| Overall Statistics |
|
Total Trades 6 Average Win 0.22% Average Loss 0% Compounding Annual Return -1.015% Drawdown 10.500% Expectancy 0 Net Profit -1.274% Sharpe Ratio -0.078 Probabilistic Sharpe Ratio 7.301% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0 Beta 0.411 Annual Standard Deviation 0.064 Annual Variance 0.004 Information Ratio 0.079 Tracking Error 0.092 Treynor Ratio -0.012 Total Fees $3.00 Estimated Strategy Capacity $0 Lowest Capacity Asset SPY R735QTJ8XC9X |
#region imports
from AlgorithmImports import *
#endregion
class VirtualYellowGiraffe(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 4, 17)
#self.SetEndDate(2021, 2, 17)
self.SetCash(100000)
self.equity = self.AddEquity("SPY", Resolution.Minute)
self.symbol = self.equity.Symbol
self.InitOptionsAndGreeks(self.equity)
## Initialize Options settings, chain filters, pricing models, etc
## ====================================================================
def InitOptionsAndGreeks(self, theEquity ):
## 1. Specify the data normalization mode (must be 'Raw' for options)
theEquity.SetDataNormalizationMode(DataNormalizationMode.Raw)
## 2. Set Warmup period of at leasr 30 days
self.SetWarmup(30, Resolution.Daily)
## 3. Set the security initializer to call SetMarketPrice
self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))
## 4. Subscribe to the option feed for the symbol
theOptionSubscription = self.AddOption(theEquity.Symbol)
## 5. set the pricing model, to calculate Greeks and volatility
theOptionSubscription.PriceModel = OptionPriceModels.CrankNicolsonFD() # both European & American, automatically
## 6. Set the function to filter out strikes and expiry dates from the option chain
theOptionSubscription.SetFilter(self.OptionsFilterFunction)
def OnData(self, data):
## If we're done warming up, and not invested, Sell a put.
if (not self.IsWarmingUp) and (not self.Portfolio.Invested):
if data.Bars.ContainsKey(self.symbol):
self.SellAnOTMPut()
## Avoid Automatic Exercise or assignment seems like it might be that the option is exercised and then there is no chain
## Sell an OTM Put Option.
## Use Delta to select a put contract to sell
## ==================================================================
def SellAnOTMPut(self):
## Sell a 30 delta put expiring in 2 weeks (14 days)
putContract = self.SelectContractByDelta(self.equity.Symbol, .30, 10, OptionRight.Put)
## construct an order message -- good for debugging and order records
orderMessage = f"Stock @ ${self.CurrentSlice[self.equity.Symbol].Close} |" + \
f"Sell {putContract.Symbol} "+ \
f"({round(putContract.Greeks.Delta,2)} Delta)"
self.Debug(f"{self.Time} {orderMessage}")
self.Order(putContract.Symbol, -1, False, orderMessage )
## Get an options contract that matches the specified criteria:
## Underlying symbol, delta, days till expiration, Option right (put or call)
## ============================================================================
def SelectContractByDelta(self, symbolArg, strikeDeltaArg, expiryDTE, optionRightArg= OptionRight.Call):
canonicalSymbol = self.AddOption(symbolArg)
theOptionChain = self.CurrentSlice.OptionChains[canonicalSymbol.Symbol]
theExpiryDate = self.Time + timedelta(days=expiryDTE)
## Filter the Call/Put options contracts
filteredContracts = [x for x in theOptionChain if x.Right == optionRightArg]
## Sort the contracts according to their closeness to our desired expiry
contractsSortedByExpiration = sorted(filteredContracts, key=lambda p: abs(p.Expiry - theExpiryDate), reverse=False)
closestExpirationDate = contractsSortedByExpiration[0].Expiry
## Get all contracts for selected expiration
contractsMatchingExpiryDTE = [contract for contract in contractsSortedByExpiration if contract.Expiry == closestExpirationDate]
## Get the contract with the contract with the closest delta
closestContract = min(contractsMatchingExpiryDTE, key=lambda x: abs(abs(x.Greeks.Delta)-strikeDeltaArg))
