Overall Statistics
Total Orders
10
Average Win
0.61%
Average Loss
-1.08%
Compounding Annual Return
162.131%
Drawdown
1.300%
Expectancy
0.249
Start Equity
50000
End Equity
50670
Net Profit
1.340%
Sharpe Ratio
3.869
Sortino Ratio
0
Probabilistic Sharpe Ratio
60.740%
Loss Rate
20%
Win Rate
80%
Profit-Loss Ratio
0.56
Alpha
0.257
Beta
1.109
Annual Standard Deviation
0.122
Annual Variance
0.015
Information Ratio
2.496
Tracking Error
0.111
Treynor Ratio
0.424
Total Fees
$10.00
Estimated Strategy Capacity
$2500000.00
Lowest Capacity Asset
SPXW 32E3B8UZGP5DA|SPX 31
Portfolio Turnover
0.82%
 
from AlgorithmImports import *

class SPXWeeklyOptionsDemoAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2024, 1, 8)
        self.set_end_date(2024, 1, 12)
        self.set_cash(50000)

        # Add SPX and weekly SPX options
        self.spx = self.add_index("SPX")
        spxw = self.add_index_option(self.spx.symbol, "SPXW")
        self.spxw_option = spxw.symbol
        spxw.set_filter(lambda u: (u.strikes(-50, 50).expiration(0, 3).puts_only().include_weeklys()))
        self.current_option_symbol = None

    def on_data(self,slice):
        if self.time.hour == 12 and self.time.minute == 55:
            # Select an option by strike offset
            chain = slice.option_chains.get_value(self.spxw_option)
            short_contracts = [contract for contract in chain if contract.expiry.date() == self.Time.date() and contract.right == 1 and contract.bid_price != 0 and contract.strike <= chain.underlying.close - 5]
            contract_short = sorted(short_contracts, key = lambda x: x.strike, reverse=True)[0] # Select the highest strike

            # Order short
            symbol = contract_short.symbol
            self.Securities[symbol].set_fee_model(InteractiveBrokersFeeModel())
            self.Securities[symbol].set_buying_power_model(BuyingPowerModel.NULL)
            self.market_order(symbol, -1)
            self.current_option_symbol = symbol

        # Check if the stop is reached or the option is expired at 16:00
        if self.portfolio.invested == True:
            symbol = self.current_option_symbol
            if (self.time.hour == 16 and self.time.minute == 0):
                self.liquidate(symbol)
            elif self.Securities[symbol].high >= 8:
                self.liquidate(symbol)