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
-0.885
Tracking Error
0.272
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class ZERODTE_2(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 31)
        self.SetEndDate(2021, 6, 1)
        self.SetCash(100000) 
        self.AddEquity("SPY", Resolution.Minute)
        option = self.AddOption("SPY", Resolution.Minute)
        self.symbol = option.Symbol
        # set our strike/expiry filter for this option chain
        option.SetFilter(lambda universe: universe.IncludeWeeklys().Strikes(0, 20).Expiration(timedelta(0), timedelta(1)))
        self.Schedule.On(self.DateRules.EveryDay(),self.TimeRules.At(10, 0),self.TradeOptions)
        self.SetBenchmark("SPY")

    def OnData(self, slice):
        
        pass
    
    def TradeOptions(self):
    
        self.Log('log')