Overall Statistics |
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees $1.00 Estimated Strategy Capacity $0 Lowest Capacity Asset SPY Y4D62XTOKHUU|SPY R735QTJ8XC9X |
from AlgorithmImports import * class HipsterYellowGreenHippopotamus(QCAlgorithm): def Initialize(self): self.SetStartDate(2021, 7, 1) self.SetEndDate(2021, 7, 31) self.SetCash(100000) self.SetSecurityInitializer(self.customSecurityInitializer) spy = self.AddEquity("SPY", Resolution.Minute) self.spy = spy.Symbol def customSecurityInitializer(self, security): security.SetDataNormalizationMode(DataNormalizationMode.Raw) for bar in self.GetLastKnownPrices(security.Symbol): security.SetMarketPrice(bar) def OnData(self, data): if not self.Portfolio.Invested: contracts = self.OptionChainProvider.GetOptionContractList(self.spy, self.Time) contracts = sorted([x for x in contracts if x.ID.OptionRight == OptionRight.Call], key=lambda x: x.ID.StrikePrice) if not contracts: return self.strike = contracts[0].ID.StrikePrice contracts = sorted([x for x in contracts if x.ID.StrikePrice == self.strike], key=lambda x: x.ID.Date) self.contract = contracts[0] self.AddOptionContract(self.contract, Resolution.Minute) self.Buy(self.contract, 1) if self.Portfolio[self.contract].Invested and self.strike < self.Securities[self.spy].Price: self.ExerciseOption(self.contract, 1) self.Quit()