| Overall Statistics |
|
Total Trades 271 Average Win 0.15% Average Loss -0.37% Compounding Annual Return 0.035% Drawdown 4.400% Expectancy 0.011 Net Profit 0.071% Sharpe Ratio 0.024 Probabilistic Sharpe Ratio 6.540% Loss Rate 27% Win Rate 73% Profit-Loss Ratio 0.39 Alpha -0.008 Beta 0.059 Annual Standard Deviation 0.024 Annual Variance 0.001 Information Ratio -0.547 Tracking Error 0.277 Treynor Ratio 0.01 Total Fees $167.00 |
from datetime import timedelta
class CoveredCallOptionsAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 7, 1)
self.SetEndDate(2020, 6, 30)
self.SetCash(1000000)
equity = self.AddEquity("GOOG", Resolution.Minute)
equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))
self.underlying = equity.Symbol
# use the underlying equity as the benchmark
self.SetBenchmark(self.underlying)
#self.SetWarmUp(50)
# Initialize the call contract
self.call = str()
def OnData(self,slice):
if not self.Portfolio[self.underlying].Invested:
self.MarketOrder(self.underlying, 100) # long the underlying stock
if self.call == str() or not self.Portfolio[self.call].Invested:
self.call = self.AddContract() # Add the call option contract (subscribe the contract data)
if self.Securities.ContainsKey(self.call) and not self.Portfolio[self.call].Invested:
self.Sell(self.call, 1) # short the call option
def AddContract(self):
filtered_contracts = self.InitialFilter(-3, 3, 0, 7)
if len(filtered_contracts) == 0: return str()
else:
call = [x for x in filtered_contracts if x.ID.OptionRight == OptionRight.Call]
# sorted the contracts according to their expiration dates and choose the ATM options
contracts = sorted(sorted(call, key = lambda x: abs(self.Securities[self.underlying].Price- x.ID.StrikePrice)),
key = lambda x: x.ID.Date, reverse=True)
if len(contracts) > 0:
self.AddOptionContract(contracts[0], Resolution.Minute)
return contracts[0]
else:
return str()
def InitialFilter(self, 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 '''
contracts = self.OptionChainProvider.GetOptionContractList(self.underlying, self.Time.date())
if len(contracts) == 0 : return []
# fitler the contracts based on the expiry range
contract_list = [i for i in contracts 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[self.underlying].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:
strikes = strike_list[(atm_strike_rank + min_strike_rank):(atm_strike_rank + max_strike_rank)]
except:
strikes = strike_list
filtered_contracts = [i for i in contract_list if i.ID.StrikePrice in strikes]
return filtered_contracts
def OnOrderEvent(self, orderEvent):
if orderEvent.Status == OrderStatus.Canceled:
self.call = self.AddContract() # Add the call option contract (subscribe the contract data)