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Is this possible to do this with Lean?
I've just learned that Lean has a TradeBuilder that we can use to calculate the maximum unrealized drawdown of a position (ie: the MAE, or ‘Max Adversarial Excursion’).
Now, I need to do this for the option spreads in my Algo, where each trade is two option legs.
Is it possible to use TradeBuilder to calculate MAE for option spreads?
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Louis Szeto
Hi .ekz.
The TradeBuilder interface is used to fetch each individual trade's statistics. For unrealized PnL, we recommend using self.Portfolio[symbol].UnrealizedProfitPercent to do so.
In case of paired trades:
Best
Louis Szeto
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
.ekz.
Got it.
Thanks for the answer. Now that I know it is not possible I will build something custom to track the MAE for a multi-legged option position.
.ekz.
Aha, thanks for adding some sample code to your reply.
Will use this.
.ekz.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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