Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe 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
-2.167
Tracking Error
0.237
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# region imports
from AlgorithmImports import *
# endregion

class WeeklyOptionsTest(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 10, 1)  # Set Start Date
        self.SetCash(1000000)  # Set Strategy Cash
        aapl = self.AddEquity("AAPL", Resolution.Minute).Symbol
        option = self.AddOption(aapl)
        self.symbol = option.Symbol
        option.SetFilter(self.OptionsFilter)

    def OptionsFilter(self, option_filter_universe):
        monthly = len([x for x in option_filter_universe.StandardsOnly()])
        weekly = len([x for x in option_filter_universe.WeeklysOnly()])
        both = len([x for x in option_filter_universe.IncludeWeeklys()])
        self.Log(f"monthly: {monthly}; weekly: {weekly}; both: {both}")
        return option_filter_universe.Contracts([])

    def OnData(self, data: Slice):
        pass