Overall Statistics
Total Orders
45
Average Win
2.45%
Average Loss
-2.10%
Compounding Annual Return
3.701%
Drawdown
14.700%
Expectancy
0.183
Net Profit
15.668%
Sharpe Ratio
0.287
Sortino Ratio
0.271
Probabilistic Sharpe Ratio
9.939%
Loss Rate
45%
Win Rate
55%
Profit-Loss Ratio
1.17
Alpha
-0.019
Beta
0.474
Annual Standard Deviation
0.059
Annual Variance
0.003
Information Ratio
-0.93
Tracking Error
0.063
Treynor Ratio
0.036
Total Fees
$45.00
Estimated Strategy Capacity
$450000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
2.17%
 
#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using System.Text.RegularExpressions;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Algorithm.Selection;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;   
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion

using QuantConnect.DataSource;

namespace QuantConnect
{
    public class VixCentralContangoAlgorithm : QCAlgorithm
    {
        private Symbol _spy;
        private Symbol _contango;

        public override void Initialize()
        {
            SetStartDate(2014, 1, 1);
            SetEndDate(2018, 1, 1);
            SetCash(25000);

            _spy = AddEquity("SPY", Resolution.Daily).Symbol;
            _contango = AddData<VIXCentralContango>("VX", Resolution.Daily).Symbol;
        }
    
        public override void OnData(Slice slice)
        {
            var contangoData = slice.Get<VIXCentralContango>(_contango);
            var ratio = contangoData?.Contango_F2_Minus_F1 ?? 0;

            if (!Portfolio.Invested && ratio > 0)
            {
                MarketOrder(_spy, 100);
            }
            else if(ratio < 0)
            {
                 Liquidate();
            }
        }
    }
}