Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-4.006%
Drawdown
0.400%
Expectancy
0
Net Profit
0%
Sharpe Ratio
-1.921
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.055
Beta
-0.191
Annual Standard Deviation
0.016
Annual Variance
0
Information Ratio
-7.088
Tracking Error
0.067
Treynor Ratio
0.157
Total Fees
$1.85
 
from datetime import timedelta

class BasicTemplateFuturesAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2017, 9, 05)
        self.SetEndDate(2017, 9, 15)
        self.SetCash(1000000)


        futureGC = self.AddFuture(Futures.Metals.Gold)
        futureGC.SetFilter(timedelta(0), timedelta(182))
   

    def OnData(self,slice):
        if not self.Portfolio.Invested:
            for chain in slice.FutureChains:
                
                contracts = filter(lambda x: x.Symbol.Value ==  'GCZ17', chain.Value)

                if len(contracts) == 0: continue
                contract = sorted(contracts, key = lambda x: x.Expiry, reverse=True)[0]
                self.MarketOrder(contract.Symbol , 1)

    def OnOrderEvent(self, orderEvent):
        self.Log(str(orderEvent))