Overall Statistics |
Total Trades 16 Average Win 0.06% Average Loss -0.02% Compounding Annual Return 0.221% Drawdown 0.100% Expectancy 1.180 Net Profit 0.221% Sharpe Ratio 1.008 Probabilistic Sharpe Ratio 50.513% Loss Rate 38% Win Rate 62% Profit-Loss Ratio 2.49 Alpha 0.001 Beta 0.005 Annual Standard Deviation 0.002 Annual Variance 0 Information Ratio -2.61 Tracking Error 0.056 Treynor Ratio 0.33 Total Fees $34.40 Estimated Strategy Capacity $300000000.00 Lowest Capacity Asset ES WSVU0MELFS3L |
from AlgorithmImports import * import datetime class ThisIsATest(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 1, 1) self.SetEndDate(2018, 1, 1) self.SetCash(500000) self._continuousContract = self.AddFuture(Futures.Indices.SP500EMini, resolution=Resolution.Minute) # self._continuousContract.SetFilter(0, 182) self._continuousContract.SetFilter(lambda future_filter_universe: future_filter_universe.FrontMonth()) def OnData(self, data): time_long = datetime.time(23, 30) <= self.Time.time() or self.Time.time() < datetime.time(0, 30) if self.Time.time().minute==31: self.Debug(f"What Time Is It: {self.Time.time()}") if not self.Portfolio.Invested and time_long: self.MarketOrder(self._continuousContract.Mapped, 1) elif not time_long: self.Liquidate()