Overall Statistics
Total Trades
8
Average Win
0%
Average Loss
0%
Compounding Annual Return
-7.405%
Drawdown
0.100%
Expectancy
0
Net Profit
-0.050%
Sharpe Ratio
-10.877
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.159
Beta
0.079
Annual Standard Deviation
0.006
Annual Variance
0
Information Ratio
-19.643
Tracking Error
0.066
Treynor Ratio
-0.784
Total Fees
$8.00
Estimated Strategy Capacity
$1300000.00
 
class EmotionalBlackOwl(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 9, 30)
        self.SetEndDate(2020, 10, 3)
        self.SetCash(100000)  # Set Strategy Cash
        
        security = self.AddEquity("AAPL", Resolution.Minute)
        security.SetDataNormalizationMode(DataNormalizationMode.Raw)
        self.symbol = security.Symbol
        
        option = self.AddOption("AAPL", Resolution.Minute)
        option.SetFilter(lambda universe: universe.Strikes(-2, 2).Expiration(timedelta(14), timedelta(17)))
        self.option_symbol = option.Symbol


    def OnData(self, data):
        if not (data.Time.month == 10 and data.Time.day == 2 and data.Time.hour == 9 and data.Time.minute == 31):
            return
        
        for symbol, option_chain in data.OptionChains.items():
            contracts = [c for c in option_chain]
            for contract in contracts:
                self.Debug(f"\nsymbol: {contract.Symbol.Value}; ID: {contract.Symbol.ID}")
                self.MarketOrder(contract.Symbol, 1)
        self.Quit()