Overall Statistics
Total Trades
4
Average Win
2.03%
Average Loss
0%
Compounding Annual Return
-12.545%
Drawdown
11.400%
Expectancy
0
Net Profit
-3.275%
Sharpe Ratio
-0.584
Probabilistic Sharpe Ratio
17.618%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.028
Beta
-1.194
Annual Standard Deviation
0.138
Annual Variance
0.019
Information Ratio
-0.954
Tracking Error
0.179
Treynor Ratio
0.067
Total Fees
$2.00
Estimated Strategy Capacity
$9000.00
Lowest Capacity Asset
GOOCV VP83T1ZUHROL
Portfolio Turnover
1.02%
 
# region imports
from AlgorithmImports import *
# endregion

class LongStraddleAlgorithm(QCAlgorithm):

    def Initialize(self) -> None:
        self.SetStartDate(2017, 4, 1)
        self.SetEndDate(2017, 6, 30)
        self.SetCash(100000)
        
        option = self.AddOption("GOOG")
        self.symbol = option.Symbol
        option.SetFilter(-1, 1, 30, 60)

    def OnData(self, slice: Slice) -> None:
        if self.Portfolio.Invested:
            return

        chain = slice.OptionChains.get(self.symbol, None)
        if not chain:
            return

        # Find ATM options with the nearest expiry
        expiry = min([x.Expiry for x in chain])
        contracts = sorted([x for x in chain if x.Expiry == expiry],
            key=lambda x: abs(chain.Underlying.Price - x.Strike))
        
        if len(contracts) < 2:
            return

        # The first two contracts are the ATM Call and the ATM Put
        contracts = contracts[0:2]

        short_straddle = OptionStrategies.ShortStraddle(self.symbol, contracts[0].Strike, expiry)
        self.Buy(short_straddle, 1)