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
-2.626
Tracking Error
0.056
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
from AlgorithmImports import *
import datetime


class ThisIsATest(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2017, 1, 1)
        self.SetEndDate(2018, 1, 1)
        self.SetCash(1000000)
        self._continuousContract = self.AddFuture(Futures.Indices.SP500EMini,
                                                  contractDepthOffset=0,
                                                  resolution=Resolution.Minute)

    def OnData(self, data):

        time_long = datetime.time(23, 55) <= self.Time.time() or self.Time.time() < datetime.time(0, 5)

        self._currentContract = self.Securities[self._continuousContract.Mapped]

        if not self.Portfolio.Invested and time_long:
            self.MarketOrder(self._currentContract.Symbol, 1)
        elif self.Portfolio.Invested and not time_long:
            self.Liquidate()