Overall Statistics
Total Trades
8
Average Win
5.81%
Average Loss
0%
Compounding Annual Return
1621.034%
Drawdown
23.400%
Expectancy
0
Net Profit
104.807%
Sharpe Ratio
26.178
Probabilistic Sharpe Ratio
92.092%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
22.919
Beta
-1.267
Annual Standard Deviation
0.904
Annual Variance
0.817
Information Ratio
17.723
Tracking Error
1.368
Treynor Ratio
-18.673
Total Fees
$24.98
Estimated Strategy Capacity
$860000.00
Lowest Capacity Asset
TMF UBTUG7D0B7TX
 
class ParticleQuantumChamber(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 1)  
        self.SetEndDate(2020, 4, 1)
        self.SetCash(100000)
    
        self.SetWarmup(1)
        
        self.SetBenchmark('SPY')
    
        self.SPY = self.AddEquity("SPY",Resolution.Hour).Symbol

        self.vxx = self.AddEquity("VXX",Resolution.Hour).Symbol
        self.tmf = self.AddEquity("TMF",Resolution.Hour).Symbol

        self.Schedule.On(self.DateRules.MonthStart("SPY"), self.TimeRules.AfterMarketOpen("SPY", 0), Action(self.rebalance))
        
    def rebalance(self):
        # self.SetHoldings(self.vixy, 0.4)
        w = np.sqrt(5)/10
        w = int(1000000000 * w)/1000000000
        self.SetHoldings(self.vxx, w)
        self.SetHoldings(self.tmf, 1 - w)