Overall Statistics |
Total Trades 5 Average Win 0.23% Average Loss 0% Compounding Annual Return 3.917% Drawdown 0.700% Expectancy 0 Net Profit 0.620% Sharpe Ratio 2.281 Probabilistic Sharpe Ratio 71.137% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.029 Beta 0.06 Annual Standard Deviation 0.012 Annual Variance 0 Information Ratio 0.39 Tracking Error 0.128 Treynor Ratio 0.455 Total Fees $3.00 Estimated Strategy Capacity $180000.00 Lowest Capacity Asset IBM 2ZNFM7EZGPFGM|IBM R735QTJ8XC9X Portfolio Turnover 0.01% |
#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 NakedPutAlgorithm : 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 nakedPut = OptionStrategies.NakedPut(_symbol, atmPut.Strike, expiry); Buy(nakedPut, 1); _put = atmPut.Symbol; } } }