| Overall Statistics |
|
Total Trades 5668 Average Win 0.38% Average Loss -1.18% Compounding Annual Return 49.026% Drawdown 47.200% Expectancy 0.156 Net Profit 9896.697% Sharpe Ratio 1.234 Probabilistic Sharpe Ratio 49.583% Loss Rate 13% Win Rate 87% Profit-Loss Ratio 0.32 Alpha 0.414 Beta 0.726 Annual Standard Deviation 0.415 Annual Variance 0.172 Information Ratio 0.942 Tracking Error 0.401 Treynor Ratio 0.704 Total Fees $78804.30 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.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"