Overall Statistics
Total Trades
4
Average Win
0.71%
Average Loss
-0.11%
Compounding Annual Return
5.002%
Drawdown
0.200%
Expectancy
2.618
Net Profit
0.451%
Sharpe Ratio
5.624
Probabilistic Sharpe Ratio
97.411%
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
6.24
Alpha
0.005
Beta
0.099
Annual Standard Deviation
0.008
Annual Variance
0
Information Ratio
-6.764
Tracking Error
0.052
Treynor Ratio
0.45
Total Fees
$2.00
Estimated Strategy Capacity
$140000000.00
Lowest Capacity Asset
GOOCV 30HNN6TY3EEZQ|GOOCV VP83T1ZUHROL
 
from AlgorithmImports import *

class BullPutSpreadStrategy(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 put options from the contracts which expire on the furthest expiration date in the option chain.
        puts = [i for i in chain if i.Expiry == expiry and i.Right == OptionRight.Put]
        if len(puts) == 0: return

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

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

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