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
-103.054
Tracking Error
0.069
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
 
class FatOrangePelican(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 4);
        self.SetEndDate(2021, 1, 9);
        self.SetCash(1000000);
        
        ticker =  'VIX' #'NDX', 'VIX'
        self.index_symbol = self.AddIndex(ticker, Resolution.Minute).Symbol
        option = self.AddIndexOption(self.index_symbol, Resolution.Minute)
        option.SetFilter(-1, 1, timedelta(0), timedelta(45))
        self.option_symbol = option.Symbol

    def OnData(self, data):
        if data.ContainsKey(self.index_symbol):
            self.Plot("index_symbol", "Close", data[self.index_symbol].Close)

        if data.OptionChains.ContainsKey(self.option_symbol):
            self.Plot("option_symbol", "Price", data.OptionChains[self.option_symbol].Underlying.Price)