| Overall Statistics |
|
Total Trades 89 Average Win 0.09% Average Loss -0.11% Compounding Annual Return -49.851% Drawdown 2.300% Expectancy -0.284 Net Profit -1.447% Sharpe Ratio -4.452 Probabilistic Sharpe Ratio 13.229% Loss Rate 61% Win Rate 39% Profit-Loss Ratio 0.85 Alpha -0.888 Beta 0.793 Annual Standard Deviation 0.091 Annual Variance 0.008 Information Ratio -12.724 Tracking Error 0.08 Treynor Ratio -0.512 Total Fees $1317.20 Estimated Strategy Capacity $2600000.00 Lowest Capacity Asset MES XMXYBDF3IXHD |
import datetime
from AlgorithmImports import *
class BasicTemplateFuturesAlgorithm(QCAlgorithm):
def __init__(self):
super().__init__()
self.signal = None
def Initialize(self):
self.SetStartDate(2020, 12, 25)
self.SetEndDate(2021, 1, 1)
self.SetCash(100000)
resolution = Resolution.Hour
es = self.AddFuture(Futures.Indices.MicroSP500EMini, resolution)
vx = self.AddFuture(Futures.Indices.VIX, resolution)
es.SetFilter(TimeSpan.FromDays(5), TimeSpan.FromDays(30))
vx.SetFilter(TimeSpan.FromDays(5), TimeSpan.FromDays(130))
def OnMarginCallWarning(self):
self.Error("You received a margin call warning..")
def OnData(self, slice):
for chain in slice.FutureChains:
vix_contracts = [contract for contract in chain.Value if contract.Symbol.ID.Symbol == Futures.Indices.VIX]
es_contracts = [contract for contract in chain.Value if contract.Symbol.ID.Symbol == Futures.Indices.MicroSP500EMini]
if vix_contracts:
vix_sorted_exp = sorted(vix_contracts, key=lambda k: k.Expiry, reverse=False)
vx1 = slice.Bars[vix_sorted_exp[0].Symbol].Price
vx3 = slice.Bars[vix_sorted_exp[2].Symbol].Price
self.signal = vx1<vx3
if es_contracts and self.signal is not None:
es_sorted_exp = sorted(es_contracts, key=lambda k: k.Expiry, reverse=False)
es_front = es_sorted_exp[0]
if not self.Portfolio.Invested and self.signal:
self.SetHoldings(es_front.Symbol, 0.1)
else:
self.Liquidate()