Overall Statistics |
Total Trades 3 Average Win 0% Average Loss 0% Compounding Annual Return -12.384% Drawdown 0.400% Expectancy 0 Net Profit -0.139% Sharpe Ratio -8.092 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.257 Beta 12.303 Annual Standard Deviation 0.011 Annual Variance 0 Information Ratio -9.887 Tracking Error 0.01 Treynor Ratio -0.007 Total Fees $0.75 |
from datetime import timedelta class BasicTemplateOptionsAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 12, 1) self.SetEndDate(2017, 12, 4) self.SetCash(100000) self.symbols = [] for ticker in ["IBM", "AAPL", "EBAY"]: option = self.AddOption(ticker) self.symbols.append(option.Symbol) option.SetFilter(-2, +2, timedelta(0), timedelta(60)) def OnData(self,slice): option_invested = [x.Key for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Option] for symbol in self.symbols: invested = [option for option in option_invested if option.Underlying == symbol.Underlying] if len(invested) > 0: return for kvp in slice.OptionChains: if kvp.Key == symbol: chain = kvp.Value # we sort the contracts to find at the money (ATM) contract with farthest expiration contracts = sorted(sorted(sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike)), key = lambda x: x.Expiry, reverse=True), key = lambda x: x.Right, reverse=True) # if found, trade it if len(contracts) == 0: continue symbol = contracts[0].Symbol if not self.Portfolio[symbol].Invested: self.MarketOrder(symbol, 1)