Overall Statistics
Total Orders
8
Average Win
0.23%
Average Loss
0%
Compounding Annual Return
-0.165%
Drawdown
2.100%
Expectancy
0
Start Equity
100000
End Equity
99973.5
Net Profit
-0.026%
Sharpe Ratio
-0.298
Sortino Ratio
-0.525
Probabilistic Sharpe Ratio
31.260%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
-0.014
Beta
-0.192
Annual Standard Deviation
0.028
Annual Variance
0.001
Information Ratio
0.135
Tracking Error
0.162
Treynor Ratio
0.043
Total Fees
$6.00
Estimated Strategy Capacity
$540000.00
Lowest Capacity Asset
IBM 2ZNFM7EZGPFGM|IBM R735QTJ8XC9X
Portfolio Turnover
0.95%
 
#region imports
from AlgorithmImports import *
#endregion

class CoveredputAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2014, 1, 1)
        self.set_end_date(2014, 3, 1)
        self.set_cash(100000)

        option = self.add_option("IBM")
        self.symbol = option.symbol

        option.set_filter(-3, 3, 0, 31)

        self.put = None

        # use the underlying equity as the benchmark
        self.set_benchmark(self.symbol.underlying)

    def on_data(self, slice):

        if self.put and self.portfolio[self.put].invested:
            return

        chain = slice.option_chains.get(self.symbol)
        if not chain:
            return

        # Find ATM put with the farthest expiry
        expiry = max([x.expiry for x in chain])
        put_contracts = sorted([x for x in chain
            if x.right == OptionRight.PUT and x.expiry == expiry],
            key=lambda x: abs(chain.underlying.price - x.strike))

        if not put_contracts:
            return

        atm_put = put_contracts[0]

        covered_put = OptionStrategies.covered_put(self.symbol, atm_put.strike, expiry)
        self.buy(covered_put, 1)

        self.put = atm_put.symbol