| Overall Statistics |
|
Total Orders 45 Average Win 2.44% Average Loss -2.09% Compounding Annual Return 3.690% Drawdown 14.600% Expectancy 0.183 Start Equity 25000 End Equity 28904.65 Net Profit 15.619% Sharpe Ratio 0.286 Sortino Ratio 0.27 Probabilistic Sharpe Ratio 9.939% Loss Rate 45% Win Rate 55% Profit-Loss Ratio 1.17 Alpha -0.019 Beta 0.473 Annual Standard Deviation 0.059 Annual Variance 0.003 Information Ratio -0.93 Tracking Error 0.063 Treynor Ratio 0.036 Total Fees $45.00 Estimated Strategy Capacity $450000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 2.16% |
from AlgorithmImports import *
from QuantConnect.DataSource import *
class VixCentralContangoAlgorithm (QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2014,1,1)
self.set_end_date(2018,1,1)
self.set_cash(25000)
self.spy = self.add_equity("SPY", Resolution.DAILY).symbol
self.contango = self.add_data(VIXCentralContango, "VX", Resolution.DAILY).symbol
def on_data(self, slice: Slice) -> None:
contango_data = slice.Get(VIXCentralContango, self.contango)
ratio = contango_data.contango_f2_minus_f1 if contango_data else 0
if not self.portfolio.invested and ratio > 0:
self.market_order(self.spy, 100)
elif ratio < 0:
self.liquidate()