Overall Statistics |
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 5.547% Drawdown 0.200% Expectancy 0 Net Profit 0.455% Sharpe Ratio 6.294 Probabilistic Sharpe Ratio 98.456% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.002 Beta 0.099 Annual Standard Deviation 0.008 Annual Variance 0 Information Ratio -8.122 Tracking Error 0.053 Treynor Ratio 0.5 Total Fees $2.00 Estimated Strategy Capacity $12000000.00 Lowest Capacity Asset GOOCV WIJN1DYW4LLY|GOOCV VP83T1ZUHROL |
from AlgorithmImports import * class BullCallSpreadStrategy(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 2, 1) self.SetEndDate(2017, 3, 5) 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, slice: Slice) -> None: if self.Portfolio.Invested: return # Get the OptionChain chain = slice.OptionChains.get(self.symbol, None) if not chain: return # Get the furthest expiration date of the contracts expiry = sorted(chain, key = lambda x: x.Expiry, reverse=True)[0].Expiry # Select the call Option contracts with the furthest expiry calls = [i for i in chain if i.Expiry == expiry and i.Right == OptionRight.Call] if len(calls) == 0: return # Select the ITM and OTM contract strike prices from the remaining contracts call_strikes = sorted([x.Strike for x in calls]) itm_strike = call_strikes[0] otm_strike = call_strikes[-1] option_strategy = OptionStrategies.BullCallSpread(self.symbol, itm_strike, otm_strike, expiry) self.Buy(option_strategy, 1)