Overall Statistics |
Total Trades 8 Average Win 0% Average Loss -0.26% Compounding Annual Return -0.586% Drawdown 2.200% Expectancy -1 Net Profit -0.094% Sharpe Ratio -0.129 Probabilistic Sharpe Ratio 29.500% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.001 Beta 0.199 Annual Standard Deviation 0.029 Annual Variance 0.001 Information Ratio 0.174 Tracking Error 0.109 Treynor Ratio -0.019 Total Fees $6.00 Estimated Strategy Capacity $2400000.00 Lowest Capacity Asset IBM 2ZNFM7EZGPFGM|IBM R735QTJ8XC9X Portfolio Turnover 0.95% |
#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 ProtectivePutAlgorithm : QCAlgorithm { private Symbol _put, _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 (_put != null && Portfolio[_put].Invested) return; if (!slice.OptionChains.TryGetValue(_symbol, out var chain)) return; // Find ATM put with the farthest expiry var expiry = chain.Max(x => x.Expiry); var atmPut = chain .Where(x=> x.Right == OptionRight.Put && x.Expiry == expiry) .OrderBy(x => Math.Abs(x.Strike - chain.Underlying.Price)) .FirstOrDefault(); if (atmPut == null) return; var protectivePut = OptionStrategies.ProtectivePut(_symbol, atmPut.Strike, expiry); Buy(protectivePut, 1); _put = atmPut.Symbol; } } }