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
-5.962
Tracking Error
0.08
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 SquareRedPigeon(QCAlgorithm):
    def initialize(self):
        e7 = SymbolRepresentation.parse_future_symbol("E719H12")
        j7 = SymbolRepresentation.parse_future_symbol("J719H12")
        self.set_end_date(max([e7.id.date, j7.id.date]))
        self.set_start_date(2012,1,1)
        [self.add_future_contract(x) for x in [e7, j7]]

    def on_end_of_day(self, symbol):
        self.plot(symbol.value, 'EOD', self.securities[symbol].price)