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
Probabilistic 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
-3.103
Tracking Error
0.178
Treynor Ratio
0
Total Fees
$0.00
from my_custom_data import *


class VentralTachyonAtmosphericScrubbers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2014, 10, 1)
        self.SetEndDate(2014, 10, 31)
        self.SetCash(500) 

        self.vixStr = "VIX"
        self.AddData(CboeVix, "VIX")
        
        
    def OnData(self, data):
        if self.vixStr not in data: 
            return
        self.Log(f"{data[self.vixStr].Close}")
import decimal

class CboeVix(PythonData):
    '''CBOE Vix Download Custom Data Class'''
    #use GetSource(SubscriptionDataConfig, DateTime, bool)
    def GetSource(self, config, date, datafeed):
        url_vix = "http://www.cboe.com/publish/scheduledtask/mktdata/datahouse/vixcurrent.csv"
        return SubscriptionDataSource(url_vix, 
                                      SubscriptionTransportMedium.RemoteFile)
    def Reader(self, config, line, date, datafeed):
        if not (line.strip() and line[0].isdigit()): return None
        # New CboeVix object
        index = CboeVix();
        index.Symbol = config.Symbol
        try:
            # Example File Format:
            # Date          VIX Open    VIX High VIX Low    VIX Close
            # 01/02/2004    17.96    18.68     17.54        18.22
            #print line
            data = line.split(',')
            date = data[0].split('/')
            index.Time = datetime(int(date[2]), int(date[0]), int(date[1]))
            index.Value = decimal.Decimal(data[4])
            index["Open"] = float(data[1])
            index["High"] = float(data[2])
            index["Low"] = float(data[3])
            index["Close"] = float(data[4])
        except ValueError:
            # Do nothing
            return None
#       except KeyError, e:
#          print 'I got a KeyError - reason "%s"' % str(e)
        return index