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
-0.597
Tracking Error
0.324
Treynor Ratio
0
Total Fees
$0.00
 
import numpy as np
from System import *
from NodaTime import DateTimeZone

from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Data import *
from datetime import timedelta



class ScheduledEventsAlgorithm(QCAlgorithm):
    '''Basic template algorithm simply initializes the date range and cash'''

    def Initialize(self):
        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

        self.SetStartDate(2019, 6, 1)   #Set Start Date
        self.SetEndDate(2020, 6, 1)     #Set End Date
        self.SetCash(100000)            #Set Strategy Cash
        
        #Timezone Setting
        self.SetTimeZone(DateTimeZone.Utc)
        
        # Setup Interactive Broker
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
        
        #Adding Instruments 
        self.futureES = self.AddSecurity(SecurityType.Future, Futures.Indices.SP500EMini, Resolution.Hour);
        self.Log(f"Is Canonical: {self.futureES.Symbol.IsCanonical()}")