Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from datetime import timedelta
from decimal import Decimal
from functools import reduce

import QuantConnect.Securities.Option
import QuantConnect.Securities.Equity
from QuantConnect.Securities.Option import OptionHolding
from QuantConnect.Securities.Equity import EquityHolding


class GaboOptionsIssues04(QCAlgorithm):
    def Initialize(self):
        # self.SetStartDate(2016, 3, 27)
        # self.SetEndDate(2016, 4, 5)
        
        self.SetStartDate(2012, 1, 1)
        self.SetEndDate(2018, 1, 1)
        self.SetCash(100000)

        self.option = self.AddOption("SVXY")
        self.equity = self.AddEquity("SVXY", Resolution.Minute)

        # set our strike/expiry filter for this option chain
        self.option.SetFilter(-20, +0, timedelta(14), timedelta(40))

        # use the underlying equity as the benchmark
        self.SetBenchmark("SVXY")


    def OnData(self, slice):
        pass