Overall Statistics Total Trades 7496 Average Win 0.00% Average Loss 0.00% Compounding Annual Return -100.000% Drawdown 10.400% Expectancy -0.827 Net Profit -10.389% Sharpe Ratio -70.785 Loss Rate 90% Win Rate 10% Profit-Loss Ratio 0.66 Alpha -9.024 Beta -0.226 Annual Standard Deviation 0.128 Annual Variance 0.016 Information Ratio -68.8 Tracking Error 0.133 Treynor Ratio 39.993 Total Fees \$13867.60
```import clr
clr.AddReference("System")
clr.AddReference("QuantConnect.Algorithm")
clr.AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *

class BasicTemplateFuturesAlgorithm(QCAlgorithm):
''' This example demonstrates how to add futures for a given underlying.
It also shows how you can prefilter contracts easily based on expirations.
It also shows how you can inspect the futures chain to pick a specific contract to trade.'''

def Initialize(self):
self.SetStartDate(2016, 8, 17)
self.SetEndDate(2016, 8, 20)
self.SetCash(1000000)

futureSP500 = self.AddFuture(Futures.Indices.SP500EMini)
futureGold = self.AddFuture(Futures.Metals.Gold)

# set our expiry filter for this futures chain
futureSP500.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182))
futureGold.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182))

benchmark = self.AddEquity("SPY")
self.SetBenchmark(benchmark.Symbol)

def OnData(self, slice):
if not self.Portfolio.Invested:
for chain in slice.FutureChains:
# find the front contract expiring no earlier than in 90 days
contracts = [ i for i in chain.Value if i.Expiry > self.Time.Date.AddDays(90) ]

# if thre is more than one contract, trade the one woth the closes expire date
if len(contracts) > 0:
contract = sorted(contracts, key=lambda x: x.Expiry, reverse=True)
self.MarketOrder(contract.Symbol, 1);
else:
self.Liquidate();

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