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
-10.3
Tracking Error
0.128
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
import datetime as dt

class EnergeticYellowGreenHippopotamus(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 12, 17)  # Set Start Date
        self.SetStartDate(2021, 12, 17)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        tickers = ['SPY','QQQ']
        for ticker in tickers:
            
            self.AddEquity(ticker, Resolution.Minute)
            
            self.option = self.AddOption(ticker, Resolution.Minute)
            self.optionSymbol = self.option.Symbol
            self.option.SetFilter(self.UniverseFuncForLive)

        # self.AddEquity("SPY", Resolution.Minute)


    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''

        optionChains = [x for x in data.OptionChains]
        self.Log(f'Number of Total OptionChains: {len(optionChains)}')
        for i in optionChains:
            sym = i.Key
            chain = i.Value
            self.Log(f'Expiries for {sym} in algo: {set([x.Expiry for x in chain])}')

            
        # if not self.Portfolio.Invested:
        #    self.SetHoldings("SPY", 1)
        
    def UniverseFuncForLive(self, universe):
       # include weekly contracts
       return universe.IncludeWeeklys().Expiration(dt.timedelta(-1),
                                                   dt.timedelta(5)).Strikes(-2,2)