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Runtime Error (Open Stacktrace) running backtest

# https://quantpedia.com/Screener/Details/20
from datetime import timedelta
from decimal import Decimal

class BullCallSpreadAlgorithm(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2018, 3, 1)
self.SetEndDate(2018, 10, 1)
self.SetCash(50000)
equity = self.AddEquity("SPY", Resolution.Minute)
option = self.AddOption("SPY", Resolution.Minute)
self.symbol = equity.Symbol
option.SetFilter(self.UniverseFunc)
self.SetBenchmark(equity.Symbol)

def OnData(self,slice):

for i in slice.OptionChains:
chains = i.Value
if not self.Portfolio.Invested:
# divide option chains into call and put options
calls = list(filter(lambda x: x.Right == OptionRight.Call, chains))
puts = list(filter(lambda x: x.Right == OptionRight.Put, chains))
# if lists are empty return
if not calls or not puts: return
underlying_price = self.Securities[self.symbol].Price
expiries = [i.Expiry for i in puts]
# determine expiration date nearly one month
expiry = min(expiries, key=lambda x: abs((x.date()-self.Time.date()).days-30))
strikes = [i.Strike for i in puts]
# determine at-the-money strike
strike = min(strikes, key=lambda x: abs(x-underlying_price))
# determine 15% out-of-the-money strike
otm_strike = min(strikes, key = lambda x:abs(x-Decimal(0.85)*underlying_price))
self.atm_call = [i for i in calls if i.Expiry == expiry and i.Strike == strike]
self.atm_put = [i for i in puts if i.Expiry == expiry and i.Strike == strike]
self.otm_put = [i for i in puts if i.Expiry == expiry and i.Strike == otm_strike]

if self.atm_call and self.atm_put and self.otm_put:
# sell at-the-money straddle
self.Sell(self.atm_call[0].Symbol, 1)
self.Sell(self.atm_put[0].Symbol, 1)
# buy 15% out-of-the-money put
self.Buy(self.otm_put[0].Symbol, 1)

if self.Portfolio[self.symbol].Invested:
self.Liquidate(self.symbol)

def OnOrderEvent(self, orderEvent):
self.Log(str(orderEvent))

def UniverseFunc(self, universe):
return universe.IncludeWeeklys().Strikes(-20, 20).Expiration(timedelta(25), timedelta(35))

Can someone explain why Running the following backtest results Runtime Error (Open Stacktrace) ? What does this error mean?

Also, why it takes so long to run it? Any ways to speed it up?

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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.


Update Backtest





0

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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