Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
-15.25%
Compounding Annual Return
-98.212%
Drawdown
67.800%
Expectancy
-1
Net Profit
-63.736%
Sharpe Ratio
-3.977
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-2.974
Beta
-0.227
Annual Standard Deviation
0.736
Annual Variance
0.541
Information Ratio
-3.282
Tracking Error
0.827
Treynor Ratio
12.899
Total Fees
$40.06
/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * 
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System;
using System.Linq;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Data.Market;

namespace QuantConnect.Algorithm.Examples
{
    /// <summary>
    /// Basic template algorithm simply initializes the date range and cash
    /// </summary>
    public class VIXIntraDay : QCAlgorithm
    {
      
        public override void Initialize()
        {
        	
            SetStartDate(2011, 7, 22);     
            SetEndDate(2011, 10, 22);
            SetCash(100000);             
            AddSecurity(SecurityType.Equity, "XIV", Resolution.Minute);
       }
		
       
        public void OnData(TradeBars data)
        
        {
        		var bar = data["XIV"];
           
              	if (Portfolio.Invested == false && bar.Time.Hour == 15 && bar.Time.Minute == 58)
                             
                        	SetHoldings("XIV", 1);
            	
             
        } // OnData

    }
}