Overall Statistics |
Total Trades 3 Average Win 0% Average Loss 0% Compounding Annual Return -3.898% Drawdown 0.400% Expectancy 0 Net Profit -0.259% Sharpe Ratio -3.384 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.047 Beta 1.127 Annual Standard Deviation 0.009 Annual Variance 0 Information Ratio -5.106 Tracking Error 0.009 Treynor Ratio -0.026 Total Fees $0.75 |
from datetime import timedelta class BasicTemplateOptionsAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2018, 10, 1) self.SetEndDate(2018, 10, 24) self.SetCash(100000) self.symbols = [] for ticker in ["IBM", "AAPL", "EBAY"]: option = self.AddOption(ticker) self.symbols.append(option.Symbol) option.SetFilter(-3, +3, timedelta(0), timedelta(180)) def OnData(self,slice): #if self.Portfolio.Invested: return for symbol in self.symbols: for kvp in slice.OptionChains: if kvp.Key == symbol: chain = kvp.Value for x in chain: if x.Right == 0: self.Log(str(x.Symbol.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 self.Portfolio[symbol].Invested: return self.MarketOrder(symbol, 1)