Overall Statistics |
Total Orders 4 Average Win 2.03% Average Loss 0% Compounding Annual Return -12.545% Drawdown 11.400% Expectancy -0.5 Start Equity 100000 End Equity 96725 Net Profit -3.275% Sharpe Ratio -0.697 Sortino Ratio -1.141 Probabilistic Sharpe Ratio 17.618% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 0 Alpha -0.006 Beta -1.194 Annual Standard Deviation 0.138 Annual Variance 0.019 Information Ratio -0.954 Tracking Error 0.179 Treynor Ratio 0.08 Total Fees $2.00 Estimated Strategy Capacity $9000.00 Lowest Capacity Asset GOOCV VP83T1ZUHROL Portfolio Turnover 1.02% |
# region imports from AlgorithmImports import * # endregion class LongStraddleAlgorithm(QCAlgorithm): def initialize(self) -> None: self.set_start_date(2017, 4, 1) self.set_end_date(2017, 6, 30) self.set_cash(100000) option = self.add_option("GOOG") self.symbol = option.symbol option.set_filter(-1, 1, 30, 60) def on_data(self, slice: Slice) -> None: if self.portfolio.invested: return chain = slice.option_chains.get(self.symbol, None) if not chain: return # Find ATM options with the nearest expiry expiry = min([x.expiry for x in chain]) contracts = sorted([x for x in chain if x.expiry == expiry], key=lambda x: abs(chain.underlying.price - x.strike)) if len(contracts) < 2: return # The first two contracts are the ATM Call and the ATM Put contracts = contracts[0:2] short_straddle = OptionStrategies.short_straddle(self.symbol, contracts[0].strike, expiry) self.buy(short_straddle, 1)