Overall Statistics
Total Trades
159
Average Win
0.66%
Average Loss
-0.32%
Compounding Annual Return
-9.995%
Drawdown
9.200%
Expectancy
-0.152
Net Profit
-4.004%
Sharpe Ratio
-0.846
Loss Rate
72%
Win Rate
28%
Profit-Loss Ratio
2.04
Alpha
-0.114
Beta
0.227
Annual Standard Deviation
0.094
Annual Variance
0.009
Information Ratio
-2.215
Tracking Error
0.105
Treynor Ratio
-0.35
Total Fees
$588.30
 
namespace QuantConnect
{   
    public class SmaFutures : QCAlgorithm
    {
		private SimpleMovingAverage _sma5;
		private SimpleMovingAverage _sma9;

		public override void Initialize()
        {
            SetStartDate(2017, 1, 1);         
            var equity = AddEquity("SPY");
            var future = AddFuture(Futures.Indices.SP500EMini);
            future.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(60));
		    
            // Indicators
            _sma5 = SMA(equity.Symbol, 5);
            _sma9 = SMA(equity.Symbol, 9);
        }
        
        public override void OnData(Slice slice)
        {
        	if (!Portfolio.Invested)
        	{
        		foreach(var chain in slice.FutureChains)
            	{
                    var contract = (
                        from futuresContract in chain.Value.OrderBy(x => x.Expiry)
                        where futuresContract.Expiry > Time.Date.AddDays(5)
                	    select futuresContract
                	).FirstOrDefault();

                    if (contract != null)
    	            {
    	            	var quantity = _sma5 > _sma9 ? 2 : -2;
        	            MarketOrder(contract.Symbol, quantity);
            	    }
                }
        	}
        }
        
        public override void OnEndOfDay() {
        	Liquidate();
        }
    }
}