Overall Statistics
Total Trades
1
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
Tracking Error
0
Treynor Ratio
0
Total Fees
$1.85
Estimated Strategy Capacity
$0
Lowest Capacity Asset
GC W6S8T2U7M6CD
 
from AlgorithmImports import *

class CustomSlippageModel:
    def GetSlippageApproximation(self, asset, order):
        return 1

class BasicTemplateFuturesAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2013, 10, 8)
        self.SetEndDate(2013, 10, 10)
        self.SetCash(1000000)

        #self.SetSecurityInitializer(self.CustomSecurityInitializer)
        futureGold = self.AddFuture(Futures.Metals.Gold)
        futureGold.SetFilter(0, 182)


    def CustomSecurityInitializer(self, security):
        seeder = FuncSecuritySeeder(self.GetLastKnownPrices)
        seeder.SeedSecurity(security)
        security.SetSlippageModel(CustomSlippageModel())


    def OnData(self,slice):
        if not self.Portfolio.Invested:
            for chain in slice.FutureChains:
                # Select a contract
                contracts = list(filter(lambda x: x.Expiry > self.Time + timedelta(90), chain.Value))
                if len(contracts) == 0: continue
                contract = sorted(contracts, key = lambda x: x.Expiry, reverse=True)[0]
                
                # Buy the contract
                self.MarketOrder(contract.Symbol , 1)
        else:
            self.Quit()