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
-2.881
Tracking Error
0.108
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class VIXDataModel(QCAlgorithm):
    
    def Initialize(self):
        self.SetStartDate(2021, 3, 20)  # Set Start Date
        self.SetEndDate(2021, 5, 20)
        self.SetCash(100000)  # Set Strategy Cash
        self.vix = self.AddIndex("VIX", Resolution.Minute)

        vPlot = Chart('VIX')
        vPlot.AddSeries(Series('Open', SeriesType.Line, 0))
        self.AddChart(vPlot)

    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''
        if self.Time.minute == 0:
            self.Debug("{0} Vix OHLC {1:.2f} {2:.2f} {3:.2f} {4:.2f}".format(self.Time,
                self.vix.Open, self.vix.High, self.vix.Low, self.vix.Close))
            self.Plot('VIX', 'Open', self.vix.Open)