Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
-0.32%
Compounding Annual Return
0.361%
Drawdown
0.300%
Expectancy
-1
Net Profit
0.182%
Sharpe Ratio
0.765
Probabilistic Sharpe Ratio
41.556%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
0.017
Annual Standard Deviation
0.004
Annual Variance
0
Information Ratio
-1.655
Tracking Error
0.1
Treynor Ratio
0.166
Total Fees
$0.00
Estimated Strategy Capacity
$37000000000.00
Lowest Capacity Asset
VIX 31RXR4J2AGKXA|VIX 31
 
class CalmFluorescentOrangeGull(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 6, 15)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        # self.AddEquity("SPY", Resolution.Minute)
        self.indexSymbol = self.AddIndex('VIX').Symbol
        option = self.AddIndexOption(self.indexSymbol)
        self.optionSymbol = option.Symbol
        option.SetFilter(0, 0, 120, 150)
        self.invested = False

    def OnData(self, data):
        chain = data.OptionChains.get(self.optionSymbol)
        if chain:
            target = [x for x in chain if x.Right == 1][0]
            
            if not self.Portfolio.Invested and not self.invested:
                self.MarketOrder(target.Symbol, 2)
                self.invested = True
    def OnOrderEvent(self, orderEvent):
        orderEvent
        return