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
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
using MathNet.Numerics.Statistics;
using Python.Runtime;

namespace QuantConnect.Algorithm.CSharp
{
    public class EsFrontMonthProblem : QCAlgorithm
    {
        public override void Initialize()
        {

            SetStartDate(2017, 12, 01);
            SetEndDate(2018,03,28);
            SetCash(5000);
            SetTimeZone(TimeZones.NewYork);
            
			var futureES = AddFuture(Futures.Indices.SP500EMini, Resolution.Minute);
			futureES.SetFilter(x => x.FrontMonth());
        }

        public override void OnData(Slice slice) {
        	foreach (var chain in slice.FutureChains) {
        		foreach (var contract in chain.Value){
        			Log($"symbol:{contract.Symbol} ID.Date: {contract.Symbol.ID.Date}");
        		}
			}
        }
    }
}