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
-0.412
Tracking Error
0.173
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# region imports
from AlgorithmImports import *
# endregion

class FatGreenHippopotamus(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2010, 6, 19) 
        self.SetEndDate(2011, 12, 17)
        future = self.AddFuture(Futures.Indices.NASDAQ100EMini, Resolution.Minute, Market.CME, fillDataForward=False, extendedMarketHours = True, dataNormalizationMode = DataNormalizationMode.Raw, dataMappingMode = DataMappingMode.LastTradingDay, contractDepthOffset = 0)
        future.SetFilter(0, 365*2)

    def OnData(self, slice: Slice):
        for continuous_contract_symbol, chain in slice.FuturesChains.items():
            self.Quit("Got data!")