Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-0.012%
Drawdown
0.000%
Expectancy
0
Net Profit
-0.001%
Sharpe Ratio
-3.464
Probabilistic Sharpe Ratio
0.498%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
-0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-5.197
Tracking Error
0.114
Treynor Ratio
0.986
Total Fees
$1.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
AAPL 31OJK5OW4VX2E|AAPL R735QTJ8XC9X
 
class MuscularTanMonkey(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 6, 19)
        self.SetCash(100000) 

        self.equity = self.AddEquity("AAPL", Resolution.Minute)
        self.equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
        
        # in case the slice don't have a price, you can set last known price as market price to trade
        self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))

    def OnData(self, data):
        if self.Portfolio.Invested: return
    
        contracts = self.OptionChainProvider.GetOptionContractList(self.equity.Symbol, data.Time)
        
        if not contracts: return
    
        self.AddOptionContract(contracts[0], Resolution.Minute)
    
        self.Buy(contracts[0], 1)