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
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
class UncoupledTransdimensionalReplicator(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 4, 20)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("VXXB", Resolution.Daily)
        self.AddEquity("VXX", Resolution.Daily)


    def OnData(self, data):
        
        for key in data.Keys:
            self.Log(key.Value+" "+str(data[key].Price))
            if data.SymbolChangedEvents.ContainsKey(key.Value):
                self.Log("Old symbol: {0}, New symbol: {1}".format(data.SymbolChangedEvents[key].OldSymbol,data.SymbolChangedEvents[key].NewSymbol))
                
            if data.Delistings.ContainsKey(key.Value):
                delisting = data.Delistings[key]
                ## Log the delisting warning type
                self.Log(delisting.ToString())