Overall Statistics |
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 5.547% Drawdown 0.200% Expectancy 0 Net Profit 0.455% Sharpe Ratio 6.294 Probabilistic Sharpe Ratio 98.456% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.002 Beta 0.099 Annual Standard Deviation 0.008 Annual Variance 0 Information Ratio -8.122 Tracking Error 0.053 Treynor Ratio 0.5 Total Fees $2.00 Estimated Strategy Capacity $12000000.00 Lowest Capacity Asset GOOCV WIJN1DYW4LLY|GOOCV VP83T1ZUHROL |
#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 BullCallSpreadExmapleAlgorithm : 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 var chain = slice.OptionChains.get(_symbol, null); if (chain.Count() == 0) return; // Get the furthest expiration date of the contracts var expiry = chain.OrderByDescending(x => x.Expiry).First().Expiry; // Select the call Option contracts with the furthest expiry var calls = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Call); if (calls.Count() == 0) return; // Select the ITM and OTM contract strikes from the remaining contracts var putStrikes = calls.Select(x => x.Strike).OrderBy(x => x); var itmStrike = putStrikes.First(); var otmStrike = putStrikes.Last(); var optionStrategy = OptionStrategies.BullCallSpread(_symbol, itmStrike, otmStrike, expiry); Buy(optionStrategy, 1); } } }