/// <summary>
/// Initialize the data and resolution you require for your strategy
/// </summary>
public override void Initialize()
{
SetStartDate(2014, 1, 1);
SetEndDate(2018, 1, 1);
SetCash(25000);
// Define the symbol and "type" of our generic data
AddData <CustomData>(_ibm, Resolution.Daily);
AddData <CustomData>(_spy, Resolution.Daily);
// Set up default Indicators, these are just 'identities' of the closing price
_smaIBM = SMA(_ibm, 1);
_smaSPY = SMA(_spy, 1);
// This will create a new indicator whose value is smaSPY / smaIBM
_ratio = _smaSPY.Over(_smaIBM);
}
/// <summary>
/// Initialize the data and resolution you require for your strategy
/// </summary>
public override void Initialize()
{
SetStartDate(2014, 1, 1);
SetEndDate(2018, 1, 1);
SetCash(25000);
// Define the symbol and "type" of our generic data
AddData <QuandlVix>(_vix, Resolution.Daily);
AddData <Quandl>(_vxv, Resolution.Daily);
// 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);
}