Overall Statistics
Total Trades
10
Average Win
0.35%
Average Loss
-0.61%
Compounding Annual Return
-0.402%
Drawdown
0.400%
Expectancy
-0.051
Net Profit
-0.134%
Sharpe Ratio
-0.666
Probabilistic Sharpe Ratio
12.029%
Loss Rate
40%
Win Rate
60%
Profit-Loss Ratio
0.58
Alpha
-0.004
Beta
0.022
Annual Standard Deviation
0.004
Annual Variance
0
Information Ratio
-0.375
Tracking Error
0.14
Treynor Ratio
-0.117
Total Fees
$6.00
Estimated Strategy Capacity
$450000.00
Lowest Capacity Asset
GOOCV WN5253VSCTIE|GOOCV VP83T1ZUHROL
 
#region imports
from AlgorithmImports import *
#endregion
from datetime import timedelta

class BullCallSpreadAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2017, 5, 1)
        self.SetEndDate(2017, 8, 30)
        self.SetCash(600000)
        equity = self.AddEquity("GOOG")
        option = self.AddOption("GOOG")
        self.symbol = option.Symbol
    
        # set our strike/expiry filter for this option chain
        option.SetFilter(-7, 7, 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 len(calls) < 1: return

        # sorted the contracts according to their strike prices 
        calls = sorted(calls, key=lambda x: x.Strike)    

        # Buy call option contract with lower strike
        self.Buy(calls[0].Symbol, 1)
        # Sell call option contract with higher strike
        self.Sell(calls[-1].Symbol, 1)
    
    def OnOrderEvent(self, orderEvent):
        self.Log(f'{orderEvent}')