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Option Roulette

For your entertainment, I am sharing my first untradable option trading algo - Option Roulette.


At start of each week, the algo, as the name implies, randomly picks a strategy to trade SPY - synthetic long, long strangle, short strangle, short iron condor.

It is meant to be an excercise for me to get my feet wet with option tading and the Quantconnect api.  One of the catchas was to trigger a liquidation when options get assigned, if liqudation is not executed, the backtest will just not trade anymore! There are still bugs in the code, since the logic is to liquidate and then trade every week, so that the existing sold options will never get assigned.

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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.


Thanks for this example.

If you figure out how to deal with the early excercise / assignment events, let me know. I am also struggling with that.

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Update Backtest





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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.


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