Overall Statistics
Total Orders
4
Average Win
0%
Average Loss
0%
Compounding Annual Return
-0.774%
Drawdown
0.200%
Expectancy
0
Start Equity
500000
End Equity
499694.8
Net Profit
-0.061%
Sharpe Ratio
0.149
Sortino Ratio
0.099
Probabilistic Sharpe Ratio
58.582%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.041
Beta
-0.075
Annual Standard Deviation
0.008
Annual Variance
0
Information Ratio
-7.804
Tracking Error
0.069
Treynor Ratio
-0.015
Total Fees
$5.20
Estimated Strategy Capacity
$3500000.00
Lowest Capacity Asset
GOOCV WIQJ61J2NVQE|GOOCV VP83T1ZUHROL
Portfolio Turnover
0.06%
 
#region imports
from AlgorithmImports import *
#endregion

class IronCondorAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2017, 2, 1)
        self.set_end_date(2017, 3, 1)
        self.set_cash(500000)
        
        option = self.add_option("GOOG")
        self.symbol = option.symbol

        option.set_filter(lambda universe:
            universe.include_weeklys().strikes(-15, 15).expiration(0, 40))
        
        # use the underlying equity GOOG as the benchmark
        self.set_benchmark(self.symbol.underlying)

    def on_data(self,slice):
        # If there is underlying assets in portfolio at expiration, liquidate the stocks in order to roll into new contracts
        if self.portfolio[self.symbol.underlying].invested:
            self.liquidate()
        
        if self.portfolio.invested or not self.is_market_open(self.symbol):
            return
        
        chain = slice.option_chains.get(self.symbol)
        if not chain:
            return

        # Find put and call contracts with the farthest expiry     
        expiry = max([x.expiry for x in chain])
        chain = sorted([x for x in chain if x.expiry == expiry], key = lambda x: x.strike)
            
        put_contracts = [x for x in chain if x.right == OptionRight.PUT]
        call_contracts = [x for x in chain if x.right == OptionRight.CALL]
            
        if len(call_contracts) < 10 or len(put_contracts) < 10:
            return

        # Select the strikes in the strategy legs
        far_put = put_contracts[0].strike
        near_put = put_contracts[10].strike
        near_call = call_contracts[-10].strike
        far_call = call_contracts[-1].strike

        iron_condor = OptionStrategies.iron_condor(
            self.symbol, 
            far_put,
            near_put,
            near_call,
            far_call,
            expiry)

        self.buy(iron_condor, 2)