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
-0.236
Tracking Error
0.402
Treynor Ratio
0
Total Fees
$0.00
 
class BootCampTask(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 10)
        #self.SetEndDate(2020, 4, 16)
        self.SetCash(1000000) 
        self.gold = self.AddFuture(Futures.Energies.WTIBrentFinancial)
        self.gold.SetFilter(1, 90)
        self.max_daily_contracts = 0
      
    def OnData(self, slice):
        for chain in slice.FutureChains:
            contracts = [contract for contract in chain.Value]
            if len(contracts) == 0:
                continue
            
            if not self.Portfolio.Invested and slice.ContainsKey(contracts[0].Symbol):
                self.MarketOrder(contracts[0].Symbol, 1)
            
            if len(contracts) > self.max_daily_contracts:
                self.max_daily_contracts = len(contracts)

    def OnEndOfDay(self):
        self.Plot("Contracts", "NumContracts", self.max_daily_contracts)
        self.max_daily_contracts = 0