Overall Statistics
Total Trades
49
Average Win
2.63%
Average Loss
-1.11%
Compounding Annual Return
7.332%
Drawdown
8.700%
Expectancy
0.689
Net Profit
32.690%
Sharpe Ratio
0.897
Probabilistic Sharpe Ratio
38.237%
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
2.38
Alpha
0.008
Beta
0.504
Annual Standard Deviation
0.058
Annual Variance
0.003
Information Ratio
-0.599
Tracking Error
0.057
Treynor Ratio
0.103
Total Fees
$49.00
Estimated Strategy Capacity
$630000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
from AlgorithmImports import *

class CBOEDataAlgorithmAlgorithm(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

        # Define the symbol and "type" of our generic data
        self.vix = self.AddData(CBOE, 'VIX', Resolution.Daily).Symbol
        self.vxv = self.AddData(CBOE, 'VIX3M', Resolution.Daily).Symbol
        
        # Set up default Indicators, these are just 'identities' of the closing price
        self.vix_sma = self.SMA(self.vix, 1, Resolution.Daily)
        self.vxv_sma = self.SMA(self.vxv, 1, Resolution.Daily)
        
        # This will create a new indicator whose value is smaVXV / smaVIX
        self.ratio = IndicatorExtensions.Over(self.vxv_sma, self.vix_sma)
        
        # Plot indicators each time they update using the PlotIndicator function
        self.PlotIndicator("Ratio", self.ratio)
        self.PlotIndicator("Data", self.vix_sma, self.vxv_sma)

        history = self.History(CBOE, self.vix, 60, Resolution.Daily)
        self.Debug(f"We got {len(history.index)} items from our history request");
    
    def OnData(self, data):
        
        # Wait for all indicators to fully initialize
        if not (self.vix_sma.IsReady and self.vxv_sma.IsReady and self.ratio.IsReady): return
        if not self.Portfolio.Invested and self.ratio.Current.Value > 1:
            self.MarketOrder(self.spy, 100)
        elif self.ratio.Current.Value < 1:
            self.Liquidate()