Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
26.479%
Drawdown
9.000%
Expectancy
0
Net Profit
14.695%
Sharpe Ratio
1.85
Probabilistic Sharpe Ratio
73.799%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.138
Beta
0.733
Annual Standard Deviation
0.128
Annual Variance
0.016
Information Ratio
1.107
Tracking Error
0.092
Treynor Ratio
0.323
Total Fees
$1.23
 
from QuantConnect.Data.Custom.Fred import *

class TachyonQuantumContainmentField(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 4, 23)
        self.SetCash(100000)
        self.aapl = self.AddEquity("AAPL", Resolution.Daily).Symbol
        self.vix = self.AddData(Fred, Fred.CBOE.VIX).Symbol

    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 not self.Portfolio.Invested and data.ContainsKey(self.vix):
            self.SetHoldings(self.aapl, 0.5)