Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
6985.446%
Drawdown
22.500%
Expectancy
0
Net Profit
108.631%
Sharpe Ratio
23.75
Probabilistic Sharpe Ratio
92.928%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
18.204
Beta
-2.235
Annual Standard Deviation
0.761
Annual Variance
0.578
Information Ratio
22.555
Tracking Error
0.798
Treynor Ratio
-8.081
Total Fees
$160.95
Estimated Strategy Capacity
$140000000.00
Lowest Capacity Asset
GC VOFJUCDY9XNH
 
# Boot Camp (#1)

from AlgorithmImports import *
from math import floor

class BasicTemplateFuturesAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2013, 12, 20) 
        self.SetEndDate(2014, 2, 20) 
        self.SetCash(1000000) 
        self.gold = self.AddFuture(Futures.Metals.Gold) 
        self.gold.SetFilter(0, 90)
        
        #1. Widen the free portfolio percentage to 30% to avoid margin calls for futures
        self.Settings.FreePortfolioValuePercentage = 0.30
    
    def OnMarginCallWarning(self):
        self.Error("You received a margin call warning..")
        
    def OnData(self, slice):
       
        for chain in slice.FutureChains:
            self.popularContracts = [contract for contract in chain.Value if contract.OpenInterest > 1000]
  
            if len(self.popularContracts) == 0:
                continue
    
            sortedByOIContracts = sorted(self.popularContracts, key=lambda k : k.OpenInterest, reverse=True)
            self.liquidContract = sortedByOIContracts[0]
           
            if not self.Portfolio.Invested:
                #2. Delete the old code for manually calculating the position size (lines 30-33) 
            
                #3. Replace the manually calculated math above with 
                # the SetHoldings function to automatically calculate your position size
                self.SetHoldings(self.liquidContract.Symbol, 1)