| Overall Statistics |
|
Total Trades 67 Average Win 1.32% Average Loss -2.43% Compounding Annual Return -86.205% Drawdown 43.100% Expectancy -0.207 Net Profit -26.074% Sharpe Ratio -1.162 Probabilistic Sharpe Ratio 6.655% Loss Rate 49% Win Rate 51% Profit-Loss Ratio 0.54 Alpha -1.071 Beta 3.198 Annual Standard Deviation 0.601 Annual Variance 0.361 Information Ratio -1.558 Tracking Error 0.523 Treynor Ratio -0.218 Total Fees $63.00 Estimated Strategy Capacity $13000000.00 Lowest Capacity Asset TSLA 31KPPKCL1VV52|TSLA UNU3P8Y3WFAD |
class SampleAlgo(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 1) # Set Start Date
self.SetEndDate(2021, 2, 25) # Set End Date et Strategy Cash
self.SetCash(100000) # Set Strategy Cash
self.SetWarmUp(timedelta(1)) # Warm up technical indicators
self.ticker = "TSLA"
sym = self.AddEquity(self.ticker, Resolution.Minute).Symbol
self.option = self.AddOption(self.ticker, Resolution.Minute)
self.optionSymbol = self.option.Symbol
self.option.SetFilter(self.UniverseFunc)
self.option.PriceModel = OptionPriceModels.CrankNicolsonFD()
self.open_contracts = list()
self.trading_on = True
self.currentContract = None
self.Schedule.On(self.DateRules.EveryDay(self.ticker),self.TimeRules.At(10,20),self.sell_contract)
self.Schedule.On(self.DateRules.EveryDay(self.ticker),self.TimeRules.BeforeMarketClose(self.ticker,20),self.CheckLiquidation)
def sell_contract(self):
slice = self.CurrentSlice
otype='put'
for i in slice.OptionChains:
if i.Key != self.optionSymbol:
continue
self.currentContract = self.get_calls_puts(i, otype=otype)
if self.currentContract is None:
self.Log('No suitable contract could be found for trading')
return
break
if self.currentContract is not None:
if self.currentContract.Symbol not in [x.Symbol for x in self.open_contracts]:
self.Sell(self.currentContract.Symbol, 1)
self.open_contracts.append(self.currentContract)
def UniverseFunc(self, universe):
# include weekly contracts
return universe.IncludeWeeklys().Expiration(TimeSpan.FromDays(0),
TimeSpan.FromDays(30)).Strikes(-15,15)
def get_calls_puts(self, kvp, otype):
'''
criteria = 'strike' means ATM options, 'delta' means delta equal to given parameter
'''
chain = kvp.Value
if otype == 'call':
opts = [x for x in chain if x.Right == OptionRight.Call]
else:
opts = [x for x in chain if x.Right == OptionRight.Put]
opts = sorted(opts, key = lambda x: x.Expiry)
if len(opts) == 0: return
opts = [x for x in opts if x.Expiry==opts[0].Expiry]
opts = sorted(opts, key=lambda x: abs(x.Strike - self.Securities[self.ticker].Price))
return opts[0] if len(opts)>0 else None
def CheckLiquidation(self):
to_be_removed = []
for security in self.open_contracts:
if self.Time.date() == security.Expiry.date():
self.Liquidate(security.Symbol,tag='Closed twenty minutes before expiry')
to_be_removed.append(security)
for security in to_be_removed:
self.open_contracts.remove(security)