Overall Statistics |
Total Orders 5 Average Win 0.33% Average Loss 0% Compounding Annual Return -0.211% Drawdown 2.100% Expectancy -0.5 Start Equity 100000 End Equity 99966 Net Profit -0.034% Sharpe Ratio -0.311 Sortino Ratio -0.566 Probabilistic Sharpe Ratio 31.061% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 0 Alpha -0.014 Beta -0.191 Annual Standard Deviation 0.028 Annual Variance 0.001 Information Ratio 0.133 Tracking Error 0.162 Treynor Ratio 0.045 Total Fees $3.00 Estimated Strategy Capacity $110000.00 Lowest Capacity Asset IBM R735QTJ8XC9X Portfolio Turnover 0.63% |
#region imports from AlgorithmImports import * #endregion class NakedCallAlgorithm(QCAlgorithm): def initialize(self): self.set_start_date(2014, 1, 1) self.set_end_date(2014, 3, 1) self.set_cash(100000) option = self.add_option("IBM") self.symbol = option.symbol option.set_filter(-3, 3, 0, 31) self.call = None # use the underlying equity as the benchmark self.set_benchmark(self.symbol.underlying) def on_data(self, slice): if self.call and self.portfolio[self.call].invested: return chain = slice.option_chains.get(self.symbol) if not chain: return # Find ATM call with the farthest expiry expiry = max([x.expiry for x in chain]) call_contracts = sorted([x for x in chain if x.right == OptionRight.CALL and x.expiry == expiry], key=lambda x: abs(chain.underlying.price - x.strike)) if not call_contracts: return atm_call = call_contracts[0] naked_call = OptionStrategies.naked_call(self.symbol, atm_call.strike, expiry) self.buy(naked_call, 1) self.call = atm_call.symbol