return closestContract
## The options filter function.
## Filter the options chain so we only have relevant strikes & expiration dates.
## =============================================================================
def OptionsFilterFunction(self, optionsContractsChain):
strikeCount = 100 # no of strikes around underyling price => for universe selection
minExpiryDTE = 10 # min num of days to expiration => for uni selection
maxExpiryDTE = 40 # max num of days to expiration => for uni selection
return optionsContractsChain.IncludeWeeklys()\
.Strikes(-strikeCount, strikeCount)\
.Expiration(timedelta(minExpiryDTE), timedelta(maxExpiryDTE))
#region imports
from AlgorithmImports import *
#endregion
class VirtualYellowGiraffe(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 4, 17)
self.SetEndDate(2021, 2, 17)
self.SetCash(100000)
self.equity = self.AddEquity("SPY", Resolution.Minute)
self.InitOptionsAndGreeks(self.equity)
## Initialize Options settings, chain filters, pricing models, etc
## ====================================================================
def InitOptionsAndGreeks(self, theEquity ):
## 1. Specify the data normalization mode (must be 'Raw' for options)
theEquity.SetDataNormalizationMode(DataNormalizationMode.Raw)
## 2. Set Warmup period of at leasr 30 days
self.SetWarmup(30, Resolution.Daily)
## 3. Set the security initializer to call SetMarketPrice
self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))
## 4. Subscribe to the option feed for the symbol
theOptionSubscription = self.AddOption(theEquity.Symbol)
## 5. set the pricing model, to calculate Greeks and volatility
theOptionSubscription.PriceModel = OptionPriceModels.CrankNicolsonFD() # both European & American, automatically
## 6. Set the function to filter out strikes and expiry dates from the option chain
theOptionSubscription.SetFilter(self.OptionsFilterFunction)
def OnData(self, data):
## If we're done warming up, and not invested, Sell a put.
if (not self.IsWarmingUp) and (not self.Portfolio.Invested):
self.SellAnOTMPut()
## Sell an OTM Put Option.
## Use Delta to select a put contract to sell
## ==================================================================
def SellAnOTMPut(self):
## Sell a 20 delta put expiring in 2 weeks (14 days)
putContract = self.SelectContractByDelta(self.equity.Symbol, .30, 10, OptionRight.Put)
## construct an order message -- good for debugging and order rrecords
orderMessage = f"Stock @ ${self.CurrentSlice[self.equity.Symbol].Close} |" + \
f"Sell {putContract.Symbol} "+ \
f"({round(putContract.Greeks.Delta,2)} Delta)"
self.Debug(f"{self.Time} {orderMessage}")
self.Order(putContract.Symbol, -1, False, orderMessage )
## Get an options contract that matches the specified criteria:
## Underlying symbol, delta, days till expiration, Option right (put or call)
## ============================================================================
def SelectContractByDelta(self, symbolArg, strikeDeltaArg, expiryDTE, optionRightArg= OptionRight.Call):
canonicalSymbol = self.AddOption(symbolArg)
theOptionChain = self.CurrentSlice.OptionChains[canonicalSymbol.Symbol]
theExpiryDate = self.Time + timedelta(days=expiryDTE)
## Filter the Call/Put options contracts
filteredContracts = [x for x in theOptionChain if x.Right == optionRightArg]
## Sort the contracts according to their closeness to our desired expiry
contractsSortedByExpiration = sorted(filteredContracts, key=lambda p: abs(p.Expiry - theExpiryDate), reverse=False)
closestExpirationDate = contractsSortedByExpiration[0].Expiry
## Get all contracts for selected expiration
contractsMatchingExpiryDTE = [contract for contract in contractsSortedByExpiration if contract.Expiry == closestExpirationDate]
## Get the contract with the contract with the closest delta
closestContract = min(contractsMatchingExpiryDTE, key=lambda x: abs(abs(x.Greeks.Delta)-strikeDeltaArg))
return closestContract
## The options filter function.
## Filter the options chain so we only have relevant strikes & expiration dates.
## =============================================================================
def OptionsFilterFunction(self, optionsContractsChain):
strikeCount = 100 # no of strikes around underyling price => for universe selection
minExpiryDTE = 10 # min num of days to expiration => for uni selection
maxExpiryDTE = 40 # max num of days to expiration => for uni selection
return optionsContractsChain.IncludeWeeklys()\
.Strikes(-strikeCount, strikeCount)\
.Expiration(timedelta(minExpiryDTE), timedelta(maxExpiryDTE))