Overall Statistics |
Total Orders 4 Average Win 0.77% Average Loss 0% Compounding Annual Return -52.972% Drawdown 7.500% Expectancy -0.5 Start Equity 100000 End Equity 94442 Net Profit -5.558% Sharpe Ratio -3.576 Sortino Ratio -2.468 Probabilistic Sharpe Ratio 0.053% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 0 Alpha -0.391 Beta -0.397 Annual Standard Deviation 0.119 Annual Variance 0.014 Information Ratio -3.491 Tracking Error 0.146 Treynor Ratio 1.071 Total Fees $2.00 Estimated Strategy Capacity $250000.00 Lowest Capacity Asset GOOCV WJVVXYW5VKH2|GOOCV VP83T1ZUHROL Portfolio Turnover 3.02% |
# region imports from AlgorithmImports import * # endregion class ShortStrangleAlgorithm(QCAlgorithm): def initialize(self) -> None: self.set_start_date(2017, 4, 1) self.set_end_date(2017, 4, 30) self.set_cash(100000) option = self.add_option("GOOG") self.symbol = option.symbol option.set_filter(-5, 5, 0, 30) def on_data(self, slice: Slice) -> None: if self.portfolio.invested: return # Get the OptionChain chain = slice.option_chains.get(self.symbol) if not chain: return # Find options with the nearest expiry expiry = max([x.expiry for x in chain]) contracts = [contract for contract in chain if contract.expiry == expiry] # Order the OTM calls by strike to find the nearest to ATM call_contracts = sorted([contract for contract in contracts if contract.right == OptionRight.CALL and contract.strike > chain.underlying.price], key=lambda x: x.strike) if not call_contracts: return # Order the OTM puts by strike to find the nearest to ATM put_contracts = sorted([contract for contract in contracts if contract.right == OptionRight.PUT and contract.strike < chain.underlying.price], key=lambda x: x.strike, reverse=True) if not put_contracts: return call_strike = call_contracts[0].strike put_strike = put_contracts[0].strike short_strangle = OptionStrategies.short_strangle(self.symbol, call_strike, put_strike, expiry) self.buy(short_strangle, 1)