Backtest

Overall Statistics
Total Orders 39 Average Win 1.10% Average Loss -1.45% Compounding Annual Return -0.539% Drawdown 10.500% Expectancy 0.021 Start Equity 100000 End Equity 99156.2 Net Profit -0.844% Sharpe Ratio -0.746 Sortino Ratio -0.857 Probabilistic Sharpe Ratio 6.399% Loss Rate 42% Win Rate 58% Profit-Loss Ratio 0.76 Alpha -0.061 Beta 0.183 Annual Standard Deviation 0.075 Annual Variance 0.006 Information Ratio -0.606 Tracking Error 0.137 Treynor Ratio -0.305 Total Fees $96.33 Estimated Strategy Capacity $670000000.00 Lowest Capacity Asset 6A Z1KISFIJ5FK1 Portfolio Turnover 4.60% Drawdown Recovery 526

#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Algorithm.Selection;
    using QuantConnect.Api;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Commands;
    using QuantConnect.Configuration;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Auxiliary;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.Data.Custom.IconicTypes;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.Shortable;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.OptionExercise;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Orders.TimeInForces;
    using QuantConnect.Python;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Positions;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;
    using QuantConnect.Securities.CryptoFuture;
    using QuantConnect.Securities.IndexOption;
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Securities.Volatility;
    using QuantConnect.Storage;
    using QuantConnect.Statistics;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
    using Calendar = QuantConnect.Data.Consolidators.Calendar;
#endregion

public class BasicFutureAlgorithm : QCAlgorithm
{
    private Future _future;
    public override void Initialize()
    {
        SetStartDate(2024,9,1);
        //SetEndDate(2014,12,21);
        UniverseSettings.Asynchronous = true;
        _future = AddFuture("6A",
            extendedMarketHours: true,
            dataMappingMode: DataMappingMode.OpenInterest,
            dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
            contractDepthOffset: 0);
        _future.SetFilter(0, 185);
    }

    // Track events when security changes its ticker, allowing the algorithm to adapt to these changes.
    public override void OnData(Slice slice)
    {
        foreach (var (symbol, changedEvent) in slice.SymbolChangedEvents)
        {
            var oldSymbol = Symbol(changedEvent.OldSymbol);
            var newSymbol = Symbol(changedEvent.NewSymbol);
            var quantity = Portfolio[oldSymbol].Quantity;

            // Rolling over: to liquidate any position of the old mapped contract and switch to the newly mapped contract
            var tag = $"Rollover - Symbol changed at {Time}: {oldSymbol.Value} -> {newSymbol.Value}";
            Liquidate(symbol: oldSymbol, tag: tag);
            if (quantity != 0) MarketOrder(newSymbol, quantity, tag: tag);

            if (slice.FutureChains.TryGetValue(_future.Symbol, out var chain))
            {
                var openInterests = chain
                    .OrderBy(c => c.Expiry)
                    .ToDictionary(k=>k.Symbol, v=>v.OpenInterest);
                var contracts = string.Join("; ", openInterests.Select(c=> $"{c.Key.Value}: {c.Value}"));
                Log($"New: {newSymbol.Value} <- Old: {oldSymbol.Value}");
                Log($"{contracts}");
            }
        }

        if (Portfolio.Invested || _future.Mapped == null )
        {
            return;
        }
        MarketOrder(_future.Mapped, 1);
    }
}