Overall Statistics
Total Trades
5770
Average Win
0.40%
Average Loss
-1.55%
Compounding Annual Return
51.394%
Drawdown
37.400%
Expectancy
0.120
Net Profit
11891.931%
Sharpe Ratio
1.308
Probabilistic Sharpe Ratio
58.170%
Loss Rate
11%
Win Rate
89%
Profit-Loss Ratio
0.26
Alpha
0.404
Beta
0.878
Annual Standard Deviation
0.399
Annual Variance
0.159
Information Ratio
1.034
Tracking Error
0.375
Treynor Ratio
0.594
Total Fees
$127744.55
Estimated Strategy Capacity
$15000000.00
Lowest Capacity Asset
TQQQ UK280CGTCB51
 
# Trading based on CBOE vix-vxv ratio

from QuantConnect.Data.Custom.CBOE import *

class VirtualRedDogfish(QCAlgorithm):

   def Initialize(self):
       self.SetStartDate(2010, 1, 1)
       self.SetCash(100000) 
      
       self.AddEquity("TQQQ", Resolution.Minute).Symbol
       self.AddEquity("TMF", Resolution.Minute).Symbol
       self.AddEquity("UVXY", Resolution.Minute).Symbol
       self.AddEquity("SPY", Resolution.Minute).Symbol

       self.vix = 'CBOE/VIX'
       self.vxv = 'CBOE/VXV'
      
       self.AddData(QuandlVix, self.vix, Resolution.Daily)
       self.AddData(Quandl, self.vxv, Resolution.Daily)
      
       self.SetWarmUp(300, Resolution.Daily)
       self.SetRiskManagement(TrailingStopRiskManagementModel(0.20))
      
       self.vix_sma = self.SMA(self.vix, 1, Resolution.Daily)
       self.vxv_sma = self.SMA(self.vxv, 1, Resolution.Daily)
       self.ratio = IndicatorExtensions.Over(self.vxv_sma, self.vix_sma)
      
       self.spySMA = self.SMA("SPY", 100, Resolution.Daily)
       
       self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 1), 
           self.Trade)
      
      
   def Trade(self):
       if not (self.vix_sma.IsReady or self.vxv_sma.IsReady or self.ratio.IsReady): 
           return
       if self.spySMA is None or not self.spySMA.IsReady: 
           return

       if self.spySMA.Current.Value < self.Securities["SPY"].Price:
           if self.ratio.Current.Value < .923:
               
               self.SetHoldings("UVXY", .6)
               self.SetHoldings("TMF", 0)
               self.SetHoldings("TQQQ", 0)
               self.SetHoldings("SPY", .4)
           else:
               self.SetHoldings("UVXY", 0)
               self.SetHoldings("TMF", 0)
               self.SetHoldings("TQQQ", .8)
               self.SetHoldings("SPY", .2)
              
       else:
           if self.ratio.Current.Value < .923:
               
               self.SetHoldings("UVXY", .6)
               self.SetHoldings("TMF", .4)
               self.SetHoldings("TQQQ", 0)
               self.SetHoldings("SPY", 0)
           else:
               self.SetHoldings("UVXY", 0)
               self.SetHoldings("TMF", .2)
               self.SetHoldings("TQQQ", .4)
       '''
       self.portfolio["SPY"].Invested = closevalue
       self.stopMarketTicket = self.StopMarketOrder("SPY", closevalue, 0.05 * self.Securities["SPY"].Close) 
       '''

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