| Overall Statistics |
|
Total Trades 45 Average Win 2.52% Average Loss -2.15% Compounding Annual Return 3.801% Drawdown 15.100% Expectancy 0.184 Net Profit 16.119% Sharpe Ratio 0.462 Probabilistic Sharpe Ratio 9.944% Loss Rate 45% Win Rate 55% Profit-Loss Ratio 1.17 Alpha -0.014 Beta 0.488 Annual Standard Deviation 0.061 Annual Variance 0.004 Information Ratio -0.925 Tracking Error 0.063 Treynor Ratio 0.057 Total Fees $45.00 Estimated Strategy Capacity $440000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
from AlgorithmImports import *
class VixCentralContangoAlgorithm (QCAlgorithm):
def Initialize(self):
self.SetStartDate(2014,1,1)
self.SetEndDate(2018,1,1)
self.SetCash(25000)
self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol
self.contango = self.AddData(VIXCentralContango, "VX", Resolution.Daily).Symbol
def OnData(self, data):
contangoData = data.Get(VIXCentralContango, self.contango)
ratio = contangoData.Contango_F2_Minus_F1 if contangoData else 0
if not self.Portfolio.Invested and ratio > 0:
self.MarketOrder(self.spy, 100)
elif ratio < 0:
self.Liquidate()