Overall Statistics |
Total Trades 8 Average Win 0.11% Average Loss -0.35% Compounding Annual Return 0.440% Drawdown 0.300% Expectancy -0.340 Net Profit 0.072% Sharpe Ratio 0.485 Loss Rate 50% Win Rate 50% Profit-Loss Ratio 0.32 Alpha -0.014 Beta 1.043 Annual Standard Deviation 0.008 Annual Variance 0 Information Ratio -1.715 Tracking Error 0.008 Treynor Ratio 0.004 Total Fees $4.00 |
from datetime import timedelta class longButterflyExample(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 4, 1) self.SetEndDate(2017, 5, 30) self.SetCash(100000) equity = self.AddEquity("SPY", Resolution.Minute) option = self.AddOption("SPY", Resolution.Minute) self.symbol = option.Symbol # set our strike/expiry filter for this option chain option.SetFilter(-15, 15, timedelta(30), timedelta(60)) def OnData(self,slice): optionchain = slice.OptionChains for i in slice.OptionChains: if i.Key != self.symbol: continue chains = i.Value contract_list = [x for x in chains] # if there is no contracts in this optionchain, pass the instance if (slice.OptionChains.Count == 0) or (len(contract_list) == 0): return # if there is no securities in portfolio, trade the options if not self.Portfolio.Invested: self.TradeOptions(optionchain) def TradeOptions(self,optionchain): for i in optionchain: if i.Key != self.symbol: continue chain = i.Value # sorted the optionchain by expiration date and choose the furthest date expiry = sorted(chain,key = lambda x: x.Expiry, reverse=True)[0].Expiry # filter the call options from the contracts expires on that date call = [i for i in chain if i.Expiry == expiry and i.Right == 0] # sorted the contracts according to their strike prices call_contracts = sorted(call,key = lambda x: x.Strike) if len(call_contracts) == 0: continue # choose the deep OTM call option self.call = call_contracts[-1] # select the put options which have the same expiration date with the call option # sort the put options by strike price put_contracts = sorted([i for i in chain if i.Expiry == expiry and i.Right == 1], key = lambda x: x.Strike) # choose the deep OTM put option self.put = put_contracts[0] # Sell OTM Call and OTM Put self.Sell(self.call.Symbol ,1) self.Sell(self.put.Symbol ,1) # Locate ATM contracts # Put put = [i for i in chain if i.Right == OptionRight.Put] putContracts = sorted(sorted(put, key=lambda x: x.Expiry, reverse=False), key=lambda x: abs(x.UnderlyingLastPrice - x.Strike)) self.atmPut = putContracts[0] # Call call = [i for i in chain if i.Right == OptionRight.Call] callContracts = sorted(sorted(call, key=lambda x: x.Expiry, reverse=False), key=lambda x: abs(x.UnderlyingLastPrice - x.Strike)) self.atmCall = callContracts[0] # Buy ATM Call contract and ATM Put contract self.Buy(self.atmCall.Symbol ,1) self.Buy(self.atmPut.Symbol ,1) def OnOrderEvent(self, orderEvent): self.Log(str(orderEvent))