Overall Statistics
Total Trades
4
Average Win
0.06%
Average Loss
-0.82%
Compounding Annual Return
4.934%
Drawdown
0.200%
Expectancy
-0.463
Net Profit
0.445%
Sharpe Ratio
5.847
Probabilistic Sharpe Ratio
98.261%
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
0.07
Alpha
0.005
Beta
0.099
Annual Standard Deviation
0.008
Annual Variance
0
Information Ratio
-6.776
Tracking Error
0.052
Treynor Ratio
0.446
Total Fees
$2.00
Estimated Strategy Capacity
$11000000.00
Lowest Capacity Asset
GOOCV WIJN29E3NU86|GOOCV VP83T1ZUHROL
 
from AlgorithmImports import *

class BullCallSpreadStrategy(QCAlgorithm): 
    def Initialize(self):
        self.SetStartDate(2017, 2, 1)
        self.SetEndDate(2017, 3, 6)
        self.SetCash(500000)

        option = self.AddOption("GOOG", Resolution.Minute)
        self.symbol = option.Symbol
        option.SetFilter(self.UniverseFunc)

    def UniverseFunc(self, universe):
        return universe.IncludeWeeklys().Strikes(-15, 15).Expiration(timedelta(0), timedelta(31))

    def OnData(self, data):
        # avoid extra orders
        if self.Portfolio.Invested: return

        # Get the OptionChain of the self.symbol
        chain = data.OptionChains.get(self.symbol, None)
        if not chain: return

        # sorted the optionchain by expiration date and choose the furthest date
        expiry = sorted(chain, key = lambda x: x.Expiry, reverse=True)[0].Expiry
        
        # filter the call options from the contracts which expire on the furthest expiration date in the option chain.
        calls = [i for i in chain if i.Expiry == expiry and i.Right == OptionRight.Call]
        if len(calls) == 0: return

        # sort the call options with the same expiration date according to their strike price.
        call_strikes = sorted([x.Strike for x in calls])

        # select the strike prices for forming the option legs
        # the ITM call option with the lowest strike price (long) and the OTM call with the highest strike price (short).
        itm_strike = call_strikes[0]
        otm_strike = call_strikes[-1]

        option_strategy = OptionStrategies.BullCallSpread(self.symbol, itm_strike, otm_strike, expiry)
        # We open a position with 1 unit of the option strategy
        self.Buy(option_strategy, 1)