Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -61.557% Drawdown 0.800% Expectancy 0 Net Profit -0.696% Sharpe Ratio -7.483 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.393 Beta -4.105 Annual Standard Deviation 0.078 Annual Variance 0.006 Information Ratio -8.467 Tracking Error 0.097 Treynor Ratio 0.142 Total Fees $1.00 Estimated Strategy Capacity $460000.00 Lowest Capacity Asset GOOCV WMDHMHJR5012|GOOCV VP83T1ZUHROL |
from QuantConnect.Securities.Option import OptionPriceModels from datetime import timedelta class OptionsAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 7, 1) self.SetEndDate(2017, 7, 3) self.SetCash(100000) option = self.AddOption("GOOG") option.SetFilter(-10, +10, timedelta(0), timedelta(30)) option.PriceModel = OptionPriceModels.CrankNicolsonFD() self.SetWarmUp(TimeSpan.FromDays(7)) def OnData(self,slice): if self.Portfolio.Invested: return for kvp in self.CurrentSlice.OptionChains: chain = kvp.Value contracts = [i for i in chain] if len(contracts) == 0: continue self.Log("Delta: " + str([i.Greeks.Delta for i in contracts])) self.Log("Vega: " + str([i.Greeks.Vega for i in contracts])) self.Log("Gamma: " + str([i.Greeks.Gamma for i in contracts])) self.MarketOrder(contracts[0].Symbol, 1)