Overall Statistics
Total Trades
9
Average Win
16.18%
Average Loss
-25.88%
Compounding Annual Return
16.253%
Drawdown
34.600%
Expectancy
0.219
Net Profit
16.301%
Sharpe Ratio
0.624
Probabilistic Sharpe Ratio
31.770%
Loss Rate
25%
Win Rate
75%
Profit-Loss Ratio
0.63
Alpha
0.03
Beta
0.732
Annual Standard Deviation
0.272
Annual Variance
0.074
Information Ratio
-0.118
Tracking Error
0.181
Treynor Ratio
0.231
Total Fees
$99.90
 
from math import floor

class BasicTemplateFuturesAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash)
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2020, 12, 31)
        self.SetCash(1000000) 
        self.ticker = "ES"
        self.sp500 = self.AddFuture(self.ticker, Resolution.Minute) 
        self.sp500.SetFilter(0, 180)
        self.SetBenchmark("SPY")
        self.cashRatio = 1
        
        #1. Widen the free portfolio percentage to avoid margin calls for futures
        # self.Settings.FreePortfolioValuePercentage = 0.99
        # self.Settings
    
    def OnMarginCallWarning(self):
        self.Error("You received a margin call warning..")

    def OnMarginCall(self, requests):
        self.Error("YOU MESSED UP, MARGIN CALLED.")
        
    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]
            
            # self.future = self.Securities[self.liquidContract.Symbol]
            # self.contractsToBuy = floor( self.Portfolio.MarginRemaining / ((self.liquidContract.AskPrice*self.future.SymbolProperties.ContractMultiplier)*self.cashRatio) )
            # self.MarketOrder(self.liquidContract.Symbol, self.contractsToBuy)
           
            if not self.Portfolio.Invested:
                # #2. Delete the old code for manually calculating the position size (lines 30-33) 
                # self.notionalValue = self.liquidContract.AskPrice*self.gold.SymbolProperties.ContractMultiplier 
                self.future = self.Securities[self.liquidContract.Symbol]
                # future.Leverage
                self.contractsToBuy = floor( self.Portfolio.MarginRemaining / ((self.liquidContract.AskPrice*self.future.SymbolProperties.ContractMultiplier)*self.cashRatio) )
                # self.contractsToBuy = floor( self.Portfolio.MarginRemaining / self.future.BuyingPowerModel.InitialOvernightMarginRequirement )
                # self.SetHoldings(self.liquidContract.Symbol, 1)
                self.MarketOrder(self.liquidContract.Symbol, self.contractsToBuy)
            
                #3. Replace the manually calculated math above with 
                # the SetHoldings function to automatically calculate your position size