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 -6.147 Tracking Error 0.057 Treynor Ratio 0 Total Fees $0.00 |
from QuantConnect.Data.Custom.CBOE import * class VentralTachyonAtmosphericScrubbers(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 12, 6) # Set Start Date self.SetEndDate(2018, 1, 1) self.SetCash(500) # Set Strategy Cash self.vixsmStr = "VIX9D" self.AddData(CboeVixsm, "VIX9D") def OnData(self, data): if self.vixsmStr in data: vixsmPrice = data[self.vixsmStr].Close self.Plot("vix9D", "vixsmClose", vixsmPrice) class CboeVixsm(PythonData): '''CBOE Vix Download Custom Data Class''' def GetSource(self, config, date, datafeed): url_vix = "http://cache.quantconnect.com/alternative/cboe/vix9d.csv" return SubscriptionDataSource(url_vix, SubscriptionTransportMedium.RemoteFile) def Reader(self, config, line, date, datafeed): if not (line.strip() and line[0].isdigit()): return None # New CboeVix object index = CboeVixsm(); index.Symbol = config.Symbol try: # Example File Format: # Date VIX Open VIX High VIX Low VIX Close # 01/02/2004 17.96 18.68 17.54 18.22 #print line data = line.split(',') date = data[0].split('/') index.Time = datetime(int(date[2]), int(date[0]), int(date[1])) index.Value = float(data[4]) index["Open"] = float(data[1]) index["High"] = float(data[2]) index["Low"] = float(data[3]) index["Close"] = index.Value except ValueError: return None return index