Overall Statistics |
Total Trades 220 Average Win 0.57% Average Loss -0.24% Compounding Annual Return 5.521% Drawdown 2.700% Expectancy 0.218 Net Profit 5.528% Sharpe Ratio 1.265 Loss Rate 64% Win Rate 36% Profit-Loss Ratio 2.40 Alpha 0.004 Beta 2.481 Annual Standard Deviation 0.035 Annual Variance 0.001 Information Ratio 0.801 Tracking Error 0.035 Treynor Ratio 0.018 Total Fees $943.45 |
""" https://www.quantconnect.com/forum/discussion/3245/using-option-greeks-to-select-option-contracts-to-trade if you need Greeks: A) Filter and B) AddOption more efficient than C) OptionChainProvider and D) AddOptionContract """ from QuantConnect.Securities.Option import OptionPriceModels from datetime import timedelta import decimal as d from my_calendar import last_trading_day class DeltaHedgedStraddleAlgo(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 1, 1) self.SetEndDate(2017, 12, 31) self.SetCash(1000000) self.Log("PERIOD: 2017") # ---------------------------------------------------------------------- # Algo params # ---------------------------------------------------------------------- self.PREMIUM = 0.01 # percentage of SPY share price self.MAX_EXPIRY = 30 # max num of days to expiration => for uni selection self._no_K = 2 # no of strikes around ATM => for uni selection self.resol = Resolution.Minute # Resolution.Minute .Hour .Daily self.tkr = "SPY" # "SPY", "GOOG", ... self.Lev = d.Decimal(1.0) # self.Ntnl_perc = d.Decimal( round( 1. / (2. * self.MAX_EXPIRY/7.), 2) ) # notional percentage, e.g. 0.08 self.select_flag, self.hedge_flag = False, False self.previous_delta, self.delta_treshold = d.Decimal(0.0), d.Decimal(0.05) # ---------------------------------------------------------------------- # add underlying Equity equity = self.AddEquity(self.tkr, self.resol) equity.SetDataNormalizationMode(DataNormalizationMode.Raw) # IMPORTANT: default self.equity_symbol = equity.Symbol # Add options option = self.AddOption(self.tkr, self.resol) self.option_symbol = option.Symbol # set our strike/expiry filter for this option chain option.SetFilter(self.UniverseFunc) # option.SetFilter(-2, +2, timedelta(0), timedelta(30)) # for greeks and pricer (needs some warmup) - https://github.com/QuantConnect/Lean/blob/21cd972e99f70f007ce689bdaeeafe3cb4ea9c77/Common/Securities/Option/OptionPriceModels.cs#L81 option.PriceModel = OptionPriceModels.CrankNicolsonFD() # both European & American, automatically # this is needed for Greeks calcs self.SetWarmUp(TimeSpan.FromDays(3)) # timedelta(7) self._assignedOption = False self.call, self.put = None, None # ----------------------------------------------------------------------------- # scheduled functions # ----------------------------------------------------------------------------- self.Schedule.On(self.DateRules.EveryDay(self.equity_symbol), self.TimeRules.BeforeMarketClose(self.equity_symbol, 10), Action(self.close_options)) def close_options(self): """ Liquidate opts (with some value) and underlying """ # check this is the last trading day if self.last_trading_day != self.Time.date(): return self.Log("On last trading day: liquidate options with value and underlying ") # liquidate options (if invested and in the money [otherwise their price is min of $0.01) for x in self.Portfolio: # symbol = x.Key; security = x.Value ## but also symbol = x.Value.Symbol if x.Value.Invested: # self.Portfolio[opt].Invested, but no need for self.Securities.ContainsKey(opt) # only liquidate valuable options, otherwise let them quietly expiry if self.Securities[x.Key].AskPrice > 0.05: self.Liquidate(x.Key) # CHECK if this necessary (incorporated above) if self.Portfolio[self.equity_symbol].Invested: self.Liquidate(self.equity.Symbol) def OnData(self, slice): if self.IsWarmingUp: return # 1. deal with any early assignments if self._assignedOption: # close everything for x in self.Portfolio: if x.Value.Invested: self.Liquidate(x.Key) self._assignedOption = False # self.call, self.put = None, None # stop getting Greeks # 2. sell options, if none if not self.Portfolio.Invested: # select contract self.Log("get contract") self.get_contracts(slice) if (not self.call) or (not self.put): return # trade unit_price = self.Securities[self.equity_symbol].Price * d.Decimal(100.0) # share price x 100 qnty = int(self.Portfolio.TotalPortfolioValue / unit_price) # call_exists, put_exists = self.call is not None, self.put is not None if self.call is not None: self.Sell(self.call.Symbol, qnty) # self.MarketOrder(self.call.Symbol, -qnty) if self.put is not None: self.MarketOrder(self.put.Symbol, -qnty) # 3. delta-hedged any existing option if self.Portfolio.Invested and self.HourMinuteIs(10, 1): self.get_greeks(slice) if abs(self.previous_delta - self.Delta) > self.delta_treshold: self.Log("delta_hedging: self.call {}, self.put {}, self.Delta {}" .format(self.call, self.put, self.Delta)) self.SetHoldings(self.equity_symbol, self.Delta) self.previous_delta = self.Delta def get_contracts(self, slice): """ Get ATM call and put """ for kvp in slice.OptionChains: if kvp.Key != self.option_symbol: continue chain = kvp.Value # option contracts for each 'subscribed' symbol/key spot_price = chain.Underlying.Price # self.Log("spot_price {}" .format(spot_price)) # prefer to do in steps, rather than a nested sorted # 1. get furthest expiry contracts_by_T = sorted(chain, key = lambda x: x.Expiry, reverse = True) if not contracts_by_T: return self.expiry = contracts_by_T[0].Expiry.date() # furthest expiry self.last_trading_day = last_trading_day(self.expiry) # get contracts with further expiry and sort them by strike slice_T = [i for i in chain if i.Expiry.date() == self.expiry] sorted_contracts = sorted(slice_T, key = lambda x: x.Strike, reverse = False) # self.Log("Expiry used: {} and shortest {}" .format(self.expiry, contracts_by_T[-1].Expiry.date()) ) # 2a. get the ATM closest CALL to short calls = [i for i in sorted_contracts \ if i.Right == OptionRight.Call and i.Strike >= spot_price] self.call = calls[0] if calls else None # self.Log("delta call {}, self.call type {}" .format(self.call.Greeks.Delta, type(self.call))) # self.Log("implied vol {} " .format(self.call.ImpliedVolatility)) # 2b. get the ATM closest put to short puts = [i for i in sorted_contracts \ if i.Right == OptionRight.Put and i.Strike <= spot_price] self.put = puts[-1] if puts else None def get_greeks(self, slice): """ Get greeks for invested option: self.call and self.put """ if (self.call is None) or (self.put is None): return for kvp in slice.OptionChains: if kvp.Key != self.option_symbol: continue chain = kvp.Value # option contracts for each 'subscribed' symbol/key traded_contracts = filter(lambda x: x.Symbol == self.call.Symbol or x.Symbol == self.put.Symbol, chain) if not traded_contracts: self.Log("No traded cointracts"); return deltas = [i.Greeks.Delta for i in traded_contracts] # self.Log("Delta: {}" .format(deltas)) self.Delta=sum(deltas) # self.Log("Vega: " + str([i.Greeks.Vega for i in contracts])) # self.Log("Gamma: " + str([i.Greeks.Gamma for i in contracts])) def UniverseFunc(self, universe): return universe.IncludeWeeklys()\ .Strikes(-self._no_K, self._no_K)\ .Expiration(timedelta(1), timedelta(self.MAX_EXPIRY)) # ---------------------------------------------------------------------- # Other ancillary fncts # ---------------------------------------------------------------------- def OnOrderEvent(self, orderEvent): # self.Log("Order Event -> {}" .format(orderEvent)) pass def OnAssignmentOrderEvent(self, assignmentEvent): self.Log(str(assignmentEvent)) self._assignedOption = True # if self.isMarketOpen(self.equity_symbol): # self.Liquidate(self.equity_symbol) def TimeIs(self, day, hour, minute): return self.Time.day == day and self.Time.hour == hour and self.Time.minute == minute def HourMinuteIs(self, hour, minute): return self.Time.hour == hour and self.Time.minute == minute # ---------------------------------------------------------------------- # all_symbols = [ x.Value for x in self.Portfolio.Keys ] # all_invested = [x.Symbol.Value for x in self.Portfolio.Values if x.Invested ] # for kvp in self.Securities: symbol = kvp.Key; security = kvp.Value # # orders = self.Transactions.GetOrders(None) # for order in orders: self.Log("order symbol {}" .format(order.Symbol)) # # volatility = self.Securities[self.equity_symbol].VolatilityModel.Volatility # self.Log("Volatility: {}" .format(volatility)) # set our strike/expiry filter for this option chain
# ------------------------------------------------------------------------------ # Business days # ------------------------------------------------------------------------------ from datetime import timedelta #, date from pandas.tseries.holiday import (AbstractHolidayCalendar, # inherit from this to create your calendar Holiday, nearest_workday, # to custom some holidays # USMartinLutherKingJr, # already defined holidays USPresidentsDay, # " " " " " " GoodFriday, USMemorialDay, # " " " " " " USLaborDay, USThanksgivingDay # " " " " " " ) class USTradingCalendar(AbstractHolidayCalendar): rules = [ Holiday('NewYearsDay', month=1, day=1, observance=nearest_workday), USMartinLutherKingJr, USPresidentsDay, GoodFriday, USMemorialDay, Holiday('USIndependenceDay', month=7, day=4, observance=nearest_workday), USLaborDay, USThanksgivingDay, Holiday('Christmas', month=12, day=25, observance=nearest_workday) ] # TODO: to be tested def last_trading_day(expiry): # American options cease trading on the third Friday, at the close of business # - Weekly options expire the same day as their last trading day, which will usually be a Friday (PM-settled), [or Mondays? & Wednesdays?] # # SPX cash index options (and other cash index options) expire on the Saturday following the third Friday of the expiration month. # However, the last trading day is the Thursday before that third Friday. Settlement price Friday morning opening (AM-settled). # http://www.daytradingbias.com/?p=84847 dd = expiry # option.ID.Date.date() # if expiry on a Saturday (standard options), then last trading day is 1d earlier if dd.weekday() == 5: dd -= timedelta(days=1) # dd -= 1 * BDay() # check that Friday is not an holiday (e.g. Good Friday) and loop back while USTradingCalendar().holidays(dd, dd).tolist(): # if list empty (dd is not an holiday) -> False dd -= timedelta(days=1) return dd