Overall Statistics
Total Trades
10
Average Win
0%
Average Loss
-0.42%
Compounding Annual Return
-62.447%
Drawdown
2.100%
Expectancy
-1
Net Profit
-2.080%
Sharpe Ratio
-13.014
Probabilistic Sharpe Ratio
0%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.483
Beta
0.157
Annual Standard Deviation
0.068
Annual Variance
0.005
Information Ratio
9.263
Tracking Error
0.178
Treynor Ratio
-5.602
Total Fees
$10.00
 
class BasicTemplateOptionsAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2016, 1, 1)
        self.SetEndDate(2016, 1, 10)
        self.SetCash(100000)

        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")
        
        self.Schedule.On(
            self.DateRules.EveryDay(option.Symbol),
            self.TimeRules.At(10,00),
            self.BuyCall)

    def BuyCall(self):
        if self.Portfolio.Invested: return

        for kvp in self.CurrentSlice.OptionChains:
            if kvp.Key != self.option_symbol: continue
            chain = kvp.Value

            # we sort the contracts to find at the money (ATM) contract with farthest expiration
            contracts = sorted(sorted(sorted(chain, \
                key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
                key = lambda x: x.Expiry, reverse=True), \
                key = lambda x: x.Right)

            # if found, trade it
            if len(contracts) == 0: continue
            symbol = contracts[0].Symbol
            self.MarketOrder(symbol, 1)
            self.MarketOnCloseOrder(symbol, -1)