Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees $0.00 |
import pandas as pd class HorizontalDynamicSplitter(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 1, 17) #Set Start Date self.SetEndDate(2020, 1, 18) #Set End Date self.SetCash(50000) #Set Strategy Cash equity = self.AddEquity("GOOG", Resolution.Minute) # Add the underlying stock: Google option = self.AddOption("GOOG", Resolution.Minute) # Add the option corresponding to underlying stock self.symbol = option.Symbol option.SetFilter(-10, 10, timedelta(0), timedelta(days = 1)) def OnData(self, data): for i in data.OptionChains: if i.Key != self.symbol: continue optionchain = i.Value df = pd.DataFrame([[x.Expiry] for x in optionchain], index=[x.Symbol.Value for x in optionchain], columns=['expiry']) if df.shape[0] > 0: self.Log(f"\n{df.to_string()}") self.Quit()