Overall Statistics
Total Trades
94
Average Win
1.62%
Average Loss
0%
Compounding Annual Return
-33.403%
Drawdown
25.700%
Expectancy
0
Net Profit
-18.223%
Sharpe Ratio
-1.102
Probabilistic Sharpe Ratio
2.348%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
-0.17
Beta
0.235
Annual Standard Deviation
0.208
Annual Variance
0.043
Information Ratio
0.089
Tracking Error
0.258
Treynor Ratio
-0.973
Total Fees
$0.00
Estimated Strategy Capacity
$170000.00
Lowest Capacity Asset
SPXW 31Y4A5PK3G3YM|SPX 31
Portfolio Turnover
0.63%
 
# region imports
from AlgorithmImports import *
# endregion

class SmoothBlackKangaroo(QCAlgorithm):

    def Initialize(self) -> None:
        self.SetStartDate(2022, 1, 1)
        self.SetEndDate(2022, 3, 30)
        self.SetCash(1000000)

        self.underlying = self.AddIndex("SPX", Resolution.Minute, fillForward=False)
        options = self.AddIndexOption(self.underlying.Symbol, "SPXW", Resolution.Minute)
        options.SetFilter(lambda u: u.IncludeWeeklys().Strikes(-1, 1).Expiration(6, 8))
        self.symbol = options.Symbol
        self.leverage = 2
        self.Securities[self.symbol].SetBuyingPowerModel(NullBuyingPowerModel())  # Ignore buying power restrictions

    def OnData(self, slice: Slice) -> None:
        # Only on Fridays at 3:30pm
        if slice.Time.weekday() == 4 and slice.Time.hour == 15 and slice.Time.minute == 30:
            #if self.underlying.Symbol in slice.Bars:
                #trade_bar = slice.Bars[self.underlying.Symbol]
                #value = trade_bar.Value

            # Get the OptionChain
            chain = slice.OptionChains.get(self.symbol.Canonical)
            if not chain:
                return

            # Select an expiration date
            expiry = sorted(chain, key=lambda contract: contract.Expiry, reverse=True)[0].Expiry

            # Select the ATM strike price
            sorted_options = sorted(chain, key=lambda contract: abs(contract.Greeks.Delta - 0.5))
            strike = sorted_options[0].Strike
            
            quantity = int(self.Portfolio.TotalPortfolioValue*self.leverage/strike/100)
            option_strategy = OptionStrategies.Straddle(self.symbol, strike, expiry)
            self.Sell(option_strategy, quantity)