Overall Statistics Total Trades 1738 Average Win 3.01% Average Loss -1.13% Compounding Annual Return 90.526% Drawdown 24.200% Expectancy 0.383 Net Profit 2697.362% Sharpe Ratio 1.892 Loss Rate 62% Win Rate 38% Profit-Loss Ratio 2.67 Alpha 0.198 Beta 25.759 Annual Standard Deviation 0.375 Annual Variance 0.141 Information Ratio 1.839 Tracking Error 0.375 Treynor Ratio 0.028 Total Fees \$45887.09
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Data import *
import numpy as np
from datetime import timedelta

"""
I have UVXY set to the variable self.vxx. I was too lazy to
change all of the variables from self.vxx to self.uvxy.
"""

class BasicTemplateAlgorithm(QCAlgorithm):

def Initialize(self):
# Set the cash we'd like to use for our backtest
# This is ignored in live trading
self.SetCash(37000)

# Set benchmark
self.SetBenchmark("XIV")

# Start and end dates for the backtest.
# These are ignored in live trading.
self.SetStartDate(2013,06,8)
self.SetEndDate(2018,1,19)

#Assets predetermined

# Indicators
self.emaBig = self.EMA("XIV", 5, Resolution.Hour)
self.emaSmall = self.EMA("XIV", 2, Resolution.Hour)

self.smaBig = self.SMA("SPY", 200, Resolution.Hour)
self.smaSmall = self.SMA("SPY", 100, Resolution.Hour)
self.emaBullBIG = self.EMA("SPY", 50, Resolution.Hour)
self.emaBullSMALL = self.EMA("SPY", 25, Resolution.Hour)

# Schedules
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.Every(timedelta(minutes=5)), Action(self.LiquidateUnrealizedLosses))
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 4), Action(self.EveryDayAfterMarketOpen))
# schedule an event to fire every trading day for a security the
# time rule here tells it to fire 10 minutes before SPY's market close
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 10), Action(self.EveryDayBeforeMarketClose))

# Timer
self.t = 0

# Unrealized earnings total for each day. Pi stands for percent increase.
self.pi = 0

# Timer that is switched to 1 if the market is 10 minutes from closing.
self.closing = 0

# Get warmup data so that the Algorithm can start trading
self.SetWarmUp(timedelta(200))

def OnData(self, slice):
if self.t == 0:
if self.t == 0:

if self.smaBig < self.smaSmall:

if not self.Portfolio.Invested:

if self.emaBig < self.emaSmall:
self.SetHoldings(self.xiv, 0.75)
self.SetHoldings(self.vxx, 0)

elif self.Portfolio.Invested:
if self.emaBig > self.emaSmall:

self.SetHoldings(self.xiv, 0)
self.SetHoldings(self.vxx, 0)

# If the market is detected to be in a downward trend, a whole new set of Indicators are used

elif self.smaBig > self.smaSmall:
if self.emaBullBIG < self.emaBullSMALL:
if not self.Portfolio.Invested:

if self.emaBig < self.emaSmall:
self.SetHoldings(self.xiv, 0.75)
self.SetHoldings(self.vxx, 0)

elif self.Portfolio['XIV'].Quantity > 0:
if self.emaBig > self.emaSmall:

self.SetHoldings(self.xiv, 0)
self.SetHoldings(self.vxx, 0.375)
elif self.Portfolio['UVXY'].Quantity > 0:
if self.emaBig < self.emaSmall:
self.SetHoldings(self.xiv, 0.75)

self.SetHoldings(self.vxx, 0)

elif self.emaBullBIG > self.emaBullSMALL:
if not self.Portfolio.Invested:
#Buy XIV if EMA 3 is > EMA 9
if self.emaBig < self.emaSmall:
self.SetHoldings(self.xiv, 0.75)
self.SetHoldings(self.vxx, 0)

elif self.Portfolio['XIV'].Quantity > 0:
if self.emaBig > self.emaSmall:
self.SetHoldings(self.xiv, 0)
self.SetHoldings(self.vxx, 0.75)
elif self.Portfolio['UVXY'].Quantity > 0:
if self.emaBig < self.emaSmall:
self.SetHoldings(self.xiv, 0.75)
self.SetHoldings(self.vxx, 0)

# This function runs every 10 minutes
def LiquidateUnrealizedLosses(self):
pass
if self.t == 0:
# Curent Equity
E  = self.Portfolio.TotalPortfolioValue

# Unrealized gains/losses
Un = self.Portfolio.TotalUnrealizedProfit

# New Equity
NE = E - Un

# Increase
I = NE - E

# Percent Increase
PI = I/E

#self.pi += PI

self.Log("pi = {}".format(self.pi))
# If percent increase is less than 10%, sell all positions
if PI <= -.1:
self.Log("Percent Increase: {} at {}".format(self.pi, self.Time))
self.Liquidate()
self.t = 1
self.Notify.Sms('8064704027', 'Lost too much. Out of all positions for the rest of the day.')

# This function sets t back to 0 every day 10 minutes after the market opens
def EveryDayAfterMarketOpen(self):
self.t = 0
self.pi = 0
self.closing = 0

def EveryDayBeforeMarketClose(self):
self.closing = 1