Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000
End Equity
100000
Net Profit
0%
Sharpe Ratio
0
Sortino 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
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
# region imports
from AlgorithmImports import *
# endregion

class BasicTemplateAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2023, 7, 6)

        if not self.live_mode:
            self.quit("not live")
            return
        self.add_index("N225")
        self.add_index("RUT")
        self.add_index("HSI")
        future_hsi = self.add_future(Futures.Indices.HangSeng,
                                extended_market_hours=True)
        future_hsi.set_filter(timedelta(0), timedelta(180))
        
        future_rut = self.add_future(Futures.Indices.RUSSELL_2000_E_MINI,
                                extended_market_hours=True)
        future_rut.set_filter(timedelta(0), timedelta(180))
        
        future_nkd = self.add_future(Futures.Indices.NIKKEI_225_DOLLAR,
                                extended_market_hours=True)
        future_nkd.set_filter(timedelta(0), timedelta(180))

    def on_data(self, slice):
        if self.live_mode:
            self.debug(f"{str(self.time)}: [{[str(data) for data in slice.all_data]}]")

    def on_order_event(self, order_event):
        self.debug(f"{str(self.time)}: Event: " + str(order_event) + ". Holdings: " + str(self.securities[order_event.symbol].holdings))