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 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees $0.00 |
namespace QuantConnect.Algorithm.CSharp { public class ModulatedTransdimensionalRegulators : QCAlgorithm { VolumeWeightedAveragePriceIndicator _vwap; public override void Initialize() { SetStartDate(2018, 11, 13); //Set Start Date SetEndDate(2018, 11, 30); SetCash(100000); //Set Strategy Cash AddEquity("SPY", Resolution.Daily); // This adds a VWAP indicator, which will produce the volume-weighted average price _vwap = VWAP("SPY", 1); // numeric argument 1 sets the VWAP to 1-day -- this can be adjusted for longer periods if desired SetWarmUp(TimeSpan.FromDays(1)); } public override void OnData(Slice data) { if (_vwap.IsReady){ Log("VWAP: " + _vwap.ToString()); Log("Close: " + data["SPY"].Close.ToString()); } } } }