Overall Statistics |
Total Trades 8 Average Win 0.77% Average Loss -0.23% Compounding Annual Return -56.028% Drawdown 9.600% Expectancy 1.194 Net Profit -8.542% Sharpe Ratio -4.068 Probabilistic Sharpe Ratio 0.000% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 3.39 Alpha -0.396 Beta -0.328 Annual Standard Deviation 0.107 Annual Variance 0.011 Information Ratio -4.364 Tracking Error 0.127 Treynor Ratio 1.327 Total Fees $4.00 Estimated Strategy Capacity $140000.00 Lowest Capacity Asset GOOCV 30IZW4DA2M6KM|GOOCV VP83T1ZUHROL |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QuantConnect.Data.Custom.AlphaStreams; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect.Algorithm.CSharp { public class BearPutSpreadStrategy : QCAlgorithm { private Symbol _symbol; public override void Initialize() { SetStartDate(2017, 4, 1); SetEndDate(2017, 5, 10); SetCash(100000); var option = AddOption("GOOG", Resolution.Minute); _symbol = option.Symbol; option.SetFilter(universe => universe.Strikes(-10, 10) .Expiration(TimeSpan.FromDays(0), TimeSpan.FromDays(30))); } public override void OnData(Slice slice) { if (Portfolio.Invested) return; // Get the OptionChain of the symbol var chain = slice.OptionChains.get(_symbol, null); if (chain == null || chain.Count() == 0) return; // filter the call options from the contracts which is ATM in the option chain. var calls = chain.Where(x => x.Right == OptionRight.Call); var puts = chain.Where(x => x.Right == OptionRight.Put); if (calls.Count() == 0 || puts.Count() == 0) return; // get at-the-money strike var atmStrike = chain.OrderBy(x => Math.Abs(x.Strike - chain.Underlying.Price)).First().Strike; // Get the furthest OTM contracts by strike prices var otmCallContract = calls.OrderBy(x => x.Strike).Last(); var otmPutContract = puts.OrderBy(x => x.Strike).First(); // Get ATM contracts var atmCallContract = calls.Where(x => x.Strike == atmStrike).First(); var atmPutsContract = puts.Where(x => x.Strike == atmStrike).First(); // Sell 1 ATM Put Sell(atmPutsContract.Symbol, 1); // Sell 1 ATM Call Sell(atmCallContract.Symbol, 1); // Buy 1 OTM Call Buy(otmCallContract.Symbol, 1); // Buy 1 OTM Put Buy(otmPutContract.Symbol, 1); } } }