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 -1.907 Tracking Error 0.227 Treynor Ratio 0 Total Fees $0.00 |
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)))