Overall Statistics
Total Trades
8
Average Win
0%
Average Loss
0%
Compounding Annual Return
-2.085%
Drawdown
0.100%
Expectancy
0
Net Profit
-0.027%
Sharpe Ratio
-14.236
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.141
Beta
-0.025
Annual Standard Deviation
0.002
Annual Variance
0
Information Ratio
-101.035
Tracking Error
0.071
Treynor Ratio
1.438
Total Fees
$0.00
Estimated Strategy Capacity
$190000.00
 
class FatOrangePelican(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 4);
        self.SetEndDate(2021, 1, 9);
        self.SetCash(1000000);
        
        ticker =  'VIX' #'NDX', 'VIX'
        self.symbol = self.AddIndex(ticker, Resolution.Minute).Symbol
        self.AddIndexOption(self.symbol, Resolution.Minute).SetFilter(-1, 1, timedelta(0), timedelta(45))

    def OnData(self, data):
        if not data.ContainsKey(self.symbol) or self.Portfolio.Invested:
            return

        for chain in data.OptionChains.Values:
            for contract in chain.Contracts.Values:
                self.MarketOrder(contract.Symbol, 1)