| Overall Statistics |
|
Total Orders 4992 Average Win 0.00% Average Loss 0.00% Compounding Annual Return 379.738% Drawdown 5.400% Expectancy -0.117 Start Equity 2000000 End Equity 2151532.98 Net Profit 7.577% Sharpe Ratio 2.862 Sortino Ratio 3.765 Probabilistic Sharpe Ratio 60.044% Loss Rate 72% Win Rate 28% Profit-Loss Ratio 2.13 Alpha 1.629 Beta -1.574 Annual Standard Deviation 0.307 Annual Variance 0.094 Information Ratio 0.894 Tracking Error 0.449 Treynor Ratio -0.558 Total Fees $6985.38 Estimated Strategy Capacity $91000.00 Lowest Capacity Asset QQQ XUERCY3UAAUE|QQQ RIWIV7K5Z9LX Portfolio Turnover 964.76% |
from AlgorithmImports import * import pandas as pd import numpy as np class FormalAsparagusFrog(QCAlgorithm): def Initialize(self): self.SetStartDate(2021, 12, 1) self.SetEndDate(2021, 12, 17) self.SetCash(2000000) equity = self.AddEquity('QQQ', Resolution.Minute) option = self.AddOption('QQQ', Resolution.Minute) self.symbol = option.Symbol self.stock = equity.Symbol option.SetFilter(-30, 30, 0, 500) self.trade = True self.contract = None self.size = 203 self.sign = 1 # Buying ITM calls self.highest_pnl = 0 # Track the highest PnL def OnData(self, slice: Slice) -> None: if self.trade: chain = slice.OptionChains.get(self.symbol) if chain: # Select ITM calls (strike price lower than the underlying price) contract_list = [x for x in chain if x.Expiry == DateTime(2021, 12, 17) and x.Right == 0 and x.Strike < x.UnderlyingLastPrice] self.itm_call_strike = sorted(contract_list, key=lambda x: x.Strike, reverse=True)[0].Strike self.contract = [contract for contract in contract_list if contract.Strike == self.itm_call_strike][0] # Calculate historical volatility daily_returns = self.History(self.stock, 25, Resolution.Daily)['close'].pct_change()[1:] volatility = daily_returns.std() * 252**0.5 # Annualized volatility self.Log(volatility) self.Log(self.contract.ImpliedVolatility) # Trading decision based on volatility comparison if volatility > self.contract.ImpliedVolatility: self.sign = 1 # Buy ITM call else: self.sign = -1 # Sell ITM call # Check margin availability before placing trade margin_remaining = self.Portfolio.MarginRemaining required_margin = self.contract.LastPrice * self.size if margin_remaining > required_margin: self.trade = False self.size = self.size * self.sign self.MarketOrder(self.contract.Symbol, self.size) self.MarketOrder(self.stock, -100 * self.size * self.contract.Greeks.Delta) # Hedge by shorting stock self.Debug(f"Delta: {self.contract.Greeks.Delta}") self.previous = self.contract.Greeks.Delta else: chain = slice.OptionChains.get(self.symbol) if chain: contract_list = [x for x in chain if x.Expiry == DateTime(2021, 12, 17) and x.Right == 0 and x.Strike < x.UnderlyingLastPrice] self.itm_call_strike = sorted(contract_list, key=lambda x: x.Strike, reverse=True)[0].Strike self.contract = [contract for contract in contract_list if contract.Strike == self.itm_call_strike][0] self.MarketOrder(self.stock, -100 * self.size * (self.contract.Greeks.Delta - self.previous)) self.previous = self.contract.Greeks.Delta # Track highest PnL current_pnl = self.Portfolio.TotalProfit if current_pnl > self.highest_pnl: self.highest_pnl = current_pnl self.Debug(f"New highest PnL: {self.highest_pnl}")
