Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
import numpy as np
from QuantConnect.Python import PythonQuandl
from datetime import timedelta
from QuantConnect.Data.Custom import *

class BasicTemplateAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2013,10, 7)  #Set Start Date
        self.SetEndDate(2013,10,10)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash
        self.AddData(QuandlVix, "CBOE/VIX", Resolution.Daily)
        vx = self.AddFuture(Futures.Indices.VIX).SetFilter(timedelta(0), timedelta(days=365*2))

    def OnData(self, data):
        if data.ContainsKey("CBOE/VIX"):
            calendar = self.TradingCalendar.GetDaysByType(TradingDayType.FutureExpiration, self.Time, self.Time+timedelta(days=365*3))
            expiry = [i.Date for i in calendar]
            self.Debug("expiry "+str(expiry))

class QuandlVix(PythonQuandl):
    def __init__(self):
        self.ValueColumnName = "vix Close"