Overall Statistics |
Total Trades 4 Average Win 0% Average Loss -0.24% Compounding Annual Return 1.614% Drawdown 0.800% Expectancy -1 Net Profit 0.399% Sharpe Ratio 0.975 Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.012 Beta 0.084 Annual Standard Deviation 0.015 Annual Variance 0 Information Ratio -1.858 Tracking Error 0.163 Treynor Ratio 0.18 Total Fees $0.50 |
from datetime import timedelta class BullCallSpreadAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 4, 1) self.SetEndDate(2017, 6, 30) self.SetCash(1000000) equity = self.AddEquity("GOOG", Resolution.Minute) option = self.AddOption("GOOG", Resolution.Minute) self.symbol = option.Symbol # set our strike/expiry filter for this option chain option.SetFilter(-6, 6, timedelta(30), timedelta(60)) # use the underlying equity GOOG as the benchmark self.SetBenchmark(equity.Symbol) def OnData(self,slice): for i in slice.OptionChains: chains = i.Value if not self.Portfolio.Invested: self.TradeOptions(chains) def TradeOptions(self,chains): # sorted the optionchain by expiration date and choose the furthest date expiry = sorted(chains,key = lambda x: x.Expiry, reverse=True)[0].Expiry # filter the call and put contract call = [i for i in chains if i.Expiry == expiry and i.Right == OptionRight.Call] put = [i for i in chains if i.Expiry == expiry and i.Right == OptionRight.Put] # sorted the contracts according to their strike prices call_contracts = sorted(call,key = lambda x: x.Strike) if len(call_contracts) == 0: return self.call = call_contracts[0] for i in put: if i.Strike == self.call.Strike: self.put = i self.Buy(self.call.Symbol, 1) self.Buy(self.put.Symbol ,1) def OnOrderEvent(self, orderEvent): self.Log(str(orderEvent))