Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
-6.90%
Compounding Annual Return
-6.031%
Drawdown
11.500%
Expectancy
-1
Net Profit
-5.501%
Sharpe Ratio
-0.296
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.323
Beta
-18.634
Annual Standard Deviation
0.164
Annual Variance
0.027
Information Ratio
-0.417
Tracking Error
0.164
Treynor Ratio
0.003
Total Fees
$3.77
 
import numpy as np
from datetime import datetime
import pandas as pd



class VolTrading(QCAlgorithm):

    def Initialize(self):
      
        self.SetStartDate(2018,1,1)  #Set Start Date
        #self.SetEndDate(2018,1,1)    #Set End Date
        self.SetCash(10000)           #Set Strategy Cash
        self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol
        self.vixy = self.AddEquity("VIXY", Resolution.Minute).Symbol
        self.SetWarmUp(440)
        self.previous = None
        self.position = None        

    def OnData(self, data):
        
     if data.Bars.ContainsKey("SPY") or data.Bars.ContainsKey("VIXY"):
             
        SPercent = np.log(float(self.Securities[self.spy].Price/data[self.spy].Open))
        VPercent = np.log(float(self.Securities[self.vixy].Price/data[self.vixy].Open))

        if self.IsWarmingUp:
            return 
        
       
        if SPercent <= -.005:
            if self.position == None:
                self.SetHoldings("VIXY", 1)
            elif self.position == "SPY":
                 self.Liquidate("SPY")  
                 self.SetHoldings("VIXY", 1)
            self.position = "VIXY"
                  
                  
        if SPercent >= .005:
            if self.position == None:
                self.SetHoldings("SPY", 1)
            elif self.position == "VIXY":
                self.Liquidate("VIXY")  
                self.SetHoldings("SPY", 1)
            self.position = "SPY"