Overall Statistics |

Total Trades 6 Average Win 0% Average Loss -0.37% Compounding Annual Return -0.790% Drawdown 3.900% Expectancy -1 Net Profit -0.128% Sharpe Ratio -0.087 Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.005 Beta 0.39 Annual Standard Deviation 0.058 Annual Variance 0.003 Information Ratio -0.062 Tracking Error 0.089 Treynor Ratio -0.013 Total Fees $1.75 |

# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. # Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. from datetime import timedelta class CoveredCallAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2014, 1, 1) self.SetEndDate(2014, 3, 1) self.SetCash(100000) equity = self.AddEquity("IBM", Resolution.Minute) option = self.AddOption("IBM", Resolution.Minute) self.symbol = option.Symbol # set strike/expiry filter for this option chain option.SetFilter(-3, +3, timedelta(0), timedelta(30)) # use the underlying equity as the benchmark self.SetBenchmark(equity.Symbol) def OnData(self,slice): if not self.Portfolio["IBM"].Invested: self.MarketOrder("IBM",100) # buy 100 shares of underlying stocks option_invested = [x.Key for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Option] if len(option_invested) < 1: self.TradeOptions(slice) def TradeOptions(self,slice): for i in slice.OptionChains: if i.Key != self.symbol: continue chain = i.Value # filter the call options contracts call = [x for x in chain if x.Right == OptionRight.Call] # sorted the contracts according to their expiration dates and choose the ATM options contracts = sorted(sorted(call, key = lambda x: abs(chain.Underlying.Price - x.Strike)), key = lambda x: x.Expiry, reverse=True) if len(contracts) == 0: return self.call = contracts[0].Symbol # short the call options self.MarketOrder(self.call, 1) def OnOrderEvent(self, orderEvent): self.Log(str(orderEvent))