Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000
End Equity
100000
Net Profit
0%
Sharpe Ratio
0
Sortino Ratio
0
Probabilistic 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
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
Drawdown Recovery
0
 
from AlgorithmImports import *
#from Selection.OptionUniverseSelectionModel import OptionUniverseSelectionModel 


class USEquityOptionsUniverseFrameworkAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2024, 9, 1)
        self.set_end_date(2024, 10, 1)
        self.set_cash(100000)
        self.add_universe_selection(EquityOptionsUniverseSelectionModel())

    def on_data(self, data):
        for _, chain in data.option_chains.items():
            expiry = min(x.expiry for x in chain)
            self.quit(f'Days to expiry: {(expiry - self.time).days}')

class EquityOptionsUniverseSelectionModel(OptionUniverseSelectionModel):
    def __init__(self) -> None:
        super().__init__(timedelta(1), self.select_option_chain_symbols)

    def select_option_chain_symbols(self, dt: datetime) -> List[Symbol]:
        return [Symbol.create("NVDA", SecurityType.OPTION, Market.USA)]

    def filter(self, universe: OptionFilterUniverse) -> OptionFilterUniverse:
        return universe.include_weeklys().expiration(30, 90)