| Overall Statistics |
|
Total Trades 8 Average Win 0.02% Average Loss -0.01% Compounding Annual Return 0.291% Drawdown 0.000% Expectancy 0.586 Net Profit 0.032% Sharpe Ratio 6.063 Loss Rate 33% Win Rate 67% Profit-Loss Ratio 1.38 Alpha 0 Beta 0.003 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -6.303 Tracking Error 0.142 Treynor Ratio 0.995 Total Fees $3.00 |
class ProtectiveCollarAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2017, 4, 1)
self.SetEndDate(2017, 5, 10)
self.SetCash(10000000)
equity = self.AddEquity("GOOG", Resolution.Minute)
self.underlyingsymbol = equity.Symbol
self.SetBenchmark(equity.Symbol)
def OnData(self,slice):
if not self.Portfolio[self.underlyingsymbol].Invested:
self.Buy("GOOG",100) # buy 100 shares of the underlying stock
options_invested = [x.Key for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Option]
if len(options_invested) == 0:
contracts = self.OptionChainProvider.GetOptionContractList(self.underlyingsymbol, self.Time.date())
if len(contracts) == 0 : return
filtered_contracts = self.InitialFilter(self.underlyingsymbol, contracts, -10, 10, 0, 30)
# choose the furthest expiration date within 30 days from now on
expiry = sorted(filtered_contracts, key = lambda x: x.ID.Date)[-1].ID.Date
# filter the call options contracts
call = [x for x in filtered_contracts if x.ID.OptionRight == 0 and x.ID.Date == expiry]
# filter the put options contracts
put = [x for x in filtered_contracts if x.ID.OptionRight == 1 and x.ID.Date == expiry]
# sorted the call options by strike price and choose the deep OTM one in the list
self.otm_call = sorted(call, key = lambda x: x.ID.StrikePrice)[-1]
self.otm_put = sorted(put, key = lambda x: x.ID.StrikePrice)[0]
if (self.otm_call is None) or (self.otm_put is None): return
self.AddOptionContract(self.otm_call, Resolution.Minute)
self.AddOptionContract(self.otm_put, Resolution.Minute)
self.Sell(self.otm_call, 1) # sell the OTM call
self.Buy(self.otm_put, 1) # buy the OTM put
def InitialFilter(self, underlyingsymbol, symbol_list, min_strike_rank, max_strike_rank, min_expiry, max_expiry):
''' This method is an initial filter of option contracts
based on the range of strike price and the expiration date '''
if len(symbol_list) == 0 : return
# fitler the contracts based on the expiry range
contract_list = [i for i in symbol_list if min_expiry < (i.ID.Date.date() - self.Time.date()).days < max_expiry]
# find the strike price of ATM option
atm_strike = sorted(contract_list,
key = lambda x: abs(x.ID.StrikePrice - self.Securities[underlyingsymbol].Price))[0].ID.StrikePrice
strike_list = sorted(set([i.ID.StrikePrice for i in contract_list]))
# find the index of ATM strike in the sorted strike list
atm_strike_rank = strike_list.index(atm_strike)
try:
min_strike = strike_list[atm_strike_rank + min_strike_rank]
max_strike = strike_list[atm_strike_rank + max_strike_rank]
except:
min_strike = strike_list[0]
max_strike = strike_list[-1]
filtered_contracts = [i for i in contract_list if i.ID.StrikePrice >= min_strike and i.ID.StrikePrice <= max_strike]
return filtered_contracts
def OnOrderEvent(self, orderEvent):
self.Log(str(orderEvent))