Overall Statistics
Total Trades
17
Average Win
1.02%
Average Loss
-0.68%
Compounding Annual Return
1.329%
Drawdown
1.500%
Expectancy
0.001
Net Profit
0.714%
Sharpe Ratio
0.394
Probabilistic Sharpe Ratio
29.677%
Loss Rate
60%
Win Rate
40%
Profit-Loss Ratio
1.50
Alpha
-0.033
Beta
0.193
Annual Standard Deviation
0.024
Annual Variance
0.001
Information Ratio
-2.35
Tracking Error
0.089
Treynor Ratio
0.049
Total Fees
$11.00
Estimated Strategy Capacity
$38000000.00
Lowest Capacity Asset
SPY XPFJZXMFFOME|SPY R735QTJ8XC9X
 
# region imports
from AlgorithmImports import *
# endregion

class HipsterYellowGreenPanda(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 1)
        self.SetEndDate(2021, 7, 17)
        self.SetCash(100000)
        self.equity_symbol = self.AddEquity("SPY", dataNormalizationMode=DataNormalizationMode.Raw).Symbol
        self.option_symbol = self.AddOption(self.equity_symbol).Symbol

        self.contract = None

    def OnData(self, slice: Slice) -> None:
        if self.Portfolio[self.equity_symbol].Invested:
            self.Liquidate(self.equity_symbol)

        if self.contract is not None and self.Portfolio[self.contract.Symbol].Invested:
            return

        if slice.OptionChains.ContainsKey(self.option_symbol):
            chain = slice.OptionChains[self.option_symbol]

            # Select call contracts
            calls = [contract for contract in chain if contract.Right == OptionRight.Call]
            if len(calls) == 0:
                return
            
            # Select the call contracts with the furthest expiration
            furthest_expiry = sorted(calls, key = lambda x: x.Expiry, reverse=True)[0].Expiry
            furthest_expiry_calls = [contract for contract in calls if contract.Expiry == furthest_expiry]
            
            # From the remaining contracts, select the one with its strike closest to the underlying price
            self.contract = sorted(furthest_expiry_calls, key = lambda x: abs(chain.Underlying.Price - x.Strike))[0]
            self.MarketOrder(self.contract.Symbol, 1)