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
-1.999
Tracking Error
0.065
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
# region imports
from AlgorithmImports import *
# endregion


class FuturesBasis(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(datetime(2024, 5, 10)) #StartDate
        self.SetEndDate(datetime(2024, 5, 30)) #EndDate
        self.futureSP500 = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Daily)
        self.symbol = self.futureSP500.Symbol

    def OnData(self, data):
        #Checking if data contains symbol
        if not data.ContainsKey(self.symbol):
          return
        data_sp500 = data.bars.get(self.symbol)
        if data_sp500:
            self.log(f"Time:{self.time} Closing Price:{data_sp500.close}")