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
-1.04
Tracking Error
0.203
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
# region imports
from AlgorithmImports import *
# endregion

class SmoothBlackKangaroo(QCAlgorithm):

    def Initialize(self) -> None:
        self.SetStartDate(2022, 2, 20)
        self.SetEndDate(2022, 2, 28)
        self.SetCash(1000000)

        self.VIX = self.AddIndex("VIX", Resolution.Hour).Symbol
        self.SPX = self.AddIndex("SPX", Resolution.Hour).Symbol
        self.VIX_SPX_beta = Beta("beta", 63, self.VIX, self.SPX)
        self.VIX_SPX_beta.Updated += self.OnBetaUpdate

        self.RegisterIndicator(self.VIX, self.VIX_SPX_beta)
        self.RegisterIndicator(self.SPX, self.VIX_SPX_beta)

        self.WarmUpIndicator(self.VIX, self.VIX_SPX_beta)
        self.WarmUpIndicator(self.SPX, self.VIX_SPX_beta)

    def OnBetaUpdate(self, _, point):
        if self.VIX_SPX_beta.IsReady:
            self.Debug(f"Beta: {point.EndTime}::{point.Value}")