Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 3.199% Drawdown 5.300% Expectancy 0 Net Profit 6.798% Sharpe Ratio 0.498 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.003 Beta 0.298 Annual Standard Deviation 0.055 Annual Variance 0.003 Information Ratio -0.59 Tracking Error 0.126 Treynor Ratio 0.092 Total Fees $3.00 |
from datetime import timedelta class CoveredCallOptionsAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2011, 01, 01) self.SetEndDate(2017, 02, 01) self.SetCash(100000) self.AddEquity("SPY", Resolution.Daily) equity = self.AddEquity("QQQ", Resolution.Minute) self.underlyingsymbol = equity.Symbol # use the underlying equity as the benchmark self.SetBenchmark(equity.Symbol) self.call = "QQQ" # Initialize the call contract self.rebalance = False; # schedule an event to fire at the beginning of the month, the symbol is optional # if specified, it will fire the first trading day for that symbol of the month, # if not specified it will fire on the first day of the month self.Schedule.On(self.DateRules.MonthStart("SPY"), self.TimeRules.AfterMarketOpen("SPY"), Action(self.Rebalance)) def OnData(self,slice): if not self.rebalance: return self.rebalance = False self.Log("rebalance=true") contracts = self.OptionChainProvider.GetOptionContractList(self.underlyingsymbol, self.Time.date()) if len(contracts) == 0: return filtered_contracts = self.InitialFilter(self.underlyingsymbol, contracts, -3, 3, 0, 30) call = [x for x in filtered_contracts if x.ID.OptionRight == 0] # sorted the contracts according to their expiration dates and choose the ATM options contracts = sorted(sorted(call, key = lambda x: abs(self.Securities["QQQ"].Price- x.ID.StrikePrice)), key = lambda x: x.ID.Date, reverse=True) self.call = contracts[0] #numberOfShares = self.Portfolio.Cash / self.Securities["QQQ"].Price #numberOfOptions = ( 100 % numberOfShares) #numberOfShares = numberOfOptions * 100 self.AddOptionContract(self.call, Resolution.Minute) self.Sell(self.call, 6) # short the call options if self.Portfolio["QQQ"].Quantity == 0: # self.Log("numberOfShares: " + str(numberOfShares) +" : "+ str(numberOfOptions)) self.Buy("QQQ",600) # buy 100 the underlying stock # self.Log("The stock price at time 0 S(0): {0}".format(self.Securities["QQQ"].Price)) #if not self.Portfolio[self.call].Invested and self.Time.hour != 0 and self.Time.minute == 1: # self.Log("OnData(self,slice)") # if the option contract expires, print out the price and position information #if slice.Delistings.Count > 0: # if [x.Key == self.call for x in slice.Delistings]: # self.Log("stock QQQ quantity: {0}".format(self.Portfolio["QQQ"].Quantity)) # self.Log("{0} quantity: {1}".format(self.call.Value, self.Portfolio[self.call].Quantity)) # self.Log("The stock price at Expiry S(T): {}".format(self.Securities["QQQ"].Price)) def Rebalance(self): self.rebalance = True; def InitialFilter(self, underlyingsymbol, symbol_list, min_strike_rank, max_strike_rank, min_expiry, max_expiry): ''' This method is an initial filter of option contracts according to the range of strike price and the expiration date ''' if len(symbol_list) == 0 : return # fitler the contracts based on the expiry range contract_list = [i for i in symbol_list if min_expiry < (i.ID.Date.date() - self.Time.date()).days < max_expiry] # find the strike price of ATM option atm_strike = sorted(contract_list, key = lambda x: abs(x.ID.StrikePrice - self.Securities[underlyingsymbol].Price))[0].ID.StrikePrice strike_list = sorted(set([i.ID.StrikePrice for i in contract_list])) # find the index of ATM strike in the sorted strike list atm_strike_rank = strike_list.index(atm_strike) try: min_strike = strike_list[atm_strike_rank + min_strike_rank] max_strike = strike_list[atm_strike_rank + max_strike_rank] except: min_strike = strike_list[0] max_strike = strike_list[-1] filtered_contracts = [i for i in contract_list if i.ID.StrikePrice >= min_strike and i.ID.StrikePrice <= max_strike] return filtered_contracts