Overall Statistics |
Total Trades 802 Average Win 0.11% Average Loss -0.25% Compounding Annual Return -39.088% Drawdown 36.700% Expectancy -0.439 Net Profit -36.454% Sharpe Ratio -14.376 Loss Rate 61% Win Rate 39% Profit-Loss Ratio 0.45 Alpha -0.438 Beta 0.021 Annual Standard Deviation 0.03 Annual Variance 0.001 Information Ratio -1.966 Tracking Error 0.253 Treynor Ratio -20.898 Total Fees $396.00 |
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. # Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. from clr import AddReference AddReference("System") AddReference("QuantConnect.Algorithm") AddReference("QuantConnect.Common") from System import * from QuantConnect import * from QuantConnect.Algorithm import * from QuantConnect.Securities.Option import OptionStrategies from datetime import datetime, timedelta ### <summary> ### This algorithm demonstrate how to use Option Strategies (e.g. OptionStrategies.Straddle) helper classes to batch send orders for common strategies. ### It also shows how you can prefilter contracts easily based on strikes and expirations, and how you can inspect the ### option chain to pick a specific option contract to trade. ### </summary> ### <meta name="tag" content="using data" /> ### <meta name="tag" content="options" /> ### <meta name="tag" content="option strategies" /> ### <meta name="tag" content="filter selection" /> class BasicTemplateOptionStrategyAlgorithm(QCAlgorithm): def Initialize(self): # Set the cash we'd like to use for our backtest self.SetCash(1000000) # Start and end dates for the backtest. self.SetStartDate(2018,1,1) self.SetEndDate(2018,12,1) # Add assets you'd like to see option = self.AddOption("GOOG") self.option_symbol = option.Symbol # set our strike/expiry filter for this option chain option.SetFilter(-2, +2, timedelta(0), timedelta(180)) # use the underlying equity as the benchmark self.SetBenchmark("GOOG") def OnData(self,slice): if not self.Portfolio.Invested: for kvp in slice.OptionChains: chain = kvp.Value contracts = sorted(sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike)), key = lambda x: x.Expiry, reverse=False) if len(contracts) == 0: continue atmStraddle = contracts[0] if atmStraddle != None: self.Sell(OptionStrategies.Straddle(self.option_symbol, atmStraddle.Strike, atmStraddle.Expiry), 2) def OnEndOfDay(self): self.Liquidate() def OnOrderEvent(self, orderEvent): self.Log(str(orderEvent))