Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
1000000
End Equity
1000000
Net Profit
0%
Sharpe Ratio
0
Sortino 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
-0.64
Tracking Error
0.104
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
Drawdown Recovery
0
 
# region imports
from AlgorithmImports import *
# endregion

class VirtualMagentaBeaver(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2023, 8, 1)
        self.set_end_date(2023, 12, 20)
        self.set_cash(1000000)
        self._future = self.add_future(
            Futures.Indices.SP_500_E_MINI,
            extended_market_hours=True,
            data_mapping_mode=DataMappingMode.OPEN_INTEREST,
            data_normalization_mode=DataNormalizationMode.BACKWARDS_RATIO,
            contract_depth_offset=0
        )
        self._future.set_filter(0, 182)

        self.schedule.on(
            self.date_rules.every_day(self._future),
            self.time_rules.before_market_open(self._future, 10),
            self._trade
        )
    
    def _trade(self):
        if not self.portfolio.invested and self._future.mapped:
            self.market_on_open_order(self._future.mapped, 1)