Overall Statistics |
Total Trades 620 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 101.200% Expectancy 0 Net Profit -231.445% Sharpe Ratio 1833031460681.25 Probabilistic Sharpe Ratio 93.860% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 13454119745371.2 Beta 17.16 Annual Standard Deviation 7.34 Annual Variance 53.873 Information Ratio 1848494711034.43 Tracking Error 7.278 Treynor Ratio 784059788194.439 Total Fees $620.00 Estimated Strategy Capacity $110000.00 |
from datetime import timedelta class OptionsAlgorithm(QCAlgorithm): # Order ticket for our stop order, Datetime when stop order was last hit stopMarketTicket = None stopMarketOrderFillTime = datetime.min #TSLAFilledPrice = 1000 #openingBar = None def Initialize(self): self.SetStartDate(2020, 1, 1) self.SetEndDate(2021, 3, 5) self.SetCash(100000) equity = self.AddEquity('TSLA', Resolution.Minute) option = self.AddOption('TSLA', Resolution.Minute) equity.SetDataNormalizationMode(DataNormalizationMode.Raw) self.underlyingsymbol = equity.Symbol # In initialize create a consolidator and add its bars to the window self.window = RollingWindow[TradeBar](3) equitybar=self.Consolidate('TSLA', timedelta(minutes=5), lambda x: self.window.Add(x)) def OnData(self, data): # Portfolio Invested means at least hold one stock, cannot use #if self.Portfolio.Invested: # return if self.window.IsReady and self.window[2].Close > self.window[2].Open \ and self.window[1].Close < self.window[1].Open \ and self.window[0].Close > self.window[0].Open \ and self.window[0].Close > self.window[1].Open: self.Debug("Call Indicator") self.BuyCall() #elif self.window.IsReady and self.window[2].Close < self.window[2].Open \ # and self.window[1].Close > self.window[1].Open \ # and self.window[0].Close < self.window[0].Open \ # and self.window[0].Close < self.window[1].Open: #self.Debug("Put Indicator") #self.MarketOrder("TSLA",-100) def OnOrderEvent(self, orderEvent): #1. Write code to only act on fills if orderEvent.Status == OrderStatus.Filled: self.Log(str(orderEvent.Symbol)) def BuyCall(self): contracts = self.OptionChainProvider.GetOptionContractList(self.underlyingsymbol, self.Time.date()) if len(contracts) == 0: return filtered_contracts = self.OptionsFilter(self.underlyingsymbol, contracts, -3, 3, 60, 90) call = [x for x in filtered_contracts if x.ID.OptionRight == 0] # sorted the contracts according to their expiration dates and choose the ATM options contracts = sorted(sorted(call, key = lambda x: abs(self.Securities['TSLA'].Price - x.ID.StrikePrice)), key = lambda x: x.ID.Date, reverse=True) self.contract = contracts[0] self.Debug("strike price is" + str(contracts[0].ID.StrikePrice)) self.AddOptionContract(self.contract, Resolution.Minute) self.Buy(self.contract, 1) def OptionsFilter(self, underlyingsymbol, symbol_list, min_strike_rank, max_strike_rank, min_expiry, max_expiry): ''' This method is an initial filter of option contracts according to the range of strike price and the expiration date ''' if len(symbol_list) == 0 : return # fitler the contracts based on the expiry range contract_list = [i for i in symbol_list if min_expiry < (i.ID.Date.date() - self.Time.date()).days < max_expiry] # find the strike price of ATM option atm_strike = sorted(contract_list, key = lambda x: abs(x.ID.StrikePrice - self.Securities[underlyingsymbol].Price))[0].ID.StrikePrice strike_list = sorted(set([i.ID.StrikePrice for i in contract_list])) # find the index of ATM strike in the sorted strike list atm_strike_rank = strike_list.index(atm_strike) try: min_strike = strike_list[atm_strike_rank + min_strike_rank] max_strike = strike_list[atm_strike_rank + max_strike_rank] except: min_strike = strike_list[0] max_strike = strike_list[-1] filtered_contracts = [i for i in contract_list if i.ID.StrikePrice >= min_strike and i.ID.StrikePrice <= max_strike] return filtered_contracts