Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
6.361%
Drawdown
0.600%
Expectancy
0
Net Profit
0.486%
Sharpe Ratio
1.073
Sortino Ratio
1.026
Probabilistic Sharpe Ratio
75.361%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.005
Beta
-0.104
Annual Standard Deviation
0.025
Annual Variance
0.001
Information Ratio
1.681
Tracking Error
0.138
Treynor Ratio
-0.257
Total Fees
$2.00
Estimated Strategy Capacity
$5100000.00
Lowest Capacity Asset
GOOCV Y6URRG5V0U06|GOOCV VP83T1ZUHROL
Portfolio Turnover
0.03%
 
# region imports
from AlgorithmImports import *
# endregion

class HyperActiveOrangeHippopotamus(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2023, 2, 3)
        self.SetEndDate(2023, 3, 3)
        self.SetCash(100000)
        option = self.AddOption("GOOG", Resolution.Minute)
        self.symbol = option.Symbol
        option.SetFilter(lambda universe: universe.Strikes(-10, 10).Expiration(30, 45))

        self.itm_call = None
        self.otm_call = None

    def OnData(self, data: Slice):
        # Get the OptionChain
        chain = data.OptionChains.get(self.symbol, None)
        if not chain: return

        if self.itm_call is None:
            # Get the furthest expiry date of the contracts
            expiry = sorted(chain, key = lambda x: x.Expiry, reverse=True)[0].Expiry
            # Select the ITM call with the lowest strike
            itm_calls = [c for c in chain if c.Expiry == expiry and c.Right == OptionRight.Call and c.Strike < chain.Underlying.Price]
            if len(itm_calls) == 0: return
            self.itm_call = sorted(itm_calls, key=lambda x: x.Strike)[0]
            # Sell an ITM call
            self.MarketOrder(self.itm_call.Symbol, -1)
        
        if self.otm_call is None and self.Time.day > 13:
            # Select the OTM call with the highest strike
            otm_calls = [c for c in chain if c.Expiry == self.itm_call.Expiry and c.Right == OptionRight.Call and c.Strike > chain.Underlying.Price and c.Strike > self.itm_call.Strike]
            if len(otm_calls) == 0: return
            self.otm_call = sorted(otm_calls, key=lambda x: x.Strike)[-1]
            # Buy an OTM call
            self.MarketOrder(self.otm_call.Symbol, 1)