Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
using System;
using System.Collections;
using System.Collections.Generic;
using QuantConnect.Securities;
using QuantConnect.Models;

namespace QuantConnect 
{
    public class Consolidator 
    {
        private TradeBar _resultBar;
        private TradeBar _workingBar;
        private DateTime _start;
        private TimeSpan _period;
        
        //Result:
        public TradeBar Bar
        {
            get
            {
                return _resultBar;
            }
        }
        
        //Constructor: Set the period we'd like to scan
        public Consolidator(TimeSpan span) 
        {
            this._period = span;
            this._resultBar = new TradeBar();
            this._workingBar = new TradeBar(new DateTime(), "", Decimal.Zero, Decimal.MinValue, Decimal.MaxValue, 0, 0);
        }
        
        //Submit this bar, return true if we've started a new one.
        public bool Update(TradeBar newBar)
        {
            //Intialize:
            if (_start == new DateTime()) 
            {
                _start = newBar.Time;
            }
            
            //While we're less than end date, keep adding to this bar:
            if (newBar.Time < (_start + _period))
            {
                //Building bar:
                AddToBar(newBar);
                return false;
            } 
            else 
            {
                //Completed bar: start new one:
                _resultBar = _workingBar;
                //Create a new bar:
                _workingBar = new TradeBar(newBar.Time, newBar.Symbol, Decimal.Zero, Decimal.MinValue, Decimal.MaxValue, 0, 0);
                //Start of this bar:
                _start = newBar.Time;
                AddToBar(newBar);
                return true;
            }
        }
        
        //Add to a tradebar
        private void AddToBar(TradeBar newBar)
        {
            //Add this data to working bar:
            if (_workingBar.Time == new DateTime()) _workingBar.Time = newBar.Time;
            if (_workingBar.Symbol == "") _workingBar.Symbol = newBar.Symbol;
            if (_workingBar.Open == Decimal.Zero) _workingBar.Open = newBar.Open;
            if (newBar.High > _workingBar.High) _workingBar.High = newBar.High;
            if (newBar.Low < _workingBar.Low) _workingBar.Low = newBar.Low;
            _workingBar.Close = newBar.Close;
            _workingBar.Volume = newBar.Volume;
        }
    }
}                        
namespace QuantConnect
{   
    public class OptimizedVRP : QCAlgorithm
    {
    	// Notes
    	
    	/*
    	SUMMARY:

		https://www.quantconnect.com/forum/discussion/comment/2442#Comment_2442
		https://www.quantconnect.com/forum/discussion/444
		https://www.quantconnect.com/forum/discussion/435
    	*/
    	
        // User-editable Fields

		private string _metricsymbol = "SPY";
		private int _historicalvolatilitydays = 2;
		private string _quandlcode = "SPDJ/SPVIXSTR";

        // Class Fields

		public enum Direction { Long, Short };
        private bool _firstondatacall = true;
		private bool _enabletrading = true;
		private Direction _direction = Direction.Long;
		private int _warmupdays = 1;
		StandardDeviation _lnstd;
        decimal _metricdelta = 0.0m;
        decimal _metricprevclose = 0.0m;
        private TimeSpan _metricbarperiod = TimeSpan.FromDays(1);
        private Consolidator _metricconsolidator;

        // Initializer

        public override void Initialize()
        {
            SetStartDate(2016, 1, 5);
            SetEndDate(2016, 1, 7);
            SetCash(10000);

        	AddSecurity(SecurityType.Equity, _metricsymbol, Resolution.Minute);

            Securities[_metricsymbol].SetDataNormalizationMode(DataNormalizationMode.TotalReturn);

            Securities[_metricsymbol].SetLeverage(1);
            
            AddData<QuandlVixContract>(_quandlcode, Resolution.Daily);

			// Custom Indicator: natural log version of standard deviation = standard deviation(ln(todaysclose/yesterdaysclose) : ln(yesterdaysclose/twodaysagoclose))
            _metricconsolidator = new Consolidator(_metricbarperiod);
			_lnstd = new StandardDeviation(_historicalvolatilitydays);

            SetWarmup(_warmupdays);
        }

        // Event-Driven Methods
        
        public override void OnData(Slice data)
        {
			UpdateLNStd(data.Bars);
        	
        	// Abandon method if we're warming up the algorithm with historical data
            if (IsWarmingUp)
            {
            	if (IsEvaluationTime())
            	{
            		Log("WARM UP DAY");
            		
            		AssessMetric();
            	}
            	return;
            }
            
            // Abandon method if this is the first time the OnData() method is called
            if (_firstondatacall)
            {
                _firstondatacall = false;
            	_enabletrading = true;
                return;
            }
            
			// Assess interval rules
            if (IsEvaluationTime())
           	{
           		Log("TRADING DAY");
           		
           		_enabletrading = false;
           		
				AssessMetric();
				
				TakeAction();
            }
        }

        // Rebalance Rules Methods
		
		public void AssessMetric()
		{
			Log(String.Format("PrevClose: {0}\tLNStd: {1}", _metricprevclose, _lnstd));
		}
		
		public void TakeAction()
		{
			if (Portfolio[_metricsymbol].HoldStock == false)
			{
				SetHoldings(_metricsymbol, 0.95m);
				Log(String.Format("ACTION: Setting holdings to 100% {0}.", _metricsymbol));
			}
			else
			{	
				Log(String.Format("ACTION: We are already 100% on {0}. No action taken.", _metricsymbol));
			}
		}
		
		// Helper Methods
		
		public void UpdateLNStd(TradeBars data)
		{
			if (_metricconsolidator.Update(data[_metricsymbol]))
            {
                try
                {
                    if(_metricprevclose != 0.0m)
                    {
                    	_metricdelta = (decimal)Math.Log((double)data[_metricsymbol].Close/(double)_metricprevclose);
                    }
                    
                    TradeBar bar;
                    if (data.TryGetValue(_metricsymbol, out bar))
                    {
                        _lnstd.Update(bar.Time, _metricdelta);
                    }
                    
                 _metricprevclose = data[_metricsymbol].Close;
                    
                }
                catch(Exception e)
                {
                    Debug(e.Message);
                }
            }
		}
		
		public bool IsEvaluationTime()
		{
			bool satisfied = false;
			
            if (this.Time.Hour == 23 && this.Time.Minute == 30 && _enabletrading == true) // Afternoon 
                satisfied = true;
            else
                satisfied = false;
			
			return satisfied;
		}
    }
}                        
namespace QuantConnect
{
    public class QuandlVixContract : Quandl
    {
        public QuandlVixContract() : base(valueColumnName: "S&P 500 VIX Short-Term Index MCAP") 
        {
        }
    }
}