Overall Statistics
Total Trades
33
Average Win
1.34%
Average Loss
-0.45%
Compounding Annual Return
1.562%
Drawdown
5.500%
Expectancy
2.220
Net Profit
14.244%
Sharpe Ratio
0.587
Probabilistic Sharpe Ratio
7.352%
Loss Rate
19%
Win Rate
81%
Profit-Loss Ratio
2.96
Alpha
0.002
Beta
0.097
Annual Standard Deviation
0.019
Annual Variance
0
Information Ratio
-0.671
Tracking Error
0.13
Treynor Ratio
0.113
Total Fees
$31.45
Estimated Strategy Capacity
$370000000.00
Lowest Capacity Asset
ES XZDYPWUWC7I9
 
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.

from AlgorithmImports import *

class BasicTemplateFuturesAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2013, 10, 8)
        self.SetCash(1000000)
        self.DateRules.Every(DayOfWeek.Monday) 
        self.TimeRules.At(21, 00)
        #self.contractSymbol = 
        # Subscribe and set our expiry filter for the futures chain
        futureSP500 = self.AddFuture(Futures.Indices.SP500EMini)
        futureSP500.SetFilter(timedelta(0), timedelta(182))
        
        benchmark = self.AddEquity("SPY")
        self.SetBenchmark(benchmark.Symbol)
        seeder = FuncSecuritySeeder(self.GetLastKnownPrices)
        self.SetSecurityInitializer(lambda security: seeder.SeedSecurity(security))

    def OnData(self,slice):
        if not self.Portfolio.Invested:
            for chain in slice.FutureChains:
                 # Get contracts expiring no earlier than in 90 days
                contracts = list(filter(lambda x: x.Expiry > self.Time + timedelta(90), chain.Value))

                # if there is any contract, trade the front contract
                if len(contracts) == 0: continue
                front = sorted(contracts, key = lambda x: x.Expiry, reverse=True)[0]

                self.contractSymbol = front.Symbol
                
                self.MarketOrder(front.Symbol , 1)