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
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
namespace QuantConnect.Algorithm.CSharp
{

    public class BasicTemplateAlgorithm : QCAlgorithm {
    	String symbol = "CBOE/VIX";
    	decimal price;
    	int size = 100;
    	RelativeStrengthIndex rsi;
    	
 
        public override void Initialize() {
			AddData<Quandl>(symbol);
			
			rsi = RSI(symbol, 4, MovingAverageType.Simple, Resolution.Daily);
			
            SetStartDate(2014, 01, 01);  
            SetEndDate(2015, 01, 01);    
            SetCash(100000);            
        }

       
        public override void OnData(Slice data) {
        	price = data[symbol].Close;
        	
        	if (!Portfolio.Invested && rsi < 20) {
            	Order(symbol, size);
        	} else if (Portfolio.Invested && rsi > 80) {
            	Order(symbol, -size);
        	}
        }
    }
}