Overall Statistics
```# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
#
# you may not use this file except in compliance with the License.
#
# Unless required by applicable law or agreed to in writing, software
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Securities import *
from datetime import timedelta
import decimal as d
import numpy as np

class FuturesMomentumAlgorithm(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2016, 1, 1)
self.SetEndDate(2016, 8, 18)
self.SetCash(100000)
fastPeriod = 20
slowPeriod = 60
self._tolerance = d.Decimal(1 + 0.001)
self.IsUpTrend = False
self.IsDownTrend = False
self.SetWarmUp(max(fastPeriod, slowPeriod))

self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)

# Adds SPY to be used in our EMA indicators

## SP500 Emini futures
future.SetFilter(timedelta(0), timedelta(90))

def OnData(self, slice):
for chain in slice.FuturesChains:
# find the front contract expiring no earlier than in 30 days
contracts = list(filter(lambda x: x.Expiry > self.Time + timedelta(30), chain.Value))
# if there is any contract, trade the front contract
if len(contracts) == 0: continue
contract = sorted(contracts, key = lambda x: x.Expiry, reverse=True)[0]

## VERY arbitrary code: buy every hour on the 15-min, sell 30min later
if self.Time.minute == 15:
self.MarketOrder(contract.Symbol, 1)
if self.Time.minute == 45:
self.MarketOrder(contract.Symbol, -1)

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