Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000
End Equity
100000
Net Profit
0%
Sharpe Ratio
0
Sortino 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
-1.979
Tracking Error
0.104
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
from AlgorithmImports import *
import pytz

class VixTestStrategy(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2024, 1, 1)
        self.SetCash(100000)

        # EuroStoxx future subscription
        self.euro_stoxx = self.AddFuture('HE',
            dataMappingMode=DataMappingMode.LAST_TRADING_DAY)
        self.euro_stoxx.SetFilter(lambda universe: universe.Expiration(0, 90))

    def on_end_of_day(self, symbol):
        self.plot('HE', symbol.value, self.securities[symbol].price)