Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
311.251%
Drawdown
0.900%
Expectancy
0
Net Profit
1.169%
Sharpe Ratio
25.479
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
1.916
Beta
-23.146
Annual Standard Deviation
0.131
Annual Variance
0.017
Information Ratio
24.874
Tracking Error
0.137
Treynor Ratio
-0.144
Total Fees
$1.00
Estimated Strategy Capacity
$1600000.00
Lowest Capacity Asset
GOOCV XOA77Z9Y6IH2|GOOCV VP83T1ZUHROL
 
class PensiveRedOrangeRhinoceros(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 3, 27)  # Set Start Date
        self.SetEndDate(2021, 3, 29)
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("MSFT", Resolution.Minute)
        self.option = self.AddOption("GOOG")
        
        ''' Need to set PriceModel '''
        self.option.PriceModel = OptionPriceModels.CrankNicolsonFD()
        self.option.SetFilter(-2, 2, timedelta(0), timedelta(182))
        self.option.SetFilter(lambda universe: universe.WeeklysOnly().Strikes(-2, +2).Expiration(timedelta(0), timedelta(182)))
        
        ''' Needs sufficient warmup, try with days=1 and will not work '''
        self.SetWarmup(timedelta(days=7))

    def OnData(self, slice):
        for chain in slice.OptionChains.Values:
            contracts = sorted(sorted(chain, \
                           key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
                           key = lambda x: x.Expiry, reverse=True)
                           
            for contract in contracts:
                self.Debug(contract.Greeks.Delta)
                if not self.Portfolio.Invested:
                    self.MarketOrder(contract.Symbol, 1)