Overall Statistics
Total Trades
31
Average Win
0.55%
Average Loss
-0.60%
Compounding Annual Return
-1.314%
Drawdown
1.800%
Expectancy
-0.042
Net Profit
-0.548%
Sharpe Ratio
-0.689
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
0.92
Alpha
0.004
Beta
-0.093
Annual Standard Deviation
0.016
Annual Variance
0
Information Ratio
-2.355
Tracking Error
0.071
Treynor Ratio
0.117
Total Fees
$7.75
 
 
# https://quantpedia.com/Screener/Details/20
from datetime import timedelta
from decimal import Decimal

class BullCallSpreadAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2017, 1, 1)
        self.SetEndDate(2017, 6, 1)
        self.SetCash(50000)
        equity = self.AddEquity("SPY", Resolution.Minute)
        option = self.AddOption("SPY", Resolution.Minute)
        self.symbol = equity.Symbol
        option.SetFilter(self.UniverseFunc)
        self.SetBenchmark(equity.Symbol)
        
    def OnData(self,slice):

        for i in slice.OptionChains:
            chains = i.Value
            if not self.Portfolio.Invested:
                # divide option chains into call and put options 
                calls = list(filter(lambda x: x.Right == OptionRight.Call, chains))
                puts = list(filter(lambda x: x.Right == OptionRight.Put, chains))
                # if lists are empty return
                if not calls or not puts: return
                underlying_price = self.Securities[self.symbol].Price
                expiries = [i.Expiry for i in puts]
                # determine expiration date nearly one month
                expiry = min(expiries, key=lambda x: abs((x.date()-self.Time.date()).days-30))
                strikes = [i.Strike for i in puts]
                # determine at-the-money strike
                strike = min(strikes, key=lambda x: abs(x-underlying_price))
                # determine 15% out-of-the-money strike
                otm_strike = min(strikes, key = lambda x:abs(x-Decimal(0.85)*underlying_price))
                self.atm_call = [i for i in calls if i.Expiry == expiry and i.Strike == strike]
                self.atm_put = [i for i in puts if i.Expiry == expiry and i.Strike == strike]
                self.otm_put = [i for i in puts if i.Expiry == expiry and i.Strike == otm_strike]

                if self.atm_call and self.atm_put and self.otm_put:
                    # sell at-the-money straddle
                    self.Sell(self.atm_call[0].Symbol, 1)
                    self.Sell(self.atm_put[0].Symbol, 1)
                    # buy 15% out-of-the-money put
                    self.Buy(self.otm_put[0].Symbol, 1)

            if self.Portfolio[self.symbol].Invested:
                self.Liquidate(self.symbol)
         
    def OnOrderEvent(self, orderEvent):
        self.Log(str(orderEvent)) 

    def UniverseFunc(self, universe):
        return universe.IncludeWeeklys().Strikes(-20, 20).Expiration(timedelta(25), timedelta(35))