Overall Statistics |

Total Trades 9 Average Win 1.97% Average Loss -1.50% Compounding Annual Return -6.283% Drawdown 1.100% Expectancy -0.074 Net Profit -1.058% Sharpe Ratio -4.141 Loss Rate 60% Win Rate 40% Profit-Loss Ratio 1.32 Alpha -0.048 Beta -0.016 Annual Standard Deviation 0.015 Annual Variance 0 Information Ratio -6.663 Tracking Error 0.144 Treynor Ratio 3.896 Total Fees $2.00 |

# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. # Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. from datetime import timedelta class ButterflySpreadAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 4, 1) self.SetEndDate(2017, 5, 30) self.SetCash(150000) equity = self.AddEquity("GOOG", Resolution.Minute) option = self.AddOption("GOOG", Resolution.Minute) self.symbol = option.Symbol # set our strike/expiry filter for this option chain option.SetFilter(-9, 9, timedelta(30), timedelta(60)) # use the underlying equity GOOG as the benchmark self.SetBenchmark(equity.Symbol) def OnData(self,slice): # if there is no securities in portfolio, trade the options if not self.Portfolio.Invested and self.Time.hour != 0 and self.Time.minute != 0: for i in slice.OptionChains: if i.Key != self.symbol: continue chain = i.Value # sorted the optionchain by expiration date and choose the furthest date expiry = sorted(chain,key = lambda x: x.Expiry, reverse=True)[0].Expiry # filter the call options from the contracts expires on that date call = [i for i in chain if i.Expiry == expiry and i.Right == 0] # sorted the contracts according to their strike prices call_contracts = sorted(call,key = lambda x: x.Strike) if len(call_contracts) == 0: continue # choose OTM call self.otm_call = call_contracts[-1] # choose ITM call self.itm_call = call_contracts[0] # choose ATM call self.atm_call = sorted(call_contracts,key = lambda x: abs(chain.Underlying.Price - x.Strike))[0] self.Sell(self.atm_call.Symbol ,2) self.Buy(self.itm_call.Symbol ,1) self.Buy(self.otm_call.Symbol ,1) def OnOrderEvent(self, orderEvent): self.Log(str(orderEvent))