Overall Statistics
Total Trades
4
Average Win
43.98%
Average Loss
-3.59%
Compounding Annual Return
12.885%
Drawdown
53.000%
Expectancy
5.630
Net Profit
38.812%
Sharpe Ratio
0.538
Probabilistic Sharpe Ratio
18.375%
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
12.26
Alpha
0.373
Beta
-0.774
Annual Standard Deviation
0.486
Annual Variance
0.236
Information Ratio
0.191
Tracking Error
0.616
Treynor Ratio
-0.338
Total Fees
$71.71
 
class NadionParticleAntennaArray(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 1, 1)
        self.VXXO = self.AddEquity('VXX.1', Resolution.Minute).Symbol
    
        self.VXX = self.AddEquity('VXX', Resolution.Minute).Symbol
    
        #self.Schedule.On(self.DateRules.On(2018, 1, 20), self.TimeRules.At(15,15), self.VXXDate)
        self.Schedule.On(self.DateRules.On(2018, 1, 19), self.TimeRules.BeforeMarketClose(self.VXXO, 5), self.VXXDate)
    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings(self.VXXO, 1)
    
    def VXXDate(self):
        # VXX data
        self.Liquidate(self.VXXO)