Overall Statistics |
Total Trades 4 Average Win 0% Average Loss -4.61% Compounding Annual Return -23.670% Drawdown 31.700% Expectancy -1 Net Profit -8.404% Sharpe Ratio -0.184 Probabilistic Sharpe Ratio 24.832% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.038 Beta -0.984 Annual Standard Deviation 0.565 Annual Variance 0.319 Information Ratio -0.227 Tracking Error 1.092 Treynor Ratio 0.106 Total Fees $2.00 |
from datetime import timedelta class LongStrangleAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 2, 1) self.SetEndDate(2020, 4, 30) self.SetCash(100000) equity = self.AddEquity("GOOG", Resolution.Minute) option = self.AddOption("GOOG", Resolution.Minute) self.symbol = option.Symbol # set our strike/expiry filter for this option chain option.SetFilter(-15, 15, timedelta(30), timedelta(60)) # use the underlying equity GOOG as the benchmark self.SetBenchmark(equity.Symbol) def OnData(self,slice): optionchain = slice.OptionChains for i in slice.OptionChains: if i.Key != self.symbol: continue chains = i.Value contract_list = [x for x in chains] # if there is no contracts in this optionchain, pass the instance if (slice.OptionChains.Count == 0) or (len(contract_list) == 0): return # if there is no securities in portfolio, trade the options if not self.Portfolio.Invested: self.TradeOptions(optionchain) def TradeOptions(self,optionchain): for i in optionchain: if i.Key != self.symbol: continue chain = i.Value # sorted the optionchain by expiration date and choose the furthest date expiry = sorted(chain,key = lambda x: x.Expiry, reverse=True)[0].Expiry # filter the call options from the contracts expires on that date call = [i for i in chain if i.Expiry == expiry and i.Right == 0] # sorted the contracts according to their strike prices call_contracts = sorted(call,key = lambda x: x.Strike) if len(call_contracts) == 0: continue # choose the deep OTM call option self.call = call_contracts[-1] # select the put options which have the same expiration date with the call option # sort the put options by strike price put_contracts = sorted([i for i in chain if i.Expiry == expiry and i.Right == 1], key = lambda x: x.Strike) # choose the deep OTM put option self.put = put_contracts[0] self.Buy(self.call.Symbol ,1) self.Buy(self.put.Symbol ,1) def OnOrderEvent(self, orderEvent): self.Log(str(orderEvent))