.fastValue) + ". Slow: " + str(self.slowValue)
        
        self.Log("SMA_signal - " + self.SMA_values + self.signal)
        return