Overall Statistics |
Total Trades 12 Average Win 0.39% Average Loss -0.49% Compounding Annual Return -0.356% Drawdown 0.300% Expectancy 0.084 Net Profit -0.028% Sharpe Ratio 0.598 Probabilistic Sharpe Ratio 44.735% Loss Rate 40% Win Rate 60% Profit-Loss Ratio 0.81 Alpha 0.031 Beta -0.043 Annual Standard Deviation 0.009 Annual Variance 0 Information Ratio -10.227 Tracking Error 0.058 Treynor Ratio -0.117 Total Fees $8.00 Estimated Strategy Capacity $26000.00 Lowest Capacity Asset GOOCV WI5UT0KFGMO6|GOOCV VP83T1ZUHROL |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QuantConnect.Data.Custom.AlphaStreams; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect.Algorithm.CSharp { public class BearPutSpreadStrategy : QCAlgorithm { private Symbol _symbol; public override void Initialize() { SetStartDate(2017, 2, 1); SetEndDate(2017, 3, 1); SetCash(100000); var option = AddOption("GOOG", Resolution.Minute); _symbol = option.Symbol; option.SetFilter(universe => universe.Strikes(-10, 10) .Expiration(TimeSpan.FromDays(0), TimeSpan.FromDays(30))); } public override void OnData(Slice slice) { if (Portfolio.Invested) return; // Get the OptionChain of the symbol var chain = slice.OptionChains.get(_symbol, null); if (chain == null || chain.Count() == 0) return; // filter the call options from the contracts which is ATM in the option chain. var calls = chain.Where(x => x.Right == OptionRight.Call); var puts = chain.Where(x => x.Right == OptionRight.Put); if (calls.Count() == 0 || puts.Count() == 0) return; // sort the contracts by strike prices var callContracts = calls.OrderByDescending(x => x.Strike); var putContracts = puts.OrderBy(x => x.Strike); // Get the nearer OTM contracts by strike prices var farCallContract = callContracts.First(); var farPutContract = putContracts.First(); var nearCallContract = callContracts.Skip(2).First(); var nearPutContract = putContracts.Skip(2).First(); // Buy 1 near-OTM Call Buy(nearCallContract.Symbol, 1); // Buy 1 near-OTM Put Buy(nearPutContract.Symbol, 1); // Sell 1 far-OTM Call Sell(farCallContract.Symbol, 1); // Sell 1 far-OTM Put Sell(farPutContract.Symbol, 1); } } }