| Overall Statistics |
|
Total Trades 43 Average Win 1.17% Average Loss -1.63% Compounding Annual Return 9.611% Drawdown 19.300% Expectancy -0.914 Net Profit 174.510% Sharpe Ratio 1.098 Probabilistic Sharpe Ratio 55.993% Loss Rate 95% Win Rate 5% Profit-Loss Ratio 0.72 Alpha 0.023 Beta 0.482 Annual Standard Deviation 0.092 Annual Variance 0.008 Information Ratio -0.618 Tracking Error 0.097 Treynor Ratio 0.209 Total Fees $2157.37 |
class UncoupledTransdimensionalPrism(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2009, 1, 1) # Set Start Date
self.SetEndDate(2020, 1, 1)
self.SetCash(1000000) # Set Strategy Cash
spy = self.AddEquity("SPY", Resolution.Minute)
spy.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.tlt = self.AddEquity('TLT', Resolution.Minute).Symbol
self.spy = spy.Symbol
self.contract = None
def OnData(self, data):
if not self.Portfolio[self.spy].Invested:
self.SetHoldings(self.spy, 0.6)
self.SetHoldings(self.tlt, 0.4)
return
# DO HEDGE
if self.contract is None:
self.contract = self.GetContract()
return
if (self.contract.ID.Date - self.Time).days < 180:
self.Liquidate(self.contract)
self.RemoveSecurity(self.contract)
self.contract = None
return
if not self.Portfolio[self.contract].Invested:
self.SetHoldings(self.contract, 0.01)
if self.Securities[self.spy].Price < self.contract.ID.StrikePrice * 1.3:
self.Liquidate(self.contract)
self.RemoveSecurity(self.contract)
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]