Overall Statistics
Total Trades
59
Average Win
221.16%
Average Loss
-6.58%
Compounding Annual Return
11.721%
Drawdown
36.200%
Expectancy
1.472
Net Profit
396.294%
Sharpe Ratio
0.765
Probabilistic Sharpe Ratio
13.758%
Loss Rate
93%
Win Rate
7%
Profit-Loss Ratio
33.60
Alpha
0.081
Beta
0.432
Annual Standard Deviation
0.176
Annual Variance
0.031
Information Ratio
0.06
Tracking Error
0.191
Treynor Ratio
0.312
Total Fees
$133.50
Estimated Strategy Capacity
$38000000.00
Lowest Capacity Asset
QQQ RIWIV7K5Z9LX
 
class UncoupledTransdimensionalPrism(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2007, 1, 1)  # Set Start Date
        self.SetCash(10000)  # Set Strategy Cash
        spy = self.AddEquity("SPY", Resolution.Minute)
        QQQ = self.AddEquity("QQQ", Resolution.Minute)
        spy.SetDataNormalizationMode(DataNormalizationMode.Raw)
        QQQ.SetDataNormalizationMode(DataNormalizationMode.Raw)
        self.spy = spy.Symbol
        self.QQQ = QQQ.Symbol
        self.contract = None
        

    def OnData(self, data): 
        
        if not self.Portfolio[self.spy].Invested:
            self.SetHoldings(self.spy, .6)
        
        if not self.Portfolio[self.QQQ].Invested:
            self.SetHoldings(self.QQQ, .36)
            
        # DO HEDGE
        if self.contract is None:
            self.contract = self.GetContract()
            return
        
        if (self.contract.ID.Date - self.Time).days < 180:
            self.Liquidate(self.contract)
            self.RemoveSecurity(self.contract)
            self.contract = None
            return
        
        if not self.Portfolio[self.contract].Invested:
            self.SetHoldings(self.contract, 0.04)
        
        #Exercixe our optionns when they increase in value to 20% OTM
        if  self.Securities[self.spy].Price < self.contract.ID.StrikePrice * 1.2:
            self.Liquidate(self.contract)
            self.RemoveSecurity(self.contract)
            
    
    def GetContract(self):
        # Set our target strike as 40% OTM put 
        targetStrike = (self.Securities[self.spy].Price * 0.6) - (self.Securities[self.spy].Price * 0.6)%5
        contracts = self.OptionChainProvider.GetOptionContractList(self.spy, self.Time)
        puts = [x for x in contracts if x.ID.OptionRight == OptionRight.Put]
        puts = sorted( sorted(puts, key = lambda x: x.ID.Date, reverse = True),
                       key = lambda x: x.ID.StrikePrice)
        puts = [x for x in puts if x.ID.StrikePrice == targetStrike]
        puts = [x for x in puts if 270 < (x.ID.Date - self.Time).days <= 420]
        if len(puts) == 0:
            self.Log("No Puts")
            return None
        self.AddOptionContract(puts[0], Resolution.Minute)
        return puts[0]