| Overall Statistics |
|
Total Trades 22 Average Win 0.27% Average Loss -0.04% Compounding Annual Return -0.328% Drawdown 0.300% Expectancy -0.222 Net Profit -0.087% Sharpe Ratio -0.602 Loss Rate 91% Win Rate 9% Profit-Loss Ratio 7.56 Alpha 0.022 Beta -1.386 Annual Standard Deviation 0.005 Annual Variance 0 Information Ratio -4.136 Tracking Error 0.005 Treynor Ratio 0.002 Total Fees $22.00 |
import numpy as np
from datetime import timedelta
import datetime
class BasicTemplateAlgorithm(QCAlgorithm):
'''Basic template algorithm simply initializes the date range and cash'''
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetStartDate(2017, 1, 1) #Set Start Date
self.SetEndDate(2017,4, 7) #Set End Date
self.SetCash(100000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
self.underlyingsymbol = 'MSFT'
self.AddEquity("MSFT", Resolution.Minute)
def OnData(self, slice):
if self.Time.date().weekday() == 0 and self.Time.hour==9 and self.Time.minute==31:
self.subscribe_options()
if self.Time.date().weekday() == 0 and self.Time.hour==9 and self.Time.minute==32:
self.Buy(self.otm_call, 5)
if self.Time.date().weekday() == 4 and self.Time.hour==15 and self.Time.minute==59:
self.Liquidate()
pass
# using optionchainprovider
def subscribe_options(self):
contracts = self.OptionChainProvider.GetOptionContractList(self.underlyingsymbol, self.Time.date())
if len(contracts) == 0 : return
filtered_contracts = self.InitialFilter(self.underlyingsymbol, contracts, -5, 10, 0, 30)
expiry = sorted(filtered_contracts, key = lambda x: x.ID.Date)[-1].ID.Date
# filter the call options contracts
call = [x for x in filtered_contracts if x.ID.OptionRight == 0 and x.ID.Date == expiry]
self.otm_call = sorted(call, key = lambda x: x.ID.StrikePrice)[-1]
for j in call:
self.Log(str(j.ID.StrikePrice) +" "+ str(j.ID.Date.date()) )
self.AddOptionContract(self.otm_call, Resolution.Minute)
def InitialFilter(self, underlyingsymbol, symbol_list, min_strike_rank, max_strike_rank, min_expiry, max_expiry):
''' This method is an initial filter of option contracts
based on the range of strike price and the expiration date '''
if len(symbol_list) == 0 : return
# fitler the contracts based on the expiry range
contract_list = [i for i in symbol_list if min_expiry < (i.ID.Date.date() - self.Time.date()).days < max_expiry]
# find the strike price of ATM option
atm_strike = sorted(contract_list,
key = lambda x: abs(x.ID.StrikePrice - self.Securities[underlyingsymbol].Price))[0].ID.StrikePrice
strike_list = sorted(set([i.ID.StrikePrice for i in contract_list]))
# find the index of ATM strike in the sorted strike list
atm_strike_rank = strike_list.index(atm_strike)
try:
min_strike = strike_list[atm_strike_rank + min_strike_rank]
max_strike = strike_list[atm_strike_rank + max_strike_rank]
except:
min_strike = strike_list[0]
max_strike = strike_list[-1]
filtered_contracts = [i for i in contract_list if i.ID.StrikePrice >= min_strike and i.ID.StrikePrice <= max_strike]
return filtered_contracts