Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000
End Equity
100000
Net Profit
0%
Sharpe Ratio
0
Sortino 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
-2.749
Tracking Error
0.098
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
# region imports
from AlgorithmImports import *
# endregion

class FormalFluorescentOrangeBuffalo(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2024, 1, 1)
        self.set_end_date(2024, 2, 1)
        option = self.AddOption("SPY")
        option.SetFilter(lambda universe: universe.include_weeklys().expiration(0, 0))
        self.option_symbol = option.symbol
        self.day = 0

    def on_data(self, slice:Slice):
        if self.day == self.time.day:
            return
        chain = slice.option_chains.get(self.option_symbol)
        if chain:
            expiries = list(set(x.expiry for x in chain))
            self.log(str(expiries))
            self.day = self.time.day