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
-9.148
Tracking Error
0.061
Treynor Ratio
0
Total Fees
$0.00
 
class MultidimensionalNadionInterceptor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 12, 23)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        self.sp = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute)
        self.sp.SetFilter(0, 90)
        
        contracts = self.FutureChainProvider.GetFutureContractList(self.sp.Symbol, self.StartDate)
        self.Log(f"L: {len(contracts)}")