| Overall Statistics |
|
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return -2.232% Drawdown 1.000% Expectancy 0 Net Profit -0.190% Sharpe Ratio -0.924 Probabilistic Sharpe Ratio 23.911% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.031 Beta 0.008 Annual Standard Deviation 0.032 Annual Variance 0.001 Information Ratio -3.769 Tracking Error 0.059 Treynor Ratio -3.567 Total Fees $2.00 Estimated Strategy Capacity $220000.00 Lowest Capacity Asset WDFC X4K9WJONKMME|WDFC R735QTJ8XC9X |
# region imports
from AlgorithmImports import *
# endregion
class SmoothSkyBlueBarracuda(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 4, 1) # Set Start Date
self.SetEndDate(2019, 5, 1)
self.SetCash(100000) # Set Strategy Cash
option = self.AddOption("WDFC", Resolution.Minute) # WDFC 190517C00180000
option.SetFilter(minExpiry=timedelta(days=10), maxExpiry=timedelta(days=50))
self.done = False
def OnData(self, data: Slice):
if not self.Portfolio.Invested:
self.MarketOrder("WDFC", 100)
if self.Time.day < 22 or self.done:
return
selected = None
for chain in data.OptionChains.Values:
symbols=[x.Symbol.Value for x in chain.Contracts.Values]
for contract in chain.Contracts.Values:
if contract.Symbol.Value == "WDFC 190517C00180000":
selected = contract
if selected:
self.MarketOrder(selected.Symbol, -1)
self.done = True