Overall Statistics
Total Trades
6
Average Win
0.39%
Average Loss
-0.09%
Compounding Annual Return
4.392%
Drawdown
0.700%
Expectancy
0.729
Net Profit
0.350%
Sharpe Ratio
1.454
Probabilistic Sharpe Ratio
54.975%
Loss Rate
67%
Win Rate
33%
Profit-Loss Ratio
4.19
Alpha
0.034
Beta
0.028
Annual Standard Deviation
0.028
Annual Variance
0.001
Information Ratio
-3.768
Tracking Error
0.061
Treynor Ratio
1.463
Total Fees
$4.00
Estimated Strategy Capacity
$140000.00
Lowest Capacity Asset
AAPL VRKSAA43N0DI|AAPL R735QTJ8XC9X
 
class BasicTemplateOptionTradesAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2014, 6, 1)
        self.SetEndDate(2014, 6, 30)
        self.SetCash(100000)

        self.AddEquity("AAPL")
        option = self.AddOption("AAPL")
        option.SetFilter(-2, +2, 0, 30)
        
    def OnData(self,slice):
        if not self.Portfolio.Invested:
            for kvp in slice.OptionChains:
                chain = kvp.Value
                contracts = sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike))

                if len(contracts) == 0: continue
                if contracts[0] != None:
                    self.MarketOrder(contracts[0].Symbol, 1)