Overall Statistics |
Total Trades 4 Average Win 2.03% Average Loss 0% Compounding Annual Return -12.545% Drawdown 11.400% Expectancy -0.5 Net Profit -3.275% Sharpe Ratio -0.584 Probabilistic Sharpe Ratio 17.618% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 0 Alpha 0.028 Beta -1.194 Annual Standard Deviation 0.138 Annual Variance 0.019 Information Ratio -0.954 Tracking Error 0.179 Treynor Ratio 0.067 Total Fees $2.00 Estimated Strategy Capacity $9000.00 Lowest Capacity Asset GOOCV VP83T1ZUHROL Portfolio Turnover 1.02% |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QuantConnect.Data.Custom.AlphaStreams; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect.Algorithm.CSharp { public class ShortStraddleAlgorithm : QCAlgorithm { private Symbol _symbol; public override void Initialize() { SetStartDate(2017, 4, 1); SetEndDate(2017, 6, 30); SetCash(100000); var option = AddOption("GOOG"); _symbol = option.Symbol; option.SetFilter(-1, 1, 30, 60); } public override void OnData(Slice slice) { if (Portfolio.Invested || !slice.OptionChains.TryGetValue(_symbol, out var chain)) { return; } // Find ATM options with the nearest expiry var expiry = chain.Min(contract => contract.Expiry); var contracts = chain.Where(contract => contract.Expiry == expiry) .OrderBy(contract => Math.Abs(contract.Strike - chain.Underlying.Price)) .ToArray(); if (contracts.Length < 2) return; var shortStraddle = OptionStrategies.ShortStraddle(_symbol, contracts[0].Strike, expiry); Buy(shortStraddle, 1); } } }