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
-0.597
Tracking Error
0.324
Treynor Ratio
0
Total Fees
$0.00
|
import numpy as np from System import * from NodaTime import DateTimeZone from clr import AddReference AddReference("System") AddReference("QuantConnect.Algorithm") AddReference("QuantConnect.Common") from System import * from QuantConnect import * from QuantConnect.Algorithm import * from QuantConnect.Data import * from datetime import timedelta class ScheduledEventsAlgorithm(QCAlgorithm): '''Basic template algorithm simply initializes the date range and cash''' def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.SetStartDate(2019, 6, 1) #Set Start Date self.SetEndDate(2020, 6, 1) #Set End Date self.SetCash(100000) #Set Strategy Cash #Timezone Setting self.SetTimeZone(DateTimeZone.Utc) # Setup Interactive Broker self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage) #Adding Instruments self.futureES = self.AddSecurity(SecurityType.Future, Futures.Indices.SP500EMini, Resolution.Hour); self.Log(f"Is Canonical: {self.futureES.Symbol.IsCanonical()}")