| Overall Statistics |
|
Total Orders 49 Average Win 2.56% Average Loss -1.08% Compounding Annual Return 7.148% Drawdown 8.400% Expectancy 0.688 Net Profit 31.780% Sharpe Ratio 0.714 Sortino Ratio 0.788 Probabilistic Sharpe Ratio 38.250% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 2.38 Alpha 0.003 Beta 0.491 Annual Standard Deviation 0.056 Annual Variance 0.003 Information Ratio -0.614 Tracking Error 0.058 Treynor Ratio 0.082 Total Fees $49.00 Estimated Strategy Capacity $640000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 2.13% |
#region imports
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Globalization;
using System.Drawing;
using QuantConnect;
using System.Text.RegularExpressions;
using QuantConnect.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Selection;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Crypto;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Storage;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
using QuantConnect.DataSource;
namespace QuantConnect
{
public class CBOEDataAlgorithmAlgorithm : QCAlgorithm
{
private Symbol _spy;
private Symbol _vix;
private Symbol _vxv;
private SimpleMovingAverage _smaVIX;
private SimpleMovingAverage _smaVXV;
private IndicatorBase _ratio;
public override void Initialize()
{
SetStartDate(2014, 1, 1);
SetEndDate(2018, 1, 1);
SetCash(25000);
_spy = AddEquity("SPY", Resolution.Daily).Symbol;
// Define the symbol and "type" of our generic data
_vix = AddData<CBOE>("VIX", Resolution.Daily).Symbol;
_vxv = AddData<CBOE>("VIX3M", Resolution.Daily).Symbol;
// Set up default Indicators, these are just 'identities' of the closing price
_smaVIX = SMA(_vix, 1);
_smaVXV = SMA(_vxv, 1);
// This will create a new indicator whose value is smaVXV / smaVIX
_ratio = _smaVXV.Over(_smaVIX);
var history = History<CBOE>(_vix, 60, Resolution.Daily);
Debug($"We got {history.Count()} items from our history request");
}
public override void OnData(Slice slice)
{
// Wait for all indicators to fully initialize
if (_smaVIX.IsReady && _smaVXV.IsReady && _ratio.IsReady)
{
if (!Portfolio.Invested && _ratio > 1)
{
MarketOrder(_spy, 100);
}
else if (_ratio < 1)
{
Liquidate();
}
// plot all indicators
Plot("SMA", "VIX", _smaVIX);
Plot("SMA", "VXV", _smaVXV);
Plot("Ratio", "Value", _ratio.Current.Value);
}
}
}
}