Overall Statistics |
Total Trades 26 Average Win 0.40% Average Loss -0.48% Compounding Annual Return -4.343% Drawdown 1.900% Expectancy -0.213 Net Profit -1.493% Sharpe Ratio -1.55 Loss Rate 57% Win Rate 43% Profit-Loss Ratio 0.84 Alpha 0.03 Beta -3.86 Annual Standard Deviation 0.026 Annual Variance 0.001 Information Ratio -2.244 Tracking Error 0.026 Treynor Ratio 0.01 Total Fees $5.00 |
using System.Drawing; using System.Threading; using System.Threading.Tasks; // Bull Put Spread - sell 1 Put below the underlying price (ATM) to get premium // and buy 1 Put lower (OTM) to protect ourselves from market move against us namespace QuantConnect { public partial class BullPutSpread : 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 atmPuts = from c in contracts where c.ID.OptionRight == OptionRight.Put where price - c.ID.StrikePrice < 3 && price - c.ID.StrikePrice > 1 where (c.ID.Date - Time).TotalDays < 35 && (c.ID.Date - Time).TotalDays > 0 select c; // Choose all contracts within a month and strike price $1 to $5 from current underlying price var otmPuts = from c in contracts where c.ID.OptionRight == OptionRight.Put where price - c.ID.StrikePrice < 7 && price - c.ID.StrikePrice > 5 where (c.ID.Date - Time).TotalDays < 35 && (c.ID.Date - Time).TotalDays > 0 select c; // Take ATM options with the MIN expiration date and MAX distance from underlying price var contractAtmPut = atmPuts .OrderBy(o => o.ID.Date) .ThenBy(o => price - o.ID.StrikePrice) .FirstOrDefault(); // Take OTM options with the MIN expiration date and MAX distance from underlying price var contractOtmPut = otmPuts .OrderBy(o => o.ID.Date) .ThenBy(o => price - o.ID.StrikePrice) .FirstOrDefault(); // If we found such options - open trade if (contractAtmPut != null && contractOtmPut != null) { AddOptionContract(contractAtmPut, Resolution.Minute); AddOptionContract(contractOtmPut, Resolution.Minute); MarketOrder(contractAtmPut, -1); MarketOrder(contractOtmPut, 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; } } }