Overall Statistics |
Total Trades 27 Average Win 0% Average Loss -2.37% Compounding Annual Return -73.917% Drawdown 30.900% Expectancy -1 Net Profit -20.116% Sharpe Ratio -1.114 Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.795 Beta 0.238 Annual Standard Deviation 0.763 Annual Variance 0.582 Information Ratio -0.78 Tracking Error 0.79 Treynor Ratio -3.579 Total Fees $20.00 |
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. # Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. from clr import AddReference AddReference("System") AddReference("QuantConnect.Algorithm") AddReference("QuantConnect.Common") from System import * from QuantConnect import * from QuantConnect.Algorithm import * from datetime import timedelta class BasicTemplateOptionsAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2016, 1, 1) self.SetEndDate(2016, 3, 1) self.SetCash(100000) option = self.AddOption("GOOG") self.option_symbol = option.Symbol # set our strike/expiry filter for this option chain option.SetFilter(-2, +2, timedelta(0), timedelta(180)) # use the underlying equity as the benchmark self.SetBenchmark("GOOG") def OnData(self,slice): for i in slice.OptionChains: chains = i.Value if not self.Portfolio.Invested: self.TradeOptions(chains) def TradeOptions(self,chains): # filter the call and put contract self.call = [i for i in chains if i.Right == 0] self.put = [i for i in chains if i.Right == 1] for c in self.call: self.Buy(c.Symbol,1) for p in self.put: self.Buy(p.Symbol,1) def OnOrderEvent(self, orderEvent): order = self.Transactions.GetOrderById(orderEvent.OrderId) if order.Type == OrderType.OptionExercise: self.Log("{0}: {1}: {2}".format(self.Time, order.Type, orderEvent))