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
-0.381
Tracking Error
0.176
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# region imports
from AlgorithmImports import *
# endregion

class FocusedMagentaDogfish(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2010, 9, 20)
        self.SetEndDate(2011, 12, 16)
        self.SetCash(100000)

        future = self.AddFuture(Futures.Energies.CrudeOilWTI,
                                Resolution.Minute,
                                fillDataForward=True,
                                extendedMarketHours = True,
                                dataNormalizationMode = DataNormalizationMode.Raw,
                                dataMappingMode = DataMappingMode.LastTradingDay,
                                contractDepthOffset = 0)   
        future.SetFilter(0, 365)    
        self.future_symbol = future.Symbol

        self.not_missing_chain_count = 0
        self.missing_chain_count = 0

    def OnData(self, slice: Slice) -> None:
        chain = slice.FuturesChains.get(self.future_symbol)
        if chain:
            self.not_missing_chain_count += 1
        else:
            self.missing_chain_count += 1
    
    def OnEndOfAlgorithm(self):
        self.Debug(f"Missing FuturesChains: {self.missing_chain_count}; Not missing: {self.not_missing_chain_count}")