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
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class UncoupledVentralPrism(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 8, 31)
        self.SetEndDate(2021, 8, 31)
        self.SetCash(100000)
        
        future = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute)
        future.SetFilter(timedelta(0), timedelta(180))
        self.Consolidate(future.Symbol, timedelta(minutes=5), self.customBarHandler)

        self.macd = self.MACD(future.Symbol, 12, 26, 9, MovingAverageType.Exponential, Resolution.Minute)
        self.macd.Updated += self.macdUpdated
        self.macdWindow = RollingWindow[IndicatorDataPoint](10)
        self.RegisterIndicator(future.Symbol, self.macd, timedelta(minutes=5))
        self.tradeBarWindow = RollingWindow[QuoteBar](10)
        
        self.currentDate = 0
        self.currentMinute = 0

    def OnData(self, data):
        if self.currentMinute == self.Time.minute:
            return 
            
        for chain in data.FutureChains:
            contracts = [contract for contract in chain.Value]
            self.Debug("------------")
            sorted_contracts = sorted(contracts, key=lambda x: x.Expiry)
            for c in sorted_contracts:
                self.Debug("symbol : {} and expiry : {}".format(c.Symbol.Value, c.Expiry))
                self.Debug("close price : {} and open price : {}".format(data[c.Symbol].Close, data[c.Symbol].Open))
                self.Debug("rolling window : ")
            if len(sorted_contracts) == 0:
                self.Debug("nothing")
        
        self.currentMinute = self.Time.minute
        
    def customBarHandler(self, bar):
        self.tradeBarWindow.Add(bar)
        
    def macdUpdated(self, sender, updated):
        self.macdWindow.Add(updated)