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 -2.658 Tracking Error 0.158 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset Portfolio Turnover 0% |
# region imports from AlgorithmImports import * # endregion from datetime import datetime import numpy as np from enum import Enum class FuturesBasis(QCAlgorithm): def Initialize(self): self.SetStartDate(datetime(2023, 3, 1)) #StartDate self.SetEndDate(datetime(2023, 3, 31)) #EndDate self.SetCash(100000) # Captial # Adding VIX Index self.vix = self.AddFuture(Futures.Indices.VIX, Resolution.Daily, dataNormalizationMode = DataNormalizationMode.Raw) self.vixSymbol = self.vix.Symbol # Warmup self.SetWarmup(22, Resolution.Daily) # VIX EMA(s) self.emaFast = self.EMA(self.vixSymbol, 8, 0.5, Resolution.Daily) self.emaSlow = self.EMA(self.vixSymbol, 21, 0.5, Resolution.Daily) self.emaFastHistory = RollingWindow[float](9) self.emaSlowHistory = RollingWindow[float](22) # Charting chart = Chart("VIX") self.AddChart(chart) def OnData(self, data: Slice): # Make sure data ready if self.IsWarmingUp: return # Plot Candlestick Chart / Super Trend self.Plot("VIX", "Slow", self.emaSlow.Current.Value) self.Plot("VIX", "Fast", self.emaFast.Current.Value) self.Debug(f"{self.Time} emaSlow: {self.emaSlow.Current.Value}, emaFast: {self.emaFast.Current.Value}") self.emaFastHistory.Add(self.emaFast.Current.Value) self.emaSlowHistory.Add(self.emaSlow.Current.Value)