| Overall Statistics |
|
Total Orders 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Start Equity 100000 End Equity 100000 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 2.698 Tracking Error 0.111 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset Portfolio Turnover 0% Drawdown Recovery 0 |
from AlgorithmImports import *
class CustomOptionPriceModelRegressionAlgorithm(QCAlgorithm):
def initialize(self):
self.set_start_date(2026, 3, 1)
self.set_cash(100000)
def add_sic_contract(expiry_str):
expiry = datetime.strptime(expiry_str, "%d %b %Y")
symbol = Symbol.create_future("SIC", Market.COMEX, expiry)
return self.add_future_contract(symbol)
contracts = [add_sic_contract(x) for x in
["28 Apr 2026", "26 Jun 2026", "27 Aug 2026", "25 Nov 2026"]]
x=1
def on_data(self, slice):
mapped = self._future.mapped
if mapped:
symbol = Symbol.create_future("SIC", mapped.id.market, mapped.id.date)
if symbol not in self.securities:
self.add_future_contract(symbol)