Overall Statistics
Total Trades
94
Average Win
0.52%
Average Loss
-0.50%
Compounding Annual Return
-0.523%
Drawdown
11.300%
Expectancy
-0.330
Net Profit
-7.936%
Sharpe Ratio
-0.343
Loss Rate
67%
Win Rate
33%
Profit-Loss Ratio
1.05
Alpha
-0.004
Beta
-0.001
Annual Standard Deviation
0.012
Annual Variance
0
Information Ratio
-0.349
Tracking Error
0.187
Treynor Ratio
3.1
Total Fees
$99.49
 
import numpy as np

### <summary>
### Basic template algorithm simply initializes the date range and cash. This is a skeleton
### framework you can use for designing an algorithm.
### </summary>
class BasicTemplateAlgorithm(QCAlgorithm):
    '''Basic template algorithm simply initializes the date range and cash'''

    def Initialize(self):
        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

        self.SetStartDate(2013,10,07)  #Set Start Date
        self.SetEndDate(2013,10,11)    #Set End Date
        self.SetCash(10000)           #Set Strategy Cash
        # Find more symbols here: http://quantconnect.com/data
        self.symbols = ["XIV","VXX"]
        for s in self.symbols:
            self.AddEquity(s,Resolution.Minute)
        self.window=360*50
        self.SetWarmup(self.window)
        self.counter = 0
        for i in range(16):
            self.Schedule.On(self.DateRules.EveryDay("XIV"),self.TimeRules.AfterMarketOpen("XIV",60+i*60),Action(self.runAndTrade))
        
    def runAndTrade(self):
        import numpy as np
        # wait for warmup
        if self.IsWarmingUp:
            return
        self.counter = self.counter + 1
        
        if( self.counter % 2 == 0):
            self.SetHoldings('XIV',0.5)
            self.SetHoldings('VXX',0)
        else:            
            self.SetHoldings('XIV',0)
            self.SetHoldings('VXX',0.5)