| Overall Statistics |
|
Total Trades 6158 Average Win 0.37% Average Loss -1.06% Compounding Annual Return 51.105% Drawdown 45.600% Expectancy 0.167 Net Profit 11559.143% Sharpe Ratio 1.263 Probabilistic Sharpe Ratio 51.966% Loss Rate 14% Win Rate 86% Profit-Loss Ratio 0.35 Alpha 0.422 Beta 0.835 Annual Standard Deviation 0.423 Annual Variance 0.179 Information Ratio 0.993 Tracking Error 0.403 Treynor Ratio 0.64 Total Fees $89216.56 Estimated Strategy Capacity $12000000.00 Lowest Capacity Asset TQQQ UK280CGTCB51 |
# Trading based on CBOE vix-vxv ratio
from QuantConnect.Data.Custom.CBOE import *
class VirtualRedDogfish(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2010, 1, 1)
self.SetCash(100000)
self.AddEquity("TQQQ", Resolution.Minute).Symbol
self.AddEquity("TMF", Resolution.Minute).Symbol
self.AddEquity("UVXY", Resolution.Minute).Symbol
self.AddEquity("SPY", Resolution.Minute).Symbol
self.vix = 'CBOE/VIX'
self.vxv = 'CBOE/VXV'
self.AddData(QuandlVix, self.vix, Resolution.Daily)
self.AddData(Quandl, self.vxv, Resolution.Daily)
self.SetWarmUp(100, Resolution.Daily)
self.vix_sma = self.SMA(self.vix, 1, Resolution.Daily)
self.vxv_sma = self.SMA(self.vxv, 1, Resolution.Daily)
self.ratio = IndicatorExtensions.Over(self.vxv_sma, self.vix_sma)
self.spySMA = self.SMA("SPY", 100, Resolution.Daily)
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 1),
self.Trade)
def Trade(self):
if not (self.vix_sma.IsReady or self.vxv_sma.IsReady or self.ratio.IsReady):
return
if self.spySMA is None or not self.spySMA.IsReady:
return
if self.spySMA.Current.Value < self.Securities["SPY"].Price:
if self.ratio.Current.Value < .923:
self.SetHoldings("UVXY", .6)
self.SetHoldings("TMF", 0)
self.SetHoldings("TQQQ", 0)
self.SetHoldings("SPY", .4)
else:
self.SetHoldings("UVXY", 0)
self.SetHoldings("TMF", 0)
self.SetHoldings("TQQQ", .8)
self.SetHoldings("SPY", .2)
else:
if self.ratio.Current.Value < .923:
self.SetHoldings("UVXY", .6)
self.SetHoldings("TMF", .4)
self.SetHoldings("TQQQ", 0)
self.SetHoldings("SPY", 0)
else:
self.SetHoldings("UVXY", 0)
self.SetHoldings("TMF", .2)
self.SetHoldings("TQQQ", .4)
self.SetHoldings("SPY", .4)
class QuandlVix(PythonQuandl):
def __init__(self):
self.ValueColumnName = "Close"