Overall Statistics |
Total Trades 24 Average Win 1.45% Average Loss -0.55% Compounding Annual Return -26.507% Drawdown 23.600% Expectancy -0.155 Net Profit -9.906% Sharpe Ratio -0.305 Loss Rate 77% Win Rate 23% Profit-Loss Ratio 2.66 Alpha 0.341 Beta -26.954 Annual Standard Deviation 0.511 Annual Variance 0.261 Information Ratio -0.341 Tracking Error 0.511 Treynor Ratio 0.006 Total Fees $6.50 |
using System.Drawing; using System.Threading; using System.Threading.Tasks; // Long Strangle - buy 1 ATM Call and 1 ATM Put with the same expiration date // and on the same distance from the underlying price namespace QuantConnect { public partial class LongStrangle : QCAlgorithm { string iSymbol = "MSFT"; DateTime iTime; public override void Initialize() { SetCash(10000); SetStartDate(2018, 1, 1); SetEndDate(DateTime.Now.Date); SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage); AddEquity(iSymbol, Resolution.Minute); } public void OnData(TradeBars data) { if (IsMarketOpen(iSymbol) == false) { return; } if (IsNewBar(TimeSpan.FromHours(1)) == false) { return; } var price = Securities[iSymbol].Price; // If options were exercised and we were assigned to buy shares, sell them immediately if (Portfolio[iSymbol].Invested) { MarketOrder(iSymbol, -100); } if (Portfolio.Invested == false) { var contracts = OptionChainProvider.GetOptionContractList(iSymbol, Time); // Choose all contracts within a month and strike price $1 to $5 from current underlying price var atmCalls = from c in contracts where c.ID.OptionRight == OptionRight.Call where c.ID.StrikePrice - price < 5 && c.ID.StrikePrice - price > 1 where (c.ID.Date - Time).TotalDays < 35 && (c.ID.Date - Time).TotalDays > 0 select c; var atmPuts = from c in contracts where c.ID.OptionRight == OptionRight.Put where price - c.ID.StrikePrice < 5 && price - c.ID.StrikePrice > 1 where (c.ID.Date - Time).TotalDays < 35 && (c.ID.Date - Time).TotalDays > 0 select c; // Take options with the MIN expiration date and MAX distance from underlying price var contractCall = atmCalls .OrderBy(o => o.ID.Date) .ThenBy(o => o.ID.StrikePrice - price) .FirstOrDefault(); var contractPut = atmPuts .OrderBy(o => o.ID.Date) .ThenBy(o => price - o.ID.StrikePrice) .FirstOrDefault(); // If we found such options - buy 1 ATM Call and 1 ATM Put if (contractCall != null && contractPut != null) { AddOptionContract(contractCall, Resolution.Minute); AddOptionContract(contractPut, Resolution.Minute); MarketOrder(contractPut, 1); MarketOrder(contractCall, 1); } } } public bool IsNewBar(TimeSpan interval, int points = 1) { var date = Securities[iSymbol].LocalTime; if ((date - iTime).TotalSeconds > interval.TotalSeconds * points) { iTime = new DateTime(date.Ticks - date.Ticks % interval.Ticks, date.Kind); return true; } return false; } } }