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 from AlgorithmImports import * #endregion class ProtectivePutAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2014, 1, 1) self.SetEndDate(2014, 3, 1) self.SetCash(100000) option = self.AddOption("IBM") self.symbol = option.Symbol option.SetFilter(-3, 3, 0, 31) self.put = None # use the underlying equity as the benchmark self.SetBenchmark(self.symbol.Underlying) def OnData(self, slice): if self.put and self.Portfolio[self.put].Invested: return chain = slice.OptionChains.get(self.symbol) if not chain: return # Find ATM put with the farthest expiry expiry = max([x.Expiry for x in chain]) put_contracts = sorted([x for x in chain if x.Right == OptionRight.Put and x.Expiry == expiry], key=lambda x: abs(chain.Underlying.Price - x.Strike)) if not put_contracts: return atm_put = put_contracts[0] protective_put = OptionStrategies.ProtectivePut(self.symbol, atm_put.Strike, expiry) self.Buy(protective_put, 1) self.put = atm_put.Symbol