Overall Statistics |
Total Trades 15 Average Win 0.05% Average Loss -0.02% Compounding Annual Return -10.483% Drawdown 22.300% Expectancy 0.429 Net Profit -3.681% Sharpe Ratio 0.043 Loss Rate 57% Win Rate 43% Profit-Loss Ratio 2.33 Alpha 0.18 Beta -8.513 Annual Standard Deviation 0.503 Annual Variance 0.253 Information Ratio 0.006 Tracking Error 0.503 Treynor Ratio -0.003 Total Fees $2.75 |
using System.Drawing; using System.Threading; using System.Threading.Tasks; // Bear Call Spread - sell 1 Call above the underlying price // then buy 1 Call higher to protect ourselves if market goes against us namespace QuantConnect { public partial class BearCallSpread : QCAlgorithm { string iSymbol = "MSFT"; DateTime iTime; public override void Initialize() { SetCash(10000); SetStartDate(2018, 1, 1); SetEndDate(DateTime.Now.Date); SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage); AddEquity(iSymbol, Resolution.Minute); } public void OnData(TradeBars data) { if (IsMarketOpen(iSymbol) == false) { return; } if (IsNewBar(TimeSpan.FromHours(1)) == false) { return; } var price = Securities[iSymbol].Price; // If options were exercised and we were assigned to buy shares, sell them immediately if (Portfolio[iSymbol].Invested) { MarketOrder(iSymbol, -100); } if (Portfolio.Invested == false) { var contracts = OptionChainProvider.GetOptionContractList(iSymbol, Time); // Choose all contracts within a month and strike price $1 to $5 from current underlying price var atmCalls = from c in contracts where c.ID.OptionRight == OptionRight.Call where c.ID.StrikePrice - price < 3 && c.ID.StrikePrice - price > 1 where (c.ID.Date - Time).TotalDays < 35 && (c.ID.Date - Time).TotalDays > 0 select c; // Choose all contracts within a month and strike price $1 to $5 from current underlying price var otmCalls = from c in contracts where c.ID.OptionRight == OptionRight.Call where c.ID.StrikePrice - price < 7 && c.ID.StrikePrice - price > 5 where (c.ID.Date - Time).TotalDays < 35 && (c.ID.Date - Time).TotalDays > 0 select c; // Take ATM options with the MIN expiration date and MAX distance from underlying price var contractAtmCall = atmCalls .OrderBy(o => o.ID.Date) .ThenByDescending(o => o.ID.StrikePrice - price) .FirstOrDefault(); // Take OTM options with the MIN expiration date and MAX distance from underlying price var contractOtmCall = otmCalls .OrderBy(o => o.ID.Date) .ThenByDescending(o => o.ID.StrikePrice - price) .FirstOrDefault(); // If we found such options - open trade if (contractAtmCall != null && contractOtmCall != null) { AddOptionContract(contractAtmCall, Resolution.Minute); AddOptionContract(contractOtmCall, Resolution.Minute); MarketOrder(contractAtmCall, -1); MarketOrder(contractOtmCall, 1); } } } public bool IsNewBar(TimeSpan interval, int points = 1) { var date = Securities[iSymbol].LocalTime; if ((date - iTime).TotalSeconds > interval.TotalSeconds * points) { iTime = new DateTime(date.Ticks - date.Ticks % interval.Ticks, date.Kind); return true; } return false; } } }