Overall Statistics
Total Trades
9
Average Win
1.97%
Average Loss
-1.50%
Compounding Annual Return
-6.585%
Drawdown
1.100%
Expectancy
-0.074
Net Profit
-1.107%
Sharpe Ratio
-3.299
Probabilistic Sharpe Ratio
0.217%
Loss Rate
60%
Win Rate
40%
Profit-Loss Ratio
1.32
Alpha
-0.003
Beta
-0.042
Annual Standard Deviation
0.014
Annual Variance
0
Information Ratio
-8.103
Tracking Error
0.131
Treynor Ratio
1.097
Total Fees
$6.00
Estimated Strategy Capacity
$25000.00
Lowest Capacity Asset
GOOCV WKNGGL4W0OYU|GOOCV VP83T1ZUHROL
 
#region imports
from AlgorithmImports import *
#endregion
from datetime import timedelta

class ButterflySpreadAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2017, 4, 1)
        self.SetEndDate(2017, 5, 30)
        self.SetCash(150000)
        equity = self.AddEquity("GOOG")
        option = self.AddOption("GOOG")
        self.symbol = option.Symbol
        # set our strike/expiry filter for this option chain
        option.SetFilter(-9, 9, 30, 60)
        # use the underlying equity GOOG as the benchmark
        self.SetBenchmark(equity.Symbol)
        
    def OnData(self,slice):
        # if there is no securities in portfolio, trade the options 
        if self.Portfolio.Invested: 
            return
        
        chain = slice.OptionChains.get(self.symbol)
        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 expires on that date
        calls = [i for i in chain if i.Expiry == expiry and i.Right ==  OptionRight.Call]
        if not calls:
            return

        # sorted the contracts according to their strike prices 
        calls = sorted(calls, key=lambda x: x.Strike)    
        # choose OTM call 
        otm_call = calls[-1].Symbol
        # choose ITM call 
        itm_call = calls[0].Symbol
        # choose ATM call
        atm_call = sorted(calls, key=lambda x: abs(chain.Underlying.Price - x.Strike))[0].Symbol
        
        self.Sell(atm_call, 2)
        self.Buy(itm_call, 1)
        self.Buy(otm_call, 1)
            
    def OnOrderEvent(self, orderEvent):
        self.Log(f'{orderEvent}')