Overall Statistics
Total Trades
1842
Average Win
0.06%
Average Loss
-0.02%
Compounding Annual Return
-1.908%
Drawdown
5.700%
Expectancy
-0.254
Net Profit
-5.619%
Sharpe Ratio
-2.327
Probabilistic Sharpe Ratio
0.000%
Loss Rate
79%
Win Rate
21%
Profit-Loss Ratio
2.54
Alpha
-0.016
Beta
0.003
Annual Standard Deviation
0.007
Annual Variance
0
Information Ratio
-0.74
Tracking Error
0.207
Treynor Ratio
-6.253
Total Fees
$1842.00
import math
class LongStraddleAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 1, 1)
        self.SetEndDate(2020, 12, 31)
        self.SetCash(100000)
        self.equity = self.AddEquity("SPY", Resolution.Minute)
        self.equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
        self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))
        self.underlyingsymbol = self.equity.Symbol
        self.SetBenchmark(self.underlyingsymbol)
        self.Schedule.On(self.DateRules.EveryDay(),self.TimeRules.At(15,30),self.close_pos)
        self.lower_call_cost = 0
        self.lower_put_cost = 0
        self.higher_call_cost = 0
        self.higher_put_cost = 0

    def OnData(self,slice):

        if not self.Portfolio.Invested:
            contracts = self.OptionChainProvider.GetOptionContractList(self.underlyingsymbol, self.Time.date())
            if self.Time.hour == 11 and self.Time.minute == 00:
                self.TradeOptions(contracts)
        if self.Portfolio.Invested and self.Time.hour >= 11:        
            #if price of underlying goes beyond the range of (- 2%) it will liquidate
            '''if self.Securities[self.lower_put.Value].Price < 0.9 * self.lower_put_cost:
                self.Liquidate(self.lower_put.Value)
                self.Log("Lower Put Liquidated On " + str(self.Time))
            if self.Securities[self.higher_call.Value].Price < 0.9 * self.higher_call_cost:
                self.Liquidate(self.higher_call.Value)
                self.Log("Higher Call Liquidated On " + str(self.Time))
            if self.Securities[self.higher_put.Value].Price > 1.1 * self.higher_put_cost:
                self.Liquidate(self.higher_put.Value)
                self.Log("Higher Put Liquidated On " + str(self.Time))
            if self.Securities[self.lower_call.Value].Price > 1.1 * self.lower_call_cost:
                self.Liquidate(self.lower_call.Value)
                self.Log("Lower Call Liquidated On " + str(self.Time))'''
                
        if self.Portfolio.Invested and self.Time.hour >= 11 and self.Time.minute % 30 == 0 :        
            #if price of underlying goes beyond the range of (- 2%) it will liquidate
            if self.Securities[self.lower_put.Value].Price >= 1.1 * self.lower_put_cost:
                self.Liquidate(self.lower_put.Value)
                self.Log("Lower Put Liquidated On " + str(self.Time))
            if self.Securities[self.higher_call.Value].Price >= 1.1 * self.higher_call_cost:
                self.Liquidate(self.higher_call.Value)
                self.Log("Higher Call Liquidated On " + str(self.Time))
            if self.Securities[self.higher_put.Value].Price < 0.9 * self.higher_put_cost:
                self.Liquidate(self.higher_put.Value)
                self.Log("Higher Put Liquidated On " + str(self.Time))
            if self.Securities[self.lower_call.Value].Price < 0.9 * self.lower_call_cost:
                self.Liquidate(self.lower_call.Value)
                self.Log("Lower Call Liquidated On " + str(self.Time))
            
    def TradeOptions(self,contracts):
        # run CoarseSelection method and get a list of contracts expire within 0 to 8 days from now on
        # and the strike price between rank -1 to rank 1
        filtered_contracts = self.CoarseSelection(self.underlyingsymbol, contracts, -1, 1, 0, 2)
        if filtered_contracts is None: return
        expiry = sorted( filtered_contracts,key = lambda x: (x.ID.Date.date() - self.Time.date()).days )[0].ID.Date
        # filter the call options from the contracts expire on that date
        
        call = [i for i in filtered_contracts if i.ID.Date == expiry and i.ID.OptionRight == 0]
        put = [i for i in filtered_contracts if i.ID.Date == expiry and i.ID.OptionRight == 1 ]
        # sorted the contracts according to their ATM strike prices
        
        
        call_contracts = sorted( call , key = lambda x : x.ID.StrikePrice ) 
        put_contracts = sorted( put , key = lambda x : x.ID.StrikePrice )
        if len(call_contracts) > 0 and len(put_contracts) > 0 :
            self.higher_call = call_contracts[-1]
            self.higher_put = put_contracts[0]
            try:
                self.lower_call = call_contracts[-1*math.floor(len(put_contracts)/4)]
                self.lower_put = put_contracts[math.floor(len(put_contracts)/4)]
            
            except:
                self.lower_call = sorted(call, key = lambda x : abs(x.ID.StrikePrice - self.Securities[self.underlyingsymbol].Price))[0]
                self.higher_put = sorted(put, key = lambda x : abs(x.ID.StrikePrice - self.Securities[self.underlyingsymbol].Price))[0]
        

            self.AddOptionContract(self.lower_call, Resolution.Minute)
            self.AddOptionContract(self.higher_call, Resolution.Minute)
            self.AddOptionContract(self.lower_put, Resolution.Minute)
            self.AddOptionContract(self.higher_put, Resolution.Minute)

            self.Sell(self.lower_put.Value ,1)
            self.Sell(self.higher_call.Value ,1)
        
            self.Buy(self.higher_put.Value ,1)
            self.Buy(self.lower_call.Value ,1)
            
            
            self.lower_call_cost = self.Securities[self.lower_call.Value].Price
            self.lower_put_cost = self.Securities[self.lower_put.Value].Price
            self.higher_call_cost = self.Securities[self.higher_call.Value].Price
            self.higher_put_cost = self.Securities[self.higher_put.Value].Price
            
    def CoarseSelection(self, underlyingsymbol, symbol_list, min_strike_rank, max_strike_rank, min_expiry, max_expiry):


        # 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
        if len(contract_list) <= 0: return
        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]
        # filter the contracts based on the range of the strike price rank
        filtered_contracts = [i for i in contract_list if i.ID.StrikePrice >= min_strike and i.ID.StrikePrice <= max_strike]

        return filtered_contracts
        
    def close_pos(self):
        if self.Portfolio.Invested:
            self.Liquidate()