Overall Statistics |
Total Trades 5 Average Win 0.33% Average Loss 0% Compounding Annual Return -0.211% Drawdown 2.100% Expectancy -0.5 Net Profit -0.034% Sharpe Ratio -0.04 Probabilistic Sharpe Ratio 31.061% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 0 Alpha -0.005 Beta -0.191 Annual Standard Deviation 0.028 Annual Variance 0.001 Information Ratio 0.133 Tracking Error 0.162 Treynor Ratio 0.006 Total Fees $3.00 Estimated Strategy Capacity $110000.00 Lowest Capacity Asset IBM R735QTJ8XC9X Portfolio Turnover 0.63% |
#region imports using System; using System.Linq; using QuantConnect.Util; using QuantConnect.Data; using QuantConnect.Securities; using QuantConnect.Securities.Option; #endregion namespace QuantConnect.Algorithm.CSharp { public class NakedCallAlgorithm : QCAlgorithm { private Symbol _call, _symbol; public override void Initialize() { SetStartDate(2014, 1, 1); SetEndDate(2014, 3, 1); SetCash(100000); var option = AddOption("IBM"); _symbol = option.Symbol; option.SetFilter(-3, 3, 0, 31); // use the underlying equity as the benchmark SetBenchmark(_symbol.Underlying); } public override void OnData(Slice slice) { if (_call != null && Portfolio[_call].Invested) return; if (!slice.OptionChains.TryGetValue(_symbol, out var chain)) return; // Find ATM call with the farthest expiry var expiry = chain.Max(x => x.Expiry); var atmCall = chain .Where(x=> x.Right == OptionRight.Call && x.Expiry == expiry) .OrderBy(x => Math.Abs(x.Strike - chain.Underlying.Price)) .FirstOrDefault(); if (atmCall == null) return; var nakedCall = OptionStrategies.NakedCall(_symbol, atmCall.Strike, expiry); Buy(nakedCall, 1); _call = atmCall.Symbol; } } }