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
-5.52
Tracking Error
0.073
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class VAlgorithm(QCAlgorithmFramework):

    def Initialize(self):
        self.SetStartDate(2012, 2, 1)
        self.SetEndDate(2012, 3, 3)
        self.SetCash(100000)
        
        self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.vix = self.AddIndex('VIX', Resolution.Minute).Symbol

        self.lookbackSTD = 21
        self.lookbackSMA = 1
        self.SetWarmup(self.lookbackSTD + self.lookbackSMA, Resolution.Daily)
        
        self.rollingWindow = RollingWindow[TradeBar](self.lookbackSTD)
        self.first = True
        
        self.Consolidate(self.vix, Resolution.Daily, self.CustomBarHandler)
        
        
    def OnData(self, data):
        if self.IsWarmingUp: return
        if not self.rollingWindow.IsReady: return
        if self.rollingWindow.IsReady and self.first:
            self.Debug("Window ready at "+str(self.Time))
            self.first = False
    
        if self.IsMarketOpen(self.spy) and (self.Time.hour == 9 and self.Time.minute == 31):
            self.Plot("VIX", "VIX Price 21 days ago", self.rollingWindow[self.rollingWindow.Count-1].Close)
            self.Debug(f"{self.Time} !!!Most recent item in rolling window {self.rollingWindow[0].Close}")
            self.Debug(f"{self.Time} !!!Last item in rolling window {self.rollingWindow[self.rollingWindow.Count-1].Close}")

    def CustomBarHandler(self, bar):
        self.rollingWindow.Add(bar)