Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe 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 -5.214 Tracking Error 0.052 Treynor Ratio 0 Total Fees $0.00 |
from QuantConnect.Data.Custom.CBOE import * class VentralTachyonAtmosphericScrubbers(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 12, 6) self.SetEndDate(2018, 1, 1) self.SetCash(500) self.vix = self.AddData(CBOE, "VIX").Symbol self.vix3m = self.AddData(CBOE, "VIX3M").Symbol def OnData(self, data): self.Plot("VIX Data", "VIX", data[self.vix].Close) self.Plot("VIX3M Data", "VIX3M", data[self.vix3m].Close)