Overall Statistics
Total Trades
4
Average Win
0%
Average Loss
0%
Compounding Annual Return
-0.777%
Drawdown
0.900%
Expectancy
0
Net Profit
-0.010%
Sharpe Ratio
-3.694
Probabilistic Sharpe Ratio
25.362%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.784
Beta
0.094
Annual Standard Deviation
0.03
Annual Variance
0.001
Information Ratio
-104.963
Tracking Error
0.069
Treynor Ratio
-1.158
Total Fees
$0.00
Estimated Strategy Capacity
$290000.00
 
class FatOrangePelican(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 4);
        self.SetEndDate(2021, 1, 9);
        self.SetCash(1000000);
        
        ticker =  'SPX' #'NDX', 'VIX'
        self.symbol = self.AddIndex(ticker, Resolution.Minute).Symbol
        self.AddIndexOption(self.symbol, Resolution.Minute).SetFilter(-1, 1, timedelta(0), timedelta(45))

    def OnData(self, data):
        if not data.ContainsKey(self.symbol) or self.Portfolio.Invested:
            return

        for chain in data.OptionChains.Values:
            for contract in chain.Contracts.Values:
                self.MarketOrder(contract.Symbol, 1)