Overall Statistics
import numpy as np

### <summary>
### Basic template algorithm simply initializes the date range and cash. This is a skeleton
### framework you can use for designing an algorithm.
### </summary>
class BasicTemplateAlgorithm(QCAlgorithm):
'''Basic template algorithm simply initializes the date range and cash'''

def Initialize(self):
self.SetStartDate(2019, 12, 1) #Set Start Date
self.SetEndDate(datetime.now().date() - timedelta(1)) # Set End Date
self.SetCash(10000) #Set Strategy Cash
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage) # Set Brokerage Model
self.SetTimeZone("America/New_York") # Set Time Zone

# Find more symbols here: http://quantconnect.com/data
self.svxy.SetDataNormalizationMode(DataNormalizationMode.Raw) # Select Normalization Mode
self.vxz.SetDataNormalizationMode(DataNormalizationMode.Raw) # Select Normalization Mode

self.fast = self.RSI("SVXY", 6,  MovingAverageType.Simple, Resolution.Hour) # define a period RSI indicator
#self.slow = self.RSI("SVXY", 15,  MovingAverageType.Simple, Resolution.Hour) # define a period RSI indicator

self.previous = None

self.SetBenchmark("SVXY") # Set Benchmark
self.SetWarmUp(20, Resolution.Hour) # Set Warm Up

def OnData(self, data):

if self.IsWarmingUp: # Don't place trades until our indicators are warmed up
return

holdingsSVXY = self.Portfolio["SVXY"].Quantity
holdingsVXZ = self.Portfolio["VXZ"].Quantity

# when fastRSI above 70, buy SVXY
if holdingsSVXY <= 0:
if self.fast.Current.Value > 70: # when RSI2 above 70, sell VXZ & buy SVXY
self.Liquidate("VXZ")
self.Debug(str(self.Portfolio["VXZ"].AveragePrice)) # Debug average price
self.SetHoldings("SVXY", 1.0, True)
self.Debug(str(self.Portfolio["SVXY"].AveragePrice)) # Debug average price
closeSVXY = self.Portfolio["SVXY"].AveragePrice
stopMarketTicketSVXY = self.StopMarketOrder("SVXY",-self.Portfolio['SVXY'].Quantity, closeSVXY * 0.90)

# when fastRSI below 85, sell SVXY
if holdingsSVXY > 0:
if self.fast.Current.Value < 85:
self.Liquidate("SVXY")
self.Debug(str(self.Portfolio["SVXY"].AveragePrice)) # Debug average price

self.previous = self.Time

def OnEndOfDay(self):
self.Plot("Indicators","fastRSI", self.fast.Current.Value)