| Overall Statistics |
|
Total Orders 6 Average Win 0.63% Average Loss -0.05% Compounding Annual Return 6.842% Drawdown 0.300% Expectancy 6.313 Net Profit 1.143% Sharpe Ratio 3.074 Sortino Ratio 3.963 Probabilistic Sharpe Ratio 90.341% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 13.63 Alpha 0.039 Beta -0.027 Annual Standard Deviation 0.012 Annual Variance 0 Information Ratio -0.171 Tracking Error 0.107 Treynor Ratio -1.397 Total Fees $9.12 Estimated Strategy Capacity $740000000.00 Lowest Capacity Asset MGC VOFJUCDY9XNH Portfolio Turnover 0.65% |
#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.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Selection;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Crypto;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Storage;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
using QuantConnect.DataSource;
namespace QuantConnect
{
public class USFuturesDataAlgorithm : QCAlgorithm
{
private Future _miniGold;
private Future _microGold;
private Dictionary<Symbol, FuturesContract?> _contract = new Dictionary<Symbol, FuturesContract?>();
public override void Initialize()
{
SetStartDate(2013, 12, 20);
SetEndDate(2014, 2, 20);
SetCash(1000000);
UniverseSettings.Asynchronous = true;
_miniGold = AddFuture(Futures.Metals.Gold);
_miniGold.SetFilter(0, 90);
_contract.Add(_miniGold.Symbol, null);
_microGold = AddFuture(Futures.Metals.MicroGold);
_microGold.SetFilter(0, 90);
_contract.Add(_microGold.Symbol, null);
}
public override void OnData(Slice slice)
{
foreach (var kvp in slice.FutureChains)
{
var symbol = kvp.Key;
var chain = kvp.Value;
if (_contract.ContainsKey(symbol))
{
// Select the contract with the greatest open interest
var mostLiquidContract = chain.OrderBy(x => x.OpenInterest).Last();
if (_contract[symbol] == null || mostLiquidContract.Symbol != _contract[symbol].Symbol)
{
if (_contract[symbol] != null)
{
Liquidate(_contract[symbol].Symbol);
}
_contract[symbol] = mostLiquidContract;
if (symbol == _miniGold.Symbol)
{
MarketOrder(_contract[symbol].Symbol, 1);
}
else if (symbol == _microGold.Symbol)
{
MarketOrder(_contract[symbol].Symbol, -1);
}
}
}
}
}
public override void OnSecuritiesChanged(SecurityChanges changes)
{
foreach (var security in changes.AddedSecurities)
{
// Historical data
var history = History(security.Symbol, 100, Resolution.Minute);
Debug($"We got {history.Count()} from our history request for {security.Symbol}");
}
}
}
}