Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# region imports
from AlgorithmImports import *
# endregion

class HyperActiveYellowGreenPig(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 5, 6)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        option = self.AddOption("SPY")
        self.symbol = option.Symbol
        option.SetFilter(minStrike=-3, maxStrike=3)

    def OnData(self, data: Slice):
        chain = data.OptionChains.get(self.symbol)
        if chain:
            contracts = [contract for contract in chain if contract.LastPrice > 1]
            self.Quit(f"Price: {contracts[0].LastPrice}")