Overall Statistics
Total Trades
49
Average Win
0.90%
Average Loss
-0.52%
Compounding Annual Return
2.972%
Drawdown
4.400%
Expectancy
1.053
Net Profit
12.420%
Sharpe Ratio
0.443
Probabilistic Sharpe Ratio
10.374%
Loss Rate
25%
Win Rate
75%
Profit-Loss Ratio
1.74
Alpha
0.024
Beta
0.019
Annual Standard Deviation
0.059
Annual Variance
0.003
Information Ratio
-0.63
Tracking Error
0.123
Treynor Ratio
1.394
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
VIX.CBOE 2S
 
from AlgorithmImports import *
from QuantConnect.Data.Custom.CBOE import *

class CustomDataIndicatorExtensionsAlgorithm(QCAlgorithm):

    # Initialize the data and resolution you require for your strategy
    def Initialize(self):

        self.SetStartDate(2014,1,1) 
        self.SetEndDate(2018,1,1)  
        self.SetCash(25000)
        
        self.vix = 'VIX'
        self.vxv = 'CBOE/VXV'
        
        # Define the symbol and "type" of our generic data
        self.AddData(CBOE, self.vix, Resolution.Daily)
        self.AddData(Quandl, self.vxv, Resolution.Daily)
        
        # Set up default Indicators, these are just 'identities' of the closing price
        self.vix_sma = self.SMA(self.vix, 1, Resolution.Daily)
        self.vxv_sma = self.SMA(self.vxv, 1, Resolution.Daily)
        
        # This will create a new indicator whose value is smaVXV / smaVIX
        self.ratio = IndicatorExtensions.Over(self.vxv_sma, self.vix_sma)
        
        # Plot indicators each time they update using the PlotIndicator function
        self.PlotIndicator("Ratio", self.ratio)
        self.PlotIndicator("Data", self.vix_sma, self.vxv_sma)
    
    # OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
    def OnData(self, data):
        
        # Wait for all indicators to fully initialize
        if not (self.vix_sma.IsReady and self.vxv_sma.IsReady and self.ratio.IsReady): return
        if not self.Portfolio.Invested and self.ratio.Current.Value > 1:
            self.MarketOrder(self.vix, 100)
        elif self.ratio.Current.Value < 1:
                self.Liquidate()