| Overall Statistics |
|
Total Trades 352 Average Win 1.27% Average Loss -0.32% Compounding Annual Return 64.963% Drawdown 3.600% Expectancy 2.325 Net Profit 135.297% Sharpe Ratio 5.56 Probabilistic Sharpe Ratio 100% Loss Rate 33% Win Rate 67% Profit-Loss Ratio 3.99 Alpha 0 Beta 0 Annual Standard Deviation 0.075 Annual Variance 0.006 Information Ratio 5.56 Tracking Error 0.075 Treynor Ratio 0 Total Fees $352.00 Estimated Strategy Capacity $2500000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
from AlgorithmImports import *
class VIXPredictsStockIndexReturns(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 1)
self.SetCash(1000)
self.ticker="SPY"
self.current_state=0
self.trailing_stop=0.12
self.symbol = self.AddEquity(self.ticker, Resolution.Daily).Symbol
self.vix = self.AddEquity("SSG", Resolution.Hour).Symbol
x=9
self.SetWarmUp(x)
self.period =x
self.data = RollingWindow[float](self.period)
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)
hist = self.History([self.vix], self.period, Resolution.Hour)
for close in hist.loc[self.vix]['close']:
self.data.Add(close)
self.Schedule.On(self.DateRules.EveryDay(self.ticker), self.TimeRules.AfterMarketOpen(self.ticker,30), self.EveryDayAfterMarketOpen)
def EveryDayAfterMarketOpen(self):
self.turn_trading_on = True
def OnData(self, data):
if self.IsWarmingUp != False:
return
holdings = self.Portfolio[self.ticker].Quantity
price = self.Securities[self.ticker].Close
quantity=2
symbol_obj = self.Symbol(self.vix)
if symbol_obj in data.Keys:
if data[symbol_obj]:
price = data[symbol_obj].Value
if price != 0:
self.data.Add(price)
if self.data.IsReady:
closes = [x for x in self.data]
price = closes[0]
vix_closes = [x for x in self.data][1:]
if holdings<=0:
if price < np.percentile(vix_closes, 10):
self.MarketOrder(self.ticker, quantity)
stopPrice = round((1-self.trailing_stop)*self.Securities[self.ticker].Price,2)
self.stopTicket = self.StopMarketOrder(self.symbol, quantity, stopPrice,'Exited using Sell Stop')
self.stopTargetPrice = self.Securities[self.ticker].Price
else:
if self.Securities[self.ticker].Price < self.stopTargetPrice and self.stopTargetPrice!=0:
updateFields = UpdateOrderFields()
updateFields.StopPrice = round(self.Securities[self.ticker].Price*(1+self.trailing_stop),2)
self.stopTicket.Update(updateFields)
self.stopTargetPrice = self.Securities[self.ticker].Price
if holdings>0:
if price > np.percentile(vix_closes, 90):
self.Liquidate()
def update_stop(self, buy_sym, sell_sym):
if self.Securities[buy_sym].Price > self.stopTargets[buy_sym] and self.stopTargets[buy_sym]!=0:
updateFields = UpdateOrderFields()
updateFields.StopPrice = round(self.Securities[buy_sym].Price*(1-self.trailing_stop),2)
self.stopTickets[buy_sym].Update(updateFields)
self.stopTargets[buy_sym] = self.Securities[buy_sym].Price