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
-0.813
Tracking Error
0.213
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# VIX, VXV, VIX9D data

class VentralTachyonAtmosphericScrubbers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 1)  
        self.SetEndDate(2021, 12, 6)
        self.vix = "VIX"
        self.AddData(CBOE, self.vix, Resolution.Daily)
        self.vxv = "VIX3M"
        self.AddData(CBOE, self.vxv, Resolution.Daily)
        self.vix9d = "VIX9D"
        self.AddData(CBOE, self.vix9d, Resolution.Daily)
        

    def OnData(self, data):
        if self.vxv in data and self.vix in data:
            vix = data[self.vix].Close
            vxv = data[self.vxv].Close
            vix9d = data[self.vix9d].Close
    
            self.Plot("VIX", "vix", vix)
            self.Plot("VIX", "vxv", vxv)
            self.Plot("VIX", "vix9d", vix9d)