Overall Statistics
class AlphaFiveVolatility(QCAlgorithm):

    def Initialize(self):

        #1. Required: Five years of backtest history
        self.SetStartDate(2014, 1, 1)
    
        #2. Required: Alpha Streams Models:
        self.SetBrokerageModel(BrokerageName.AlphaStreams)
    
        #3. Required: Significant AUM Capacity
        self.SetCash(1000000)

        #4. Required: Benchmark to SPY
        self.SetBenchmark("SPY")
    
        self.volatility_etfs = ["SQQQ", "TQQQ", "TVIX", "VIXY", "SPLV",
                           "UVXY", "EEMV", "EFAV", "USMV"]
    
        # Add Equity ------------------------------------------------
        for i in range(len(self.volatility_etfs)):
            self.AddEquity(self.volatility_etfs[i],Resolution.Minute)
            
    def OnData(self, data):
        pass