Overall Statistics |
Total Orders 6 Average Win 1.19% Average Loss -1.90% Compounding Annual Return 103.489% Drawdown 1.100% Expectancy 0.085 Net Profit 5.533% Sharpe Ratio 5.607 Sortino Ratio 27.951 Probabilistic Sharpe Ratio 97.652% Loss Rate 33% Win Rate 67% Profit-Loss Ratio 0.63 Alpha 0.613 Beta 0.425 Annual Standard Deviation 0.116 Annual Variance 0.013 Information Ratio 4.779 Tracking Error 0.118 Treynor Ratio 1.525 Total Fees $3.30 Estimated Strategy Capacity $7000.00 Lowest Capacity Asset GOOCV 30IZW3EYO82UE|GOOCV VP83T1ZUHROL Portfolio Turnover 3.23% |
#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 BearPutSpreadStrategy : QCAlgorithm { private Symbol _equity; private Symbol _symbol; public override void Initialize() { SetStartDate(2017, 4, 1); SetEndDate(2017, 4, 30); SetCash(100000); _equity = AddEquity("GOOG", Resolution.Minute).Symbol; var option = AddOption("GOOG", Resolution.Minute); _symbol = option.Symbol; option.SetFilter(universe => universe.Strikes(-10, 10) .Expiration(TimeSpan.FromDays(0), TimeSpan.FromDays(30))); } public override void OnData(Slice slice) { if (Portfolio.Invested) return; // Get the OptionChain of the symbol var chain = slice.OptionChains.get(_symbol, null); if (chain == null || chain.Count() == 0) return; // sorted the optionchain by expiration date and choose the furthest date var expiry = chain.OrderByDescending(x => x.Expiry).First().Expiry; // filter the put options from the contracts which expire on the furthest expiration date in the option chain. var puts = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Put); if (puts.Count() == 0) return; // sort the put options with the same expiration date according to their strike price. var putStrikes = puts.Select(x => x.Strike).OrderBy(x => x); // get at-the-money strike var atmStrike = puts.OrderBy(x => Math.Abs(x.Strike - chain.Underlying.Price)).First().Strike; // Get the distance between lowest strike price and ATM strike, and highest strike price and ATM strike. // Get the lower value as the spread distance as equidistance is needed for both side. var spread = Math.Min(Math.Abs(putStrikes.First() - atmStrike), Math.Abs(putStrikes.Last() - atmStrike)); // select the strike prices for forming the option legs var itmStrike = atmStrike + spread; var otmStrike = atmStrike - spread; var optionStrategy = OptionStrategies.ShortButterflyPut(_symbol, itmStrike, atmStrike, otmStrike, expiry); // We open a position with 1 unit of the option strategy Buy(optionStrategy, 1); } } }