Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
1000000
End Equity
1000000
Net Profit
0%
Sharpe Ratio
0
Sortino Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-4.126
Tracking Error
0.079
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
from AlgorithmImports import *

class CustomTradingStrategy(QCAlgorithm):
    def Initialize(self):
        # Set backtest details
        self.SetStartDate(2024,1,1)
        self.SetEndDate(2024,1,30)
        self.SetCash(1_000_000)
        self.SetTimeZone("US/Eastern")
        # Add required data to the algo
        self.ticker = 'SPX'
        weekly_symbol = 'SPXW'
        weekly_canon_symbol = '?SPXW'
        self.underlying_symbol = self.AddIndex(self.ticker,Resolution.Daily).Symbol
        self.canonical_symbol = Symbol.CreateCanonicalOption(self.underlying_symbol, weekly_symbol, Market.USA, weekly_canon_symbol)

    def OnData(self, data):
        options = self.OptionChainProvider.GetOptionContractList(self.canonical_symbol, self.Time)
        if len(options) == 0: self.Log(f'[FAILED] fetching options, len(options == {len(options)}). Should be != 0')
        else: self.Log(f'[WORKED] fetching options, len(options == {len(options)})')