Overall Statistics
Total Trades
7110
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Sortino Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$15286.50
Estimated Strategy Capacity
$540000.00
Lowest Capacity Asset
NQ Y1VKEF59AV41
Portfolio Turnover
11571.24%
 
from AlgorithmImports import *

class USFuturesDataAlgorithm(QCAlgorithm):

    def Initialize(self):
        
        self.SetStartDate(2021, 9, 21) 
        self.SetEndDate(2021, 9, 22)
        self.SetCash(10000000) 
        
        self.future = self.AddFuture(Futures.Indices.NASDAQ100EMini, Resolution.Minute)
        self.symbol = self.future.Symbol
        self.future.SetFilter(0, 3*365)
    

    def OnData(self, slice: Slice) -> None:
            if self.Portfolio.Invested:
                self.Liquidate()
        
            chain = slice.FuturesChains.get(self.symbol)
            if chain:
                contract = sorted(chain, key=lambda contract: contract.OpenInterest, reverse=True)
                for c in contract:
                    self.MarketOrder(c.Symbol, 1)