Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
11.485%
Drawdown
25.800%
Expectancy
0
Net Profit
4.630%
Sharpe Ratio
0.542
Probabilistic Sharpe Ratio
37.415%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.021
Beta
0.882
Annual Standard Deviation
0.323
Annual Variance
0.104
Information Ratio
-1.002
Tracking Error
0.047
Treynor Ratio
0.198
Total Fees
$49.52
 
class ResistanceTransdimensionalSplitter(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2009, 1, 1)
        self.SetEndDate(2009, 6, 1)
        self.SetCash(1000000)
        spy = self.AddEquity("SPY", Resolution.Minute)
        spy.SetDataNormalizationMode(DataNormalizationMode.Raw)
        self.spy = spy.Symbol
        self.contract = None
        self.SetWarmUp(200)
    
    def OnData(self, data):
        if self.IsWarmingUp:
            return

        if not self.Portfolio[self.spy].Invested:
            self.SetHoldings(self.spy, 0.9)
            self.Debug(str(self.Portfolio[self.spy].HoldingsValue))
            
        if self.contract is None:
            self.contract = self.GetContract()
            self.SetHoldings(self.contract, 0.1)
            return
        
    def GetContract(self):
        targetStrike = (self.Securities[self.spy].Price * 0.6) - (self.Securities[self.spy].Price * 0.6)%5
        contracts = self.OptionChainProvider.GetOptionContractList(self.spy, self.Time)
        puts = [x for x in contracts if x.ID.OptionRight == OptionRight.Put]
        puts = sorted( sorted(puts, key = lambda x: x.ID.Date, reverse = True),
                       key = lambda x: x.ID.StrikePrice)
        puts = [x for x in puts if x.ID.StrikePrice == targetStrike]
        puts = [x for x in puts if 270 < (x.ID.Date - self.Time).days <= 420]
        if len(puts) == 0:
            return None
        self.AddOptionContract(puts[0], Resolution.Minute)
        return puts[0]