Overall Statistics |
Total Trades 133 Average Win 0.06% Average Loss -0.04% Compounding Annual Return 0.334% Drawdown 1.200% Expectancy 0.090 Net Profit 0.234% Sharpe Ratio 0.211 Probabilistic Sharpe Ratio 21.747% Loss Rate 57% Win Rate 43% Profit-Loss Ratio 1.51 Alpha 0.007 Beta -0.024 Annual Standard Deviation 0.011 Annual Variance 0 Information Ratio -1.568 Tracking Error 0.114 Treynor Ratio -0.097 Total Fees $76.20 Estimated Strategy Capacity $3000.00 Lowest Capacity Asset SPY YB1F5SRQ7R6U|SPY R735QTJ8XC9X Portfolio Turnover 3.22% |
#region imports from AlgorithmImports import * import datetime #endregion class IronCondorAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2023, 1, 1) self.SetCash(100000) option = self.AddOption("SPY") self.symbol = option.Symbol self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin) option.SetFilter(lambda universe: universe.Strikes(-15, 15).Expiration(0, 0)) # use the underlying instrument as the benchmark self.SetBenchmark(self.symbol.Underlying) self.Schedule.On(self.DateRules.EveryDay(self.symbol), self.TimeRules.AfterMarketOpen(self.symbol, 30), self.OpenIronCondor) def OpenIronCondor(self): # Print the underlying price underlying_price = self.Securities[self.symbol.Underlying].Price self.Debug(f"Opening Iron Condor position. Underlying Price: {underlying_price}") # Get the Option chain chain = self.CurrentSlice.OptionChains.get(self.symbol) if not chain: self.Debug(f"No Option Chain") return # Find put and call contracts with the farthest expiry expiry = max([x.Expiry for x in chain]) chain = sorted([x for x in chain if x.Expiry == expiry], key = lambda x: x.Strike) put_contracts = [x for x in chain if x.Right == OptionRight.Put] call_contracts = [x for x in chain if x.Right == OptionRight.Call] if len(call_contracts) < 10 or len(put_contracts) < 10: return # Select the strikes in the strategy legs far_put = put_contracts[0].Strike near_put = put_contracts[10].Strike near_call = call_contracts[-10].Strike far_call = call_contracts[-1].Strike self.Debug(f"Strike Price -> {far_put}/{near_put}/{near_call}/{far_call}") iron_condor = OptionStrategies.IronCondor( self.symbol, far_put, near_put, near_call, far_call, expiry) self.Buy(iron_condor, 2) def OnData(self,slice): # If there is underlying assets in portfolio at expiration, liquidate the stocks in order to roll into new contracts if self.Portfolio[self.symbol.Underlying].Invested: self.Liquidate() if self.Portfolio.Invested or not self.IsMarketOpen(self.symbol): return