Overall Statistics |
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 2.751% Drawdown 0.100% Expectancy 0 Net Profit 0.058% Sharpe Ratio 5.584 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.014 Beta 0.041 Annual Standard Deviation 0.004 Annual Variance 0 Information Ratio -9.861 Tracking Error 0.083 Treynor Ratio 0.509 Total Fees $0.50 |
from datetime import timedelta class BullputSpreadAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 5, 1) self.SetEndDate(2017, 5, 8) self.SetCash(600000) equity = self.AddEquity("GOOG", Resolution.Minute) option = self.AddOption("GOOG", Resolution.Minute) self.symbol = option.Symbol # set our strike/expiry filter for this option chain option.SetFilter(-7, 7, timedelta(30), timedelta(60)) # 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) else: self.CheckProfit(self.put_low,self.put_high) 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 put options from the contracts expires on that date put = [i for i in chain if i.Expiry == expiry and i.Right == 1] # sorted the contracts according to their strike prices put_contracts = sorted(put,key = lambda x: x.Strike) if len(put_contracts) == 0: continue # put option contract with lower strike self.put_low = put_contracts[0] # put option contract with higher strike self.put_high = put_contracts[-1] self.Buy(self.put_low.Symbol, 1) self.Sell(self.put_high.Symbol ,1) def CheckProfit(self, buy, sell): ## buy.AskPrice is the filled price of the long order. Similarly sell.BidPrice is the filled price of the short order. ## Quantity for short order is negative. ## self.Securities[buy.UnderlyingSymbol].Price is the current underlying price. ## Options contracts are for 100 shares, so multiply by 100 ## and multiply the number of contracts that will be exercised profit = (-buy.AskPrice + max(buy.Strike - self.Securities[buy.UnderlyingSymbol].Price, 0)) * 100 * self.Portfolio[buy.Symbol].Quantity + \ (-sell.BidPrice + max(sell.Strike - self.Securities[sell.UnderlyingSymbol].Price, 0)) * 100 * self.Portfolio[sell.Symbol].Quantity self.Log(f'buy strike = {buy.Strike}, sell strike = {sell.Strike}, underlying price = {self.Securities[sell.UnderlyingSymbol].Price}') self.Log(f'profit = {profit}') def OnOrderEvent(self, orderEvent): self.Log(str(orderEvent))