Overall Statistics |
Total Orders 4 Average Win 0.74% Average Loss 0% Compounding Annual Return 0.733% Drawdown 0.200% Expectancy -1 Net Profit 0.061% Sharpe Ratio 0.005 Sortino Ratio 0.007 Probabilistic Sharpe Ratio 65.146% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.028 Beta 0.061 Annual Standard Deviation 0.006 Annual Variance 0 Information Ratio -8.476 Tracking Error 0.055 Treynor Ratio 0 Total Fees $3.30 Estimated Strategy Capacity $120000.00 Lowest Capacity Asset GOOCV WIJN29E3NU86|GOOCV VP83T1ZUHROL Portfolio Turnover 0.54% |
#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 _symbol; public override void Initialize() { SetStartDate(2017, 2, 1); SetEndDate(2017, 3, 5); SetCash(500000); var option = AddOption("GOOG", Resolution.Minute); _symbol = option.Symbol; option.SetFilter(universe => universe.IncludeWeeklys() .Strikes(-15, 15) .Expiration(TimeSpan.FromDays(0), TimeSpan.FromDays(31))); } 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 call options from the contracts which expire on the furthest expiration date in the option chain. var calls = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Call); if (calls.Count() == 0) return; // sort the call options with the same expiration date according to their strike price. var callStrikes = calls.Select(x => x.Strike).OrderBy(x => x); // get at-the-money strike var atmStrike = calls.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(callStrikes.First() - atmStrike), Math.Abs(callStrikes.Last() - atmStrike)); // select the strike prices for forming the option legs var itmStrike = atmStrike - spread; var otmStrike = atmStrike + spread; var optionStrategy = OptionStrategies.ShortButterflyCall(_symbol, otmStrike, atmStrike, itmStrike, expiry); // We open a position with 1 unit of the option strategy Buy(optionStrategy, 1); } } }