Overall Statistics |
Total Trades 4 Average Win 0% Average Loss 0% Compounding Annual Return -0.598% Drawdown 0.100% Expectancy 0 Net Profit -0.047% Sharpe Ratio -8.929 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta -0.009 Annual Standard Deviation 0.001 Annual Variance 0 Information Ratio -9.31 Tracking Error 0.057 Treynor Ratio 0.548 Total Fees $4.00 |
from datetime import timedelta class IronCondorAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 2, 1) self.SetEndDate(2017, 3, 1) self.SetCash(500000) equity = self.AddEquity("SPY", Resolution.Minute) option = self.AddOption("SPY", Resolution.Minute) self.symbol = option.Symbol option.SetFilter(self.UniverseFunc) # use the underlying equity GOOG as the benchmark self.SetBenchmark(equity.Symbol) def OnData(self,slice): self.TradeOptions(slice) def TradeOptions(self,slice): # If there is undelying assets in portfolio at expiration, liquidate the stocks in order to roll into new contracts if self.Portfolio["SPY"].Quantity != 0: self.Liquidate() if not self.Portfolio.Invested and self.Time.hour != 0 and self.Time.minute != 0: for i in slice.OptionChains: chain = i.Value contract_list = [x for x in chain] # if there is no optionchain or no contracts in this optionchain, pass the instance if (slice.OptionChains.Count == 0) or (len(contract_list) == 0): return # sorted the optionchain by expiration date and choose the furthest date expiry = sorted(chain,key = lambda x: x.Expiry)[-1].Expiry # filter the call and put options from the contracts call = [i for i in chain if i.Expiry == expiry and i.Right == 0] put = [i for i in chain if i.Expiry == expiry and i.Right == 1] # sorted the contracts according to their strike prices call_contracts = sorted(call,key = lambda x: x.Strike) put_contracts = sorted(put,key = lambda x: x.Strike) if len(call_contracts) == 0 or len(put_contracts) == 0 : continue otm_put_lower = put_contracts[0] otm_put = put_contracts[10] otm_call = call_contracts[-10] otm_call_higher = call_contracts[-1] self.trade_contracts = [otm_call.Symbol,otm_call_higher.Symbol,otm_put.Symbol,otm_put_lower.Symbol] # if there is no securities in portfolio, trade the options self.Buy(otm_put_lower.Symbol ,1) self.Sell(otm_put.Symbol ,1) self.Sell(otm_call.Symbol ,1) self.Buy(otm_call_higher.Symbol ,1) def OnOrderEvent(self, orderEvent): self.Log(str(orderEvent)) def UniverseFunc(self, universe): return universe.IncludeWeeklys().Strikes(-15, 15).Expiration(timedelta(0), timedelta(40))