Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
-0.88%
Compounding Annual Return
-10.174%
Drawdown
1.600%
Expectancy
-1
Start Equity
100000
End Equity
99156
Net Profit
-0.844%
Sharpe Ratio
-3.5
Sortino Ratio
-4.639
Probabilistic Sharpe Ratio
14.663%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.054
Beta
0.202
Annual Standard Deviation
0.036
Annual Variance
0.001
Information Ratio
1.775
Tracking Error
0.134
Treynor Ratio
-0.631
Total Fees
$2.00
Estimated Strategy Capacity
$280000.00
Lowest Capacity Asset
SPY Y4D62Z9A4X9I|SPY R735QTJ8XC9X
Portfolio Turnover
0.06%
 
# region imports
from AlgorithmImports import *
# endregion

class CryingRedOrangeKitten(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2022, 11, 22)
        self.set_end_date(2022, 12, 20)
        underlying = self.add_equity("SPY", extended_market_hours=True)
        self.option = self.add_option(underlying.symbol)
        self.option.set_filter(lambda u: u.calls_only().strikes(0,1).expiration(0,31))

    def on_data(self, data: Slice):
        if not self.portfolio.invested:
            chain = data.option_chains.get(self.option.symbol)
            if chain:
                self.market_order(list(chain)[0].symbol, 1)