Overall Statistics |
Total Trades 24 Average Win 0.68% Average Loss -0.15% Compounding Annual Return 95.566% Drawdown 5.900% Expectancy 1.386 Net Profit 1.450% Sharpe Ratio 4.938 Loss Rate 57% Win Rate 43% Profit-Loss Ratio 4.57 Alpha 0.458 Beta -0.008 Annual Standard Deviation 0.093 Annual Variance 0.009 Information Ratio 4.79 Tracking Error 0.093 Treynor Ratio -55.79 Total Fees $85.00 |
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. # Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. from clr import AddReference AddReference("System") AddReference("QuantConnect.Algorithm") AddReference("QuantConnect.Common") from System import * from QuantConnect import * from QuantConnect.Algorithm import * from datetime import timedelta import pandas as pd import numpy as np from decimal import Decimal ### <summary> ### This example demonstrates how to add options for a given underlying equity security. ### It also shows how you can prefilter contracts easily based on strikes and expirations, and how you ### can inspect the option chain to pick a specific option contract to trade. ### </summary> ### <meta name="tag" content="using data" /> ### <meta name="tag" content="options" /> ### <meta name="tag" content="filter selection" /> class BasicTemplateOptionsAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2018, 6, 8) self.SetEndDate(2018, 6, 15) self.SetCash(10000) self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash) equity = self.AddEquity("SPY", Resolution.Minute) option = self.AddOption("SPY", Resolution.Minute) self.option_symbol = option.Symbol option.SetFilter(lambda universe: universe.IncludeWeeklys().Strikes(-20, 20).Expiration(timedelta(2), timedelta(7))) self.symbol = option.Symbol self.rsi = self.RSI("SPY", 14) self.quantity=None def OnData(self,slice): if not self.rsi.IsReady: return for i in slice.OptionChains: if i.Key != self.symbol: continue optionchain = i.Value #self.Log("underlying price:" + str(optionchain.Underlying.Price)) df = pd.DataFrame([[x.Right,float(x.Strike),x.Expiry,float(x.BidPrice),float(x.AskPrice),float(x.Volume)] for x in optionchain], index=[x.Symbol.Value for x in optionchain], columns=['type(call 0, put 1)', 'strike', 'expiry', 'ask price', 'bid price', 'volume']) #self.Log(str(df)) call = [x for x in optionchain if x.Right == 0] put = [x for x in optionchain if x.Right == 1] contracts = [x for x in call if x.UnderlyingLastPrice - x.Strike < -1] if len(contracts) == 0: return symbol = contracts[0].Symbol if self.rsi.Current.Value < 20: self.Debug("RSI is less then 20") # if not self.Portfolio.Invested: self.LimitOrder(symbol, 10, contracts[0].AskPrice - Decimal(0.01), "limit order") self.Debug("Order was placed") # Retrieve quantity for each contract in portfolio and sell quantity using limit order if self.Portfolio.Invested: option_invested = [x.Key.Value for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Option] for contract in option_invested: quantity = self.Portfolio[contract].Quantity # Retrieve the last price of options contract lastPrice = self.Securities[contract].Price # Liquidate contracts using LimitOrder if self.rsi.Current.Value > 40 and quantity > 0: self.Debug("RSI is greater then 40") self.Transactions.CancelOpenOrders(contract) self.LimitOrder(contract,-quantity,lastPrice, "limit order - liquidate holdings") def OnEndOfDay(self): self.Plot("Indicators","RSI", self.rsi.Current.Value)