Overall Statistics |
Total Trades 57 Average Win 1.58% Average Loss -5.09% Compounding Annual Return 6.469% Drawdown 13.000% Expectancy 0.065 Net Profit 20.724% Sharpe Ratio 0.686 Loss Rate 19% Win Rate 81% Profit-Loss Ratio 0.31 Alpha 0.067 Beta 0.425 Annual Standard Deviation 0.095 Annual Variance 0.009 Information Ratio 0.567 Tracking Error 0.12 Treynor Ratio 0.154 Total Fees $16.00 |
from datetime import timedelta class OptionsAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2014, 11, 1) self.SetEndDate(2017, 11, 1) self.SetCash(20000) self.syl = 'IBM' equity = self.AddEquity(self.syl, Resolution.Minute) equity.SetDataNormalizationMode(DataNormalizationMode.Raw) self.macd = self.MACD(self.syl, 12, 26, 9, MovingAverageType.Exponential, Resolution.Daily) self.underlyingsymbol = equity.Symbol # use the underlying equity as the benchmark self.SetBenchmark(equity.Symbol) def OnData(self,slice): if self.macd.IsReady: if self.Portfolio[self.syl].Quantity == 0 and self.macd.Current.Value > self.macd.Signal.Current.Value: self.Buy(self.syl,100) # # <1> if there is a MACD short signal, liquidate the stock # elif self.Portfolio[self.syl].Quantity > 0 and self.macd.Current.Value < self.macd.Signal.Current.Value: # self.Liquidate() # # <2> if today's close < lowest close of last 30 days, liquidate the stock # history = self.History([self.syl], 30, Resolution.Daily).loc[self.syl]['close'] # self.Plot('Stock Plot','stop loss frontier', min(history)) # if self.Portfolio[self.syl].Quantity > 0: # if self.Securities[self.syl].Price < min(history): # self.Liquidate() # <3> if there is a MACD short signal, trade the options elif self.Portfolio[self.syl].Quantity > 0 and self.macd.Current.Value < self.macd.Signal.Current.Value: try: if self.Portfolio[self.syl].Invested and not self.Portfolio[self.contract].Invested \ and self.Time.hour != 0 and self.Time.minute == 1: self.SellCall() except: if self.Portfolio[self.syl].Invested and self.Time.hour != 0 and self.Time.minute == 1: self.SellCall() def BuyPut(self): contracts = self.OptionChainProvider.GetOptionContractList(self.underlyingsymbol, self.Time.date()) if len(contracts) == 0: return filtered_contracts = self.InitialFilter(self.underlyingsymbol, contracts, -3, 3, 0, 30) put = [x for x in filtered_contracts if x.ID.OptionRight == 1] # sorted the contracts according to their expiration dates and choose the ATM options contracts = sorted(sorted(put, key = lambda x: abs(self.Securities[self.syl].Price - x.ID.StrikePrice)), key = lambda x: x.ID.Date, reverse=True) self.contract = contracts[0] self.AddOptionContract(self.contract, Resolution.Minute) self.Buy(self.contract, 1) def SellCall(self): contracts = self.OptionChainProvider.GetOptionContractList(self.underlyingsymbol, self.Time.date()) if len(contracts) == 0: return filtered_contracts = self.InitialFilter(self.underlyingsymbol, contracts, -3, 3, 0, 30) put = [x for x in filtered_contracts if x.ID.OptionRight == 0] # sorted the contracts according to their expiration dates and choose the ATM options contracts = sorted(sorted(put, key = lambda x: abs(self.Securities[self.syl].Price - x.ID.StrikePrice)), key = lambda x: x.ID.Date, reverse=True) self.contract = contracts[0] self.AddOptionContract(self.contract, Resolution.Minute) self.Sell(self.contract, 1) def InitialFilter(self, underlyingsymbol, symbol_list, min_strike_rank, max_strike_rank, min_expiry, max_expiry): ''' This method is an initial filter of option contracts according to the range of strike price and the expiration date ''' if len(symbol_list) == 0 : return # fitler the contracts based on the expiry range contract_list = [i for i in symbol_list if min_expiry < (i.ID.Date.date() - self.Time.date()).days < max_expiry] # find the strike price of ATM option atm_strike = sorted(contract_list, key = lambda x: abs(x.ID.StrikePrice - self.Securities[underlyingsymbol].Price))[0].ID.StrikePrice strike_list = sorted(set([i.ID.StrikePrice for i in contract_list])) # find the index of ATM strike in the sorted strike list atm_strike_rank = strike_list.index(atm_strike) try: min_strike = strike_list[atm_strike_rank + min_strike_rank] max_strike = strike_list[atm_strike_rank + max_strike_rank] except: min_strike = strike_list[0] max_strike = strike_list[-1] filtered_contracts = [i for i in contract_list if i.ID.StrikePrice >= min_strike and i.ID.StrikePrice <= max_strike] return filtered_contracts