Overall Statistics |
Total Trades 44 Average Win 0.44% Average Loss -0.55% Compounding Annual Return -23.171% Drawdown 23.300% Expectancy 0.024 Net Profit -8.541% Sharpe Ratio -0.237 Loss Rate 43% Win Rate 57% Profit-Loss Ratio 0.81 Alpha 0.421 Beta -29.275 Annual Standard Deviation 0.502 Annual Variance 0.252 Information Ratio -0.274 Tracking Error 0.502 Treynor Ratio 0.004 Total Fees $9.00 |
using System.Drawing; using System.Threading; using System.Threading.Tasks; // Long Condor - the same as Long Strangle but with limited profit and higher probability of success // buy 1 ATM Call and 1 ATM Put with the same expiration date // and on the same distance from the underlying price // then sell 1 OTM Call and 1 OTM Put to get some premium and compensate initial commission namespace QuantConnect { public partial class LongCondor : 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 < 3 && 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 < 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 otmCalls = from c in contracts where c.ID.OptionRight == OptionRight.Call where c.ID.StrikePrice - price < 7 && c.ID.StrikePrice - price > 5 where (c.ID.Date - Time).TotalDays < 35 && (c.ID.Date - Time).TotalDays > 0 select c; 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 contractAtmCall = atmCalls .OrderBy(o => o.ID.Date) .ThenBy(o => o.ID.StrikePrice - price) .FirstOrDefault(); 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 contractOtmCall = otmCalls .OrderBy(o => o.ID.Date) .ThenBy(o => o.ID.StrikePrice - price) .FirstOrDefault(); var contractOtmPut = otmPuts .OrderBy(o => o.ID.Date) .ThenBy(o => price - o.ID.StrikePrice) .FirstOrDefault(); // If we found such options - open trade if (contractAtmCall != null && contractAtmPut != null && contractOtmCall != null && contractOtmPut != null) { AddOptionContract(contractAtmCall, Resolution.Minute); AddOptionContract(contractAtmPut, Resolution.Minute); AddOptionContract(contractOtmCall, Resolution.Minute); AddOptionContract(contractOtmPut, Resolution.Minute); MarketOrder(contractAtmCall, 1); MarketOrder(contractAtmPut, 1); MarketOrder(contractOtmCall, -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; } } }