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 |
class HorizontalDynamicAutosequencers(QCAlgorithm): def Initialize(self): self.SetStartDate(2019, 1, 22) # Set Start Date self.SetEndDate(2019,1,31) # Set End Date self.SetCash(100000) # Set Strategy Cash self.future = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute) self.future.SetFilter(timedelta(0), timedelta(182)) def OnData(self, data): for chain in data.FutureChains: for i in chain.Value: symbol = i.Symbol askprice = i.AskPrice bidprice = i.BidPrice openinterest = i.OpenInterest expiry = i.Expiry self.Log(f'{symbol}: Expiry: {expiry} | AskPrice: {askprice} | BidPrice: {bidprice} | OpenInterest: {openinterest}')