Overall Statistics |
Total Trades 4 Average Win 0% Average Loss 0% Compounding Annual Return -0.683% Drawdown 0.100% Expectancy 0 Net Profit -0.048% Sharpe Ratio -2.868 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.006 Beta 0 Annual Standard Deviation 0.002 Annual Variance 0 Information Ratio -0.527 Tracking Error 0.051 Treynor Ratio -30.337 Total Fees $1.00 |
from datetime import timedelta class BasicTemplateOptionsAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 01, 07) self.SetEndDate(2017, 02, 01) self.SetCash(100000) self.symbol = "SPY" equity = self.AddEquity(self.symbol, Resolution.Minute) option = self.AddOption(self.symbol, Resolution.Minute) option.SetFilter(-20, 20, timedelta(30), timedelta(60)) # use the underlying equity as the benchmark self.SetBenchmark(equity.Symbol) def OnData(self, slice): self.TradeOptions(slice) def TradeOptions(self, slice): if not self.Portfolio.Invested and self.Time.hour != 0 and self.Time.minute != 0: shortDelta = .3 longDelta = .05 contracts = 1 shortCall = None longCall = None shortPut = None longPut = None for i in slice.OptionChains: chain = i.Value contract_list = [x for x in chain] # if there is no optionchain or no contracts in this optionchain, pass the instance if (slice.OptionChains.Count == 0) or (len(contract_list) == 0): return # sorted optionchain by expiration date and choose the furthest date expiry = sorted(chain, key = lambda x: x.Expiry)[-1].Expiry # filter call and put options from the contracts call = [i for i in chain if i.Right == 0 and i.Expiry == expiry] put = [i for i in chain if i.Right == 1 and i.Expiry == expiry] # sort calls by strike prices in ascending order call_contracts = sorted(call, key = lambda x: x.Strike) # sort puts by strike prices in descending order put_contracts = sorted(put, key = lambda x: x.Strike, reverse=True) if len(call_contracts) == 0 or len(put_contracts) == 0 : continue # loop from low strike to high for call in call_contracts: self.Log("call=" + str(call.Greeks.Delta)) if((shortCall is None) and (call.Greeks.Delta <= shortDelta)): shortCall = call elif((longCall is None) and (call.Greeks.Delta <= longDelta)): longCall = call break # stop for loop # loop from high strike to low for put in put_contracts: self.Log("put=" + str(put.Greeks.Delta)) if((shortPut is None) and (put.Greeks.Delta >= -shortDelta)): shortPut = put elif((longPut is None) and (put.Greeks.Delta >= -longDelta)): longPut = put break # stop for loop self.Log(str(longCall.Greeks.Delta)) self.Log(str(shortCall.Greeks.Delta)) self.Log(str(shortPut.Greeks.Delta)) self.Log(str(longPut.Greeks.Delta)) if((longCall is not None) and (shortCall is not None) and (longPut is not None) and (shortPut is not None)): break self.Log(str(longCall.Greeks.Delta)) self.Log(str(shortCall.Greeks.Delta)) self.Log(str(shortPut.Greeks.Delta)) self.Log(str(longPut.Greeks.Delta)) if((longCall is None) or (shortCall is None) or (longPut is None) or (shortPut is None)): return # trade the options self.Buy(longCall.Symbol, contracts) self.Sell(shortCall.Symbol, contracts) self.Sell(shortPut.Symbol, contracts) self.Buy(longPut.Symbol, contracts)