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 -0.779 Tracking Error 0.105 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset Portfolio Turnover 0% |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Algorithm.Selection; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect.Algorithm.CSharp { public class SmoothVioletSnake : QCAlgorithm { protected Option _option; public override void Initialize() { SetStartDate(2024, 01, 01); SetEndDate(2024, 01, 10); SetCash(100000); var equity = AddEquity("SPY"); var option = AddOption(equity.Symbol); option.SetFilter(u => u.IncludeWeeklys().Expiration(0, 0)); _option = option; } public override void OnData(Slice slice) { if (slice.ContainsKey(_option.Symbol.Underlying) && slice.OptionChains.TryGetValue(_option.Symbol, out var chain) && chain.Contracts.Count > 0) { foreach (var contract in chain) { var expiry = contract.Symbol.ID.Date; var gamma = new Gamma(contract.Symbol, optionModel: OptionPricingModelType.BlackScholes); var lastData = Securities[contract.Symbol].GetLastData(); var lastDataSpot = Securities[contract.Symbol.Underlying].GetLastData(); var result1 = gamma.Update(new IndicatorDataPoint(contract.Symbol, lastData.EndTime, lastData.Value)); var result2 = gamma.Update(new IndicatorDataPoint(contract.Symbol, lastData.EndTime, lastDataSpot.Value)); if (result1 || result2 || gamma.Current.Value != 0) { throw new Exception("Unexpected valid gamma value"); } } } } } }