Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
-0.004%
Drawdown
7.200%
Expectancy
0
Net Profit
-0.017%
Sharpe Ratio
0.019
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.043
Beta
-2.133
Annual Standard Deviation
0.039
Annual Variance
0.002
Information Ratio
-0.488
Tracking Error
0.039
Treynor Ratio
0
Total Fees
$93.98
 
namespace QuantConnect.Algorithm.CSharp
{
    public class BasicTemplateAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2014, 01, 01); 
            SetEndDate(2018, 1, 1); 
            SetCash(100000); 
            AddEquity("TVIX", Resolution.Minute).SetDataNormalizationMode(DataNormalizationMode.Raw);
			AddEquity("UVXY", Resolution.Minute).SetDataNormalizationMode(DataNormalizationMode.Raw);
        }

        /// <summary>
        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// </summary>
        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
        public override void OnData(Slice data)
        {
            if (!Portfolio.Invested)
            {
                SetHoldings("TVIX", -1);
                SetHoldings("UVXY", 1);
            }
        }
    }
}