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
Probabilistic 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
-7.322
Tracking Error
0.123
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
 
class HyperActiveBlackCobra(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 3, 8)  # Set Start Date
        self.SetEndDate(2021, 3, 18)
        self.SetCash(100000)
        future = self.AddFuture(Futures.Indices.VIX)
        future.SetFilter(timedelta(0), timedelta(180))
        self.symbol = future.Symbol


    def OnData(self, data):
        if not self.Portfolio.Invested and data.Time.day == 14:
            for chain in data.FutureChains.Values:
                contracts = chain.Contracts
                for contract in contracts.Values:
                    if data[contract.Symbol].IsFillForward:
                        continue
                    self.MarketOrder(contract.Symbol, 1)
                    break