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
2.682
Tracking Error
0.258
Treynor Ratio
0
Total Fees
$0.00
 
class ModulatedTachyonGearbox(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 9, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        treasury = self.AddFuture(Futures.Financials.Y10TreasuryNote)
        treasury.SetFilter(0, 90)
        
        gold = self.AddFuture(Futures.Metals.Gold)
        gold.SetFilter(0, 90)
        
        self.contracts = []
        
        self.curr_month = -1
        
    def OnData(self, data):
        
        for contract in self.contracts:
            # put trading or any additional logic here if NOT trading on a monthly res
            pass
        
        
        # rollover logic
        if self.curr_month == self.Time.month:
            return
        self.curr_month == self.Time.month
        for chain in data.FutureChains:
            contracts = sorted([contract for contract in chain.Value], key=lambda x: x.OpenInterest, reverse=True)
            contract = contracts[0]
            
            # put trading logic here if trading on a monthly res
            
            self.contracts.append(contract.Symbol)