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}");
            }
        }
    }
}