| Overall Statistics |
|
Total Trades 6 Average Win 0.01% Average Loss 0% Compounding Annual Return 0.124% Drawdown 0.000% Expectancy 0 Net Profit 0.016% Sharpe Ratio 1.293 Probabilistic Sharpe Ratio 55.301% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.001 Beta 0.002 Annual Standard Deviation 0.001 Annual Variance 0 Information Ratio 1.274 Tracking Error 0.141 Treynor Ratio 0.365 Total Fees $4.00 Estimated Strategy Capacity $53000.00 Lowest Capacity Asset PG XVD8063FCS9Y|PG R735QTJ8XC9X |
#region imports
from AlgorithmImports import *
#endregion
from datetime import timedelta
class LongStrangleAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2022, 1, 1)
self.SetEndDate(2022, 2, 15)
self.SetCash(100000)
equity = self.AddEquity("PG", Resolution.Minute)
option = self.AddOption("PG", Resolution.Minute)
self.symbol = option.Symbol
# set our strike/expiry filter for this option chain
option.SetFilter(-15, 15, timedelta(0), timedelta(7))
# use the underlying equity GOOG as the benchmark
self.SetBenchmark(equity.Symbol)
def OnData(self,slice):
optionchain = slice.OptionChains
for i in slice.OptionChains:
if i.Key != self.symbol: continue
chains = i.Value
contract_list = [x for x in chains]
# if there is no contracts in this optionchain, pass the instance
if (slice.OptionChains.Count == 0) or (len(contract_list) == 0): return
# if there is no securities in portfolio, trade the options
if not self.Portfolio.Invested:
self.TradeOptions(optionchain)
def TradeOptions(self,optionchain):
for i in optionchain:
if i.Key != self.symbol: continue
chain = i.Value
# sorted the optionchain by expiration date and choose the furthest date
expiry = sorted(chain,key = lambda x: x.Expiry, reverse=True)[0].Expiry
# filter the call options from the contracts expires on that date
call = [i for i in chain if i.Expiry == expiry and i.Right == 0]
# sorted the contracts according to their strike prices
call_contracts = sorted(call,key = lambda x: x.Strike)
if len(call_contracts) == 0: continue
# choose the deep OTM call option
self.call = call_contracts[-1]
# select the put options which have the same expiration date with the call option
# sort the put options by strike price
put_contracts = sorted([i for i in chain if i.Expiry == expiry and i.Right == 1], key = lambda x: x.Strike)
# choose the deep OTM put option
self.put = put_contracts[0]
self.Sell(self.call.Symbol ,1)
self.Sell(self.put.Symbol ,1)
def OnOrderEvent(self, orderEvent):
self.Log(str(orderEvent))