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
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
-1.343
Tracking Error
0.096
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
# region imports
from AlgorithmImports import *
# endregion

class RetrospectiveLightBrownWolf(QCAlgorithm):
    
    def Initialize(self):
        self.SetStartDate(2023, 7, 6)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.vix_security_indx = self.AddIndex("VIX", Resolution.Minute)
        self.daily_vix_dict = []
        self.SetWarmup(timedelta(days=200))
    
    def OnData(self, slice: Slice):
        vix_symbol_indx = self.vix_security_indx.Symbol
        if not vix_symbol_indx in slice:
            return
        t = self.Time
        bar = slice[vix_symbol_indx]
        self.daily_vix_dict.append(bar.Close)
        self.Plot("VIX","VIX",bar.Close)

    def OnEndOfDay(self, symbol: Symbol):
        self.Log(f"Date: {self.Time}  | FINAL VIXS VALS: {self.daily_vix_dict}")
        self.daily_vix_dict = []