Overall Statistics |
Total Trades 24 Average Win 0.15% Average Loss 0% Compounding Annual Return 5.347% Drawdown 0.900% Expectancy 0 Net Profit 1.780% Sharpe Ratio 1.349 Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.114 Beta -3.567 Annual Standard Deviation 0.036 Annual Variance 0.001 Information Ratio 0.84 Tracking Error 0.036 Treynor Ratio -0.014 Total Fees $3.00 |
using System.Drawing; using System.Threading; using System.Threading.Tasks; // Short Strangle - sell 1 ATM Call and 1 ATM Put on the same distance from underlying // and with the same expiration date namespace QuantConnect { public partial class ShortStrangle : 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 < 5 && c.ID.StrikePrice - price > 1 where (c.ID.Date - Time).TotalDays < 35 && (c.ID.Date - Time).TotalDays > 0 select c; var atmPuts = from c in contracts where c.ID.OptionRight == OptionRight.Put where price - c.ID.StrikePrice < 5 && price - c.ID.StrikePrice > 1 where (c.ID.Date - Time).TotalDays < 35 && (c.ID.Date - Time).TotalDays > 0 select c; // Take options with the closest expiration date and min distance to underlying price var contractCall = atmCalls .OrderBy(o => o.ID.Date) .ThenByDescending(o => o.ID.StrikePrice - price) .FirstOrDefault(); var contractPut = atmPuts .OrderBy(o => o.ID.Date) .ThenByDescending(o => price - o.ID.StrikePrice) .FirstOrDefault(); // If we found such options - sell 1 ATM Call and 1 A if (contractCall != null && contractPut != null) { AddOptionContract(contractCall, Resolution.Minute); AddOptionContract(contractPut, Resolution.Minute); MarketOrder(contractPut, -1); MarketOrder(contractCall, -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; } } }