Overall Statistics
Total Trades
53
Average Win
1.07%
Average Loss
-2.66%
Compounding Annual Return
14.424%
Drawdown
4.000%
Expectancy
0.140
Net Profit
14.410%
Sharpe Ratio
2.019
Probabilistic Sharpe Ratio
79.713%
Loss Rate
19%
Win Rate
81%
Profit-Loss Ratio
0.40
Alpha
-0.013
Beta
0.501
Annual Standard Deviation
0.069
Annual Variance
0.005
Information Ratio
-2.392
Tracking Error
0.069
Treynor Ratio
0.279
Total Fees
$40.00
# 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 datetime import timedelta
class CoveredCallAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 1, 1)
        self.SetEndDate(2019, 12, 31)
        self.SetCash(25000)
        equity = self.AddEquity("SPY", Resolution.Minute)
        option = self.AddOption("SPY", Resolution.Minute)
        self.symbol = option.Symbol

        # set strike/expiry filter for this option chain
        option.SetFilter(0, +3, timedelta(0), timedelta(30))
        # use the underlying equity as the benchmark
        self.SetBenchmark(equity.Symbol)
        # self.Schedule.On(DateRules.EveryDay("SPY"), TimeRules.AfterMarketOpen("SPY", 10) , self.EveryDayAfterMarketOpens)
 
        
    def OnData(self,slice):
        if not self.Portfolio["SPY"].Invested:
            # self.Log("Cash Balance before SPY purchase :" + str(self.Portfolio.Cash))
            self.MarketOrder("SPY",100)     # buy 100 shares of underlying stocks
            # self.Log("Cash Balance after SPY :" + str(self.Portfolio.Cash))
        
        option_invested = [x.Key for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Option]
        if len(option_invested) < 1:
            self.TradeOptions(slice)
            
    # def EveryDayAfterMarketOpens(self,slice):
    #     if not self.Portfolio["SPY"].Invested:
    #         self.MarketOrder("SPY",100)     # buy 100 shares of underlying stocks
        
    #     option_invested = [x.Key for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Option]
    #     if len(option_invested) < 1:
    #         self.TradeOptions(slice) 
 
    def TradeOptions(self,slice):
        for i in slice.OptionChains:
            if i.Key != self.symbol: continue
            # self.Log(str(i.Value.))
            chain = i.Value
            # filter the call options contracts
            call = [x for x in chain if x.Right == OptionRight.Call] 
            # self.Log(str(len(call)))
            # sorted the contracts according to their expiration dates and choose the ATM options
            contracts = sorted(sorted(call, key = lambda x: abs(chain.Underlying.Price - x.Strike)), 
                                            key = lambda x: x.Expiry, reverse=True)
            if len(contracts) == 0: return 
            # self.Log(contracts[0].Symbol)
            self.call = contracts[0].Symbol
            # short the call options
            self.DefaultOrderProperties.TimeInForce = TimeInForce.Day
            orderTicket = self.MarketOrder(self.call, -1, False)
            # self.Log("Cash Balance after Selling Call option for SPY :" + str(self.Portfolio.Cash))
            # Buy Back the call option if falls in value
            self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled
            self.LimitOrder(self.call, 1, orderTicket.AverageFillPrice * .1)
    
    def OnOrderEvent(self, orderEvent):
        self.Log(str(orderEvent))
        self.Log("Cash Balance :" + str(self.Portfolio.Cash))