| Overall Statistics |
|
Total Trades 31 Average Win 0.66% Average Loss -0.77% Compounding Annual Return 3.689% Drawdown 4.100% Expectancy 0.342 Net Profit 7.531% Sharpe Ratio 1.294 Probabilistic Sharpe Ratio 64.720% Loss Rate 28% Win Rate 72% Profit-Loss Ratio 0.86 Alpha 0.008 Beta 0.201 Annual Standard Deviation 0.028 Annual Variance 0.001 Information Ratio -1.145 Tracking Error 0.09 Treynor Ratio 0.182 Total Fees $20.00 Estimated Strategy Capacity $280000.00 Lowest Capacity Asset SPY WP8VK7WBZAZQ|SPY R735QTJ8XC9X |
from datetime import timedelta
class OptionsAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2015, 11, 1)
self.SetEndDate(2017, 11, 1)
self.SetCash(50000)
# self.ticker = 'IBM'
self.ticker = 'SPY'
equity = self.AddEquity(self.ticker, Resolution.Minute)
self.syl = equity.Symbol
########## Addition #############
opt_equity = self.AddEquity(self.ticker, Resolution.Minute)
opt_equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.opt_sym = opt_equity.Symbol
self.Debug('equity symbol: '+str(self.syl))
self.Debug('option symbol: '+str(self.opt_sym))
########## Addition #############
self.macd = self.MACD(self.syl, 12, 26, 9, MovingAverageType.Exponential, Resolution.Daily)
self.underlyingsymbol = equity.Symbol
# use the underlying equity as the benchmark
self.SetBenchmark(equity.Symbol)
self.hist = RollingWindow[float](390*22)
self.contract = None
########## Addition #############
# self.SetWarmup(390*22)
self.teller=True
########## Addition #############
def OnData(self,slice):
########## Addition #############
# if self.IsWarmingUp: return
if self.teller:
self.Debug('teller time: '+str(self.Time))
self.teller=False
########## Addition #############
if not self.MarketOpen() or not slice.ContainsKey(self.syl): return
self.hist.Add(float(slice[self.syl].Close))
if self.macd.IsReady:
if not self.Portfolio[self.syl].Invested and self.macd.Current.Value > self.macd.Signal.Current.Value:
self.MarketOrder(self.syl,100)
# Control
# # <1> if there is a MACD short signal, liquidate the stock
# elif self.Portfolio[self.syl].Invested and self.macd.Current.Value < self.macd.Signal.Current.Value:
# self.Liquidate()
# Trailing Stop
# <2> if today's close < lowest close of last 30 days, liquidate the stock
# self.Plot('Stock Plot','stop loss frontier', min(self.hist))
# self.Plot('Stock Plot','undelying price', self.Securities[self.syl].Price)
# if self.Portfolio[self.syl].Invested:
# if self.Securities[self.syl].Price < min(self.hist):
# self.Liquidate()
# Option Hedge
# <3> if there is a MACD short signal, buy the put
# elif self.Portfolio[self.syl].Invested and self.macd.Current.Value < self.macd.Signal.Current.Value:
# if self.contract is None:
# self.BuyPut()
# elif not self.Portfolio[self.contract].Invested:
# self.BuyPut()
# Selling Call
# <4> if there is a MACD short signal, sell the call
elif self.Portfolio[self.syl].Invested and self.macd.Current.Value < self.macd.Signal.Current.Value:
if self.contract is None:
self.SellCall()
elif not self.Portfolio[self.contract].Invested:
self.SellCall()
def MarketOpen(self):
return self.Time.hour != 10 and self.Time.minute == 1
def SellCall(self):
contracts = self.OptionChainProvider.GetOptionContractList(self.opt_sym, self.Time.date())
if len(contracts) == 0: return
min_expiry = 0
max_expiry = 40
filtered_contracts = [i for i in contracts if min_expiry <= (i.ID.Date.date() - self.Time.date()).days <= max_expiry]
call = [x for x in filtered_contracts if x.ID.OptionRight == 0]
if len(call) == 0: return
# sorted the contracts according to their expiration dates and choose the ATM options
self.contract = sorted(sorted(call, key = lambda x: abs(self.Securities[self.syl].Price - x.ID.StrikePrice)),
key = lambda x: x.ID.Date, reverse=True)[0]
self.AddOptionContract(self.contract, Resolution.Minute)
self.MarketOrder(self.contract, -1)
def BuyPut(self):
contracts = self.OptionChainProvider.GetOptionContractList(self.opt_sym, self.Time.date())
if len(contracts) == 0: return
min_expiry = 0
max_expiry = 40
filtered_contracts = [i for i in contracts if min_expiry <= (i.ID.Date.date() - self.Time.date()).days <= max_expiry]
put = [x for x in filtered_contracts if x.ID.OptionRight == 1]
if len(put) == 0: return
# sorted the contracts according to their expiration dates and choose the ATM options
self.contract = sorted(sorted(put, key = lambda x: abs(self.Securities[self.syl].Price - x.ID.StrikePrice)),
key = lambda x: x.ID.Date, reverse=True)[0]
self.AddOptionContract(self.contract, Resolution.Minute)
self.MarketOrder(self.contract, 1)