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)