Overall Statistics |
Total Trades 26 Average Win 3.67% Average Loss -5.27% Compounding Annual Return -100.000% Drawdown 32.200% Expectancy -0.576 Net Profit -31.924% Sharpe Ratio -16.807 Loss Rate 75% Win Rate 25% Profit-Loss Ratio 0.70 Alpha -6.284 Beta -440.5 Annual Standard Deviation 0.69 Annual Variance 0.477 Information Ratio -16.823 Tracking Error 0.69 Treynor Ratio 0.026 Total Fees $3008.75 |
import decimal as d import numpy as np import pandas as pd import math import datetime import json class DropboxBaseDataUniverseSelectionAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2019,1,8) self.SetEndDate(2019,1,15) self.SetCash(100000) # add equity tickers to the universe (before the market open of each trading day) self.UniverseSettings.Resolution = Resolution.Minute; self.AddUniverse(StockDataSource, "my-stock-data-source", self.stockDataSource) self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw # set schedule to liquidate at 10 minutes prior to the market close of each trading day spy = self.AddEquity("SPY", Resolution.Minute) spy.SetDataNormalizationMode(DataNormalizationMode.Raw) self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 10), self.EveryDayBeforeMarketClose) def stockDataSource(self, data): # This will grab for each date the different tickers in the csv and add them to the universe list = [] for item in data: for symbol in item["Symbols"]: list.append(symbol) #self.Debug(str(self.Time)) #self.Debug(str(list)) return list def EveryDayBeforeMarketClose(self): #self.Debug("############## Closing Position " + str(self.Time.date()) + " " + str(self.Time) + "############## ") self.Liquidate() self.Debug("Positions closed") def OnData(self, data): if not self.Portfolio.Invested: for symbol in data.Keys: self.Log(symbol) self.Log(symbol.SecurityType) if symbol.SecurityType == 1: #self.SetHoldings(key, 0.1) stk = self.AddEquity(symbol.Value, Resolution.Minute) stk.SetDataNormalizationMode(DataNormalizationMode.Raw) contracts = self.OptionChainProvider.GetOptionContractList(symbol, self.Time.date()) # Get list of strikes and expiries self.TradeOptions(contracts, symbol.Value) # Select the right strikes/expiries and trade def TradeOptions(self, contracts, ticker): # run CoarseSelection method and get a list of contracts expire within 15 days from now on # and the strike price between rank -1 to rank 1, rank being the step of the contract filtered_contracts = self.CoarseSelection(ticker, contracts, -1, 1, 1, 15) # set min_expiry as 1 would avoid trading the contract that expires on the same day if len(filtered_contracts) >0: expiry = sorted(filtered_contracts,key = lambda x: x.ID.Date, reverse=False)[0].ID.Date # Take the closest expiry # 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] # sorted the contracts according to their strike prices call_contracts = sorted(call,key = lambda x: x.ID.StrikePrice) self.call = call_contracts[0] for i in filtered_contracts: if i.ID.Date == expiry and i.ID.OptionRight == 1 and i.ID.StrikePrice ==call_contracts[0].ID.StrikePrice: self.put = i ''' Before trading the specific contract, you need to add this option contract AddOptionContract starts a subscription for the requested contract symbol ''' # self.call is the symbol of a contract self.AddOptionContract(self.call, Resolution.Minute) self.AddOptionContract(self.put, Resolution.Minute) if not self.Portfolio.Invested: self.SetHoldings(self.call.Value, 0.1) self.SetHoldings(self.put.Value, 0.1) # Some Logging #self.Debug("Strike Price : "+str(self.call.ID.StrikePrice)) #self.Debug("Expiry : "+str(self.call.ID.Date)) #self.Debug("Call Mid-Point : "+str(self.Securities[self.call].Price)) #self.Debug("IV : "+str(self.call.ImpliedVolatility)) else: pass def CoarseSelection(self, underlyingsymbol, symbol_list, min_strike_rank, max_strike_rank, min_expiry, max_expiry): ''' This method implements the coarse selection of option contracts according to the range of strike price and the expiration date, this function will help you better choose the options of different moneyness ''' # filter 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] self.Log("Ticker Und : " + str(underlyingsymbol)) self.Log("Nb of contract found : " + str(len(contract_list))) self.Log("Underlying price : "+str(self.Securities[underlyingsymbol].Price)) # find the strike price of ATM option # It seems like sometimes OptionChainProvider.GetOptionContractList is bugging and returns nothing, so let's try/except try : 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] except: self.Debug("NO CONTRACT RETURNED -------") filtered_contracts = None return filtered_contracts class StockDataSource(PythonData): def GetSource(self, config, date, isLiveMode): url = "https://www.dropbox.com/s/2az14r5xbx4w5j6/daily-stock-picker-live.csv?dl=1" if isLiveMode else \ "https://www.dropbox.com/s/ofzgxsp2b27pkri/quantconnect_triggers.csv?dl=1" return SubscriptionDataSource(url, SubscriptionTransportMedium.RemoteFile) def Reader(self, config, line, date, isLiveMode): #if not (line.strip() and line[0].isdigit()): return None stocks = StockDataSource() stocks.Symbol = config.Symbol csv = line.rstrip(',').split(',') # rstrip is essential because quantconnect throws an empty element error (extra commas at the end of the csv) if isLiveMode: stocks.Time = date stocks["Symbols"] = csv else: stocks.Time = datetime.datetime.combine(datetime.datetