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
 
class MultidimensionalNadionCircuit(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 5, 18)  # Set Start Date
        self.SetEndDate(2020, 5, 18)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.SP = self.AddFuture(Futures.Indices.SP500EMini,Resolution.Minute) 
        self.SP.SetFilter(0, 90)

    def OnData(self, slice):
        for chain in slice.FutureChains:
            self.popularContracts = [contract for contract in chain.Value if contract.OpenInterest > 1000]
            if len(self.popularContracts) == 0:
                continue
            sortedByOIContracts = sorted(self.popularContracts, key=lambda k : k.OpenInterest, reverse=True)
            self.liquidContract = sortedByOIContracts[0]
            hist = self.History(self.liquidContract.Symbol, 60, Resolution.Minute)
            hist =hist["close"]
    def OnEndOfDay(self):
        pass