Overall Statistics
Total Trades
2
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
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$3.70
Estimated Strategy Capacity
$3600.00
 
class BootCampTask(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 1) 
        self.SetEndDate(2021, 2, 1) 
        self.SetCash(1000000) 
        
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
        
        self.vx = self.AddFuture("VX") #Futures.Indices.VIX) 
        self.vx.SetFilter(0, 90)
      
    def OnData(self, data):
        if self.Portfolio.Invested:
            self.Liquidate()
            self.Quit()
            return
        
        
        for chain in data.FutureChains:
            contracts = [contract for contract in chain.Value]
            if len(contracts) == 0:
                continue
            self.MarketOrder(contracts[0].Symbol, 1)