Overall Statistics
Total Trades
2238
Average Win
0.10%
Average Loss
-0.11%
Compounding Annual Return
10.466%
Drawdown
25.900%
Expectancy
0.440
Net Profit
170.719%
Sharpe Ratio
0.788
Loss Rate
23%
Win Rate
77%
Profit-Loss Ratio
0.88
Alpha
0.164
Beta
-2.744
Annual Standard Deviation
0.139
Annual Variance
0.019
Information Ratio
0.644
Tracking Error
0.139
Treynor Ratio
-0.04
Total Fees
$2243.40
 
import numpy as np

class spyVXXAlgo(QCAlgorithm):

    def Initialize(self):
        
        self.SetStartDate(2009,1, 1) # Set Start Date
        self.SetEndDate(2019,1,1)    # Set End Date
        self.SetCash(100000)         # Set Strategy Cash

        # Define the security universe
        self.tickers = ["SPY","VXX"]
        for symbol in self.tickers:
            self.AddEquity(symbol, Resolution.Daily)
        

    def OnData(self, data):
            # Rebalance portfolio daily
            for symbol in self.tickers:
                if symbol=="SPY":
                    self.SetHoldings(symbol,0.95)
                else:
                    self.SetHoldings(symbol,0.05)