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Can someone show me how to convert this "Getting Started" algorithm from a stock to a Continuous Futures?

Just getting started with this and it would be super helpful if someone would show me the correct way to convert this stock example to a futures example. I would love to see it using the future "/cl" (light sweet oil)

Clone Algorithm
Backtest from to with initial capital
Total Returns
Max Drawdown
Benchmark Returns
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5959a707e4bffa4de8d57859
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1 response

Hi Bridger,
There are a lot of resources on our website to help you with this. For example, take a look at our example Pairs Trade Futures Algorithm: Basically, the idea is to instantiate a continuous futures object in the initialize instead of your SIDs, get them into some kind of list like context.security_list in the algo that you posted, get the data in the same way that you did before and then use the same ordering scheme or if you prefer, the Order Optimizer (help here

If you have any specific questions about code, post snippets below and I can answer questions.


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