Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000
End Equity
100000
Net Profit
0%
Sharpe Ratio
0
Sortino Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-0.812
Tracking Error
0.137
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
# region imports
from AlgorithmImports import *
# endregion

class FutureOptionAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2012, 1, 1)
        self.ticker = Futures.Indices.NASDAQ_100_E_MINI
        self.underlying = self.add_future(self.ticker)
        self.underlying.set_filter(0, 182)
        self.add_future_option(self.underlying.symbol, lambda u: u.front_month().strikes(-10,10))
    def on_end_of_day(self, symbol):
        self.plot(self.ticker, str(symbol.id.security_type), 1)