Futures Data not accessible

Hi,

This is my first time playing with Futures Data. I tried to follow few examples but I get the following error

During the algorithm initialization, the following exception has occurred: Please register to receive data for symbol 'ES 0' using the AddSecurity() function. in Indicators.cs:line 2448 Please register to receive data for symbol 'ES 0' using the AddSecurity() function.

I have following code in the initialization section
def Initialize(self):
        self.SetStartDate(2022, 6, 12)  # Set Start Date
        self.SetEndDate(2022,6,13)    #Set End Date
        self.SetCash(50000) 
        
        self.AddEquity("SPY", Resolution.Tick)
        # self.AddFuture("ES", Resolution.Tick)
        self.AddFuture(Futures.Indices.SP500EMini, Resolution.Tick)
        # Consolidate 1min SPY -> 1min Bars
        self.Consolidate(Futures.Indices.SP500EMini, timedelta(minutes=1), self.oneMinuteDataHandler)

Don't know what am I missing ? Please help

regards,

Avi

Hello, Vladimir and Menno Dreischor

Sorry, was at work and couldn't get back sooner. Yes, Vladimir, this is a much better representation of an out-of-sample test. While not representative of the original strategy with all in-out signals, it is something representative of out-of-sample. I think therefore you see a lower Sharpe (.713) and a lower PSR (19.304%).

We could consider looking @ recreating the other in-out signals during the same period to see if it affects performance, with no optimization.

This is a great thread, regardless. I believe folks are learning a lot.

Cheers to everyone,

- TC.

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