Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Sortino Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-4.873
Tracking Error
0.116
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
# region imports
from AlgorithmImports import *
# endregion

class CustomDividendYieldModelAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2024, 2, 5)
        self.SetEndDate(2024, 2, 22)
        self.SetCash(100000)
               
        option = self.AddOption("MSFT")
        option.SetFilter(0, 1, 0, 31)
        self.symbol = option.Symbol
        self.deltas = {}
        self.dividendYieldModel = {self.symbol.Underlying : MyDividendYieldModel()}

        
    def OnData(self, data: Slice):
        chain = data.OptionChains.get(self.symbol)
        if not chain:
            return
        expiry = min([x.Expiry for x in chain])
        symbols = [x.Symbol for x in chain if x.Expiry == expiry and x.Right == OptionRight.Call and x.Symbol not in self.deltas]
        for symbol in symbols:
            self.deltas[symbol] = self.deltas.get(symbol, self.CreateDeltaIndicator(symbol))

    def CreateDeltaIndicator(self, symbol: Symbol) -> Delta:
        dividendYieldModel = self.dividendYieldModel.get(symbol.Underlying)
        delta = Delta(symbol.Value, symbol, self.RiskFreeInterestRateModel, dividendYieldModel)
        self.RegisterIndicator(symbol, delta)
        self.RegisterIndicator(symbol.Underlying, delta)
        return delta

    def OnEndOfDay(self, symbol):
        delta = self.deltas.get(symbol)
        if delta:
            self.Plot('Delta', symbol.Value, delta.Current.Value)

class MyDividendYieldModel:
    def GetDividendYield(self, date: datetime) -> float:
        return 0.02