Overall Statistics |
Total Trades 233 Average Win 0.53% Average Loss 0% Compounding Annual Return 8.411% Drawdown 15.300% Expectancy -0.025 Net Profit 61.270% Sharpe Ratio 0.886 Loss Rate 2% Win Rate 98% Profit-Loss Ratio 0 Alpha -0.03 Beta 5.794 Annual Standard Deviation 0.094 Annual Variance 0.009 Information Ratio 0.679 Tracking Error 0.094 Treynor Ratio 0.014 Total Fees $219.00 |
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. # Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. from QuantConnect.Securities.Option import OptionPriceModels from datetime import timedelta import decimal as d class CoveredCallAlgorithm(QCAlgorithm): def Initialize(self): self._no_K = 20 # no of strikes around ATM => for uni selection self.MIN_EXPIRY = 30 # min num of days to expiration => for uni selection self.MAX_EXPIRY = 60 # max num of days to expiration => for uni selection self.MAX_DELTA = d.Decimal(0.3) self.MIN_PREMIUM = d.Decimal(0.3) self.ticker = "GIS" self.benchmarkTicker = "SPX" self.SetStartDate(2013, 1, 1) self.SetEndDate(2018, 12, 1) self.SetCash(5000) self.resolution = Resolution.Minute self.call, self.put, self.takeProfitTicket = None, None, None self.lastAssignmentPrice = 0 equity = self.AddEquity(self.ticker, self.resolution) option = self.AddOption(self.ticker, self.resolution) self.symbol = option.Symbol # set strike/expiry filter for this option chain # option.SetFilter(-3, +3, timedelta(30), timedelta(60)) # set our strike/expiry filter for this option chain option.SetFilter(self.UniverseFunc) # for greeks and pricer (needs some warmup) - https://github.com/QuantConnect/Lean/blob/21cd972e99f70f007ce689bdaeeafe3cb4ea9c77/Common/Securities/Option/OptionPriceModels.cs#L81 option.PriceModel = OptionPriceModels.CrankNicolsonFD() # both European & American, automatically # this is needed for Greeks calcs self.SetWarmUp(TimeSpan.FromDays(60)) # timedelta(7) # use the underlying equity as the benchmark # self.SetBenchmark(self.benchmarkTicker) self.SetBenchmark(self.benchmarkTicker) def OnData(self,slice): if (self.IsWarmingUp): return option_invested = [x.Key for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Option] if len(option_invested) == 1: return # If we already have underlying - check if we need to sell covered call if self.Portfolio[self.ticker].Invested: self.TradeCallOption(slice) else: self.TradePutOption(slice) def TradePutOption(self,slice): for i in slice.OptionChains: if i.Key != self.symbol: continue chain = i.Value # filter the put options contracts puts = [x for x in chain if x.Right == OptionRight.Put and abs(x.Greeks.Delta) > 0 and abs(x.Greeks.Delta) < self.MAX_DELTA and x.BidPrice > self.MIN_PREMIUM ] # sorted the contracts according to their expiration dates and choose the ATM options contracts = sorted(sorted(puts, key = lambda x: x.BidPrice, reverse=True), key = lambda x: x.Expiry) if len(contracts) == 0: continue self.put = contracts[0].Symbol # short the call options ticket = self.MarketOrder(self.put, -1, asynchronous = False) # set Take Profit order self.takeProfitTicket = self.LimitOrder(self.put, 1, round(ticket.AverageFillPrice * d.Decimal(0.5), 2)) def TradeCallOption(self,slice): for i in slice.OptionChains: if i.Key != self.symbol: continue chain = i.Value # filter the call options contracts calls = [ x for x in chain if x.Right == OptionRight.Call and abs(x.Greeks.Delta) > 0 and abs(x.Greeks.Delta) < self.MAX_DELTA and x.BidPrice > self.MIN_PREMIUM and x.Strike >= self.lastAssignmentPrice ] # sorted the contracts according to their expiration dates and choose the ATM options contracts = sorted(sorted(calls, key = lambda x: x.BidPrice, reverse=True), key = lambda x: x.Expiry) if len(contracts) == 0: continue self.call = contracts[0].Symbol # short the call options ticket = self.MarketOrder(self.call, -1, asynchronous = False) # set Take Profit order self.takeProfitTicket = self.LimitOrder(self.call, 1, round(ticket.AverageFillPrice * d.Decimal(0.5), 2)) def OnOrderEvent(self, orderEvent): self.Log(str(orderEvent)) def OnAssignmentOrderEvent(self, assignmentEvent): if self.isAssignment: self.lastAssignmentPrice = assignmentEvent.FillPrice if self.takeProfitTicket != None: self.takeProfitTicket.cancel(); self.takeProfitTicket = None def UniverseFunc(self, universe): return universe.IncludeWeeklys()\ .Strikes(-self._no_K, self._no_K)\ .Expiration(timedelta(self.MIN_EXPIRY), timedelta(self.MAX_EXPIRY)) def OnFrameworkData(self): return