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 
{   
    public class VixBug : QCAlgorithm
    {
    	decimal vix;
    	decimal vxv;
    	decimal vx1;
        public override void Initialize() 
        {
        	// backtest parameters
            SetStartDate(2016, 1, 1);         
            SetEndDate(DateTime.Now);
            
            // cash allocation
            SetCash(25000);

            //AddData<Quandl>("CBOE/VIX");
            AddData<Quandl>("CBOE/VXV");
            AddData<Quandl>("CHRIS/CBOE_VX1");
        }

        public override void OnData(Slice data) 
        {

        }
        
        public void OnData(Quandl data) 
        {
        	if (data.Symbol=="CBOE/VIX")
			{
				vix=data.Value;
				Log("VIX="+vix.ToString());
			}
			if (data.Symbol=="CBOE/VXV")
			{
				vxv=data.Value;
				Log("VXV="+vxv.ToString());
			}
			if (data.Symbol=="CHRIS/CBOE_VX1")
			{
				vx1=data.Value;
				Log("VX1="+vx1.ToString());
			}
        }
    }
}