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
-6.88
Tracking Error
0.082
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
 
class CrawlingOrangeGaur(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.SetCash(1000000)
        self.symbols = []
        
        tickers = [Futures.Grains.Corn, Futures.Grains.Soybeans]
        for ticker in tickers:
            future = self.AddFuture(ticker)
            future.SetFilter(lambda x: x.FrontMonth().OnlyApplyFilterAtMarketOpen())


    def OnSecuritiesChanged(self, changes):
        for security in changes.AddedSecurities:
            self.symbols.append(security.Symbol)
        
        for security in changes.RemovedSecurities:
            self.symbols.remove(security.Symbol)
    
        if len(self.symbols) > 2:
            self.Quit(f"Symbols: {len(self.symbols)}")