Overall Statistics |
Total Trades 4 Average Win 0% Average Loss 0% Compounding Annual Return -0.308% Drawdown 0.100% Expectancy 0 Net Profit -0.024% Sharpe Ratio -0.516 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.019 Beta -0.036 Annual Standard Deviation 0.006 Annual Variance 0 Information Ratio -8.129 Tracking Error 0.076 Treynor Ratio 0.085 Total Fees $1.00 |
class IronCondorAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 2, 1) self.SetEndDate(2017, 3, 1) self.SetCash(500000) equity = self.AddEquity("GOOG", Resolution.Minute) equity.SetDataNormalizationMode(DataNormalizationMode.Raw) self.underlyingsymbol = equity.Symbol self.SetBenchmark(equity.Symbol) def OnData(self,slice): ''' OptionChainProvider gets the option chain provider, used to get the list of option contracts for an underlying symbol. Then you can manually filter the contract list returned by GetOptionContractList. The manual filtering will be limited to the information included in the Symbol (strike, expiration, type, style) and/or prices from a History call ''' if self.Portfolio[self.underlyingsymbol].Quantity != 0: self.Liquidate() if not self.Portfolio.Invested: contracts = self.OptionChainProvider.GetOptionContractList(self.underlyingsymbol, self.Time.date()) self.TradeOptions(contracts) def TradeOptions(self,contracts): if len(contracts) == 0 : return filtered_contracts = self.InitialFilter(self.underlyingsymbol, contracts, -15, 15, 0, 40) # sorted the optionchain by expiration date and choose the furthest date expiry = sorted(filtered_contracts,key = lambda x: x.ID.Date)[-1].ID.Date # filter the call and put options from the contracts call = [i for i in filtered_contracts if i.ID.OptionRight == 0 and i.ID.Date == expiry] put = [i for i in filtered_contracts if i.ID.OptionRight == 1 and i.ID.Date == expiry] # sorted the contracts according to their strike prices call_contracts = sorted(call,key = lambda x: x.ID.StrikePrice) put_contracts = sorted(put,key = lambda x: x.ID.StrikePrice) otm_put_lower = put_contracts[0] otm_put = put_contracts[10] otm_call = call_contracts[-10] otm_call_higher = call_contracts[-1] self.trade_contracts = [otm_call,otm_call_higher,otm_put,otm_put_lower] for contract in self.trade_contracts: self.AddOptionContract(contract, Resolution.Minute) self.Buy(otm_put_lower, 1) # Buy 1 OTM Put self.Sell(otm_put, 1) # Sell 1 OTM Call self.Sell(otm_call, 1) # Sell 1 OTM Call (Higher Strike) self.Buy(otm_call_higher, 1) # Buy 1 OTM Call (Higher Strike) def InitialFilter(self, underlyingsymbol, symbol_list, min_strike_rank, max_strike_rank, min_expiry, max_expiry): ''' This method is an initial filter of option contracts based on the range of strike price and the expiration date ''' if len(symbol_list) == 0 : return # fitler the contracts based on the expiry range contract_list = [i for i in symbol_list if min_expiry <= (i.ID.Date.date() - self.Time.date()).days <= max_expiry] # find the strike price of ATM option atm_strike = sorted(contract_list, key = lambda x: abs(x.ID.StrikePrice - self.Securities[underlyingsymbol].Price))[0].ID.StrikePrice strike_list = sorted(set([i.ID.StrikePrice for i in contract_list])) # find the index of ATM strike in the sorted strike list atm_strike_rank = strike_list.index(atm_strike) try: min_strike = strike_list[atm_strike_rank + min_strike_rank + 1] max_strike = strike_list[atm_strike_rank + max_strike_rank - 1] except: min_strike = strike_list[0] max_strike = strike_list[-1] filtered_contracts = [i for i in contract_list if i.ID.StrikePrice >= min_strike and i.ID.StrikePrice <= max_strike] return filtered_contracts def OnOrderEvent(self, orderEvent): self.Log(str(orderEvent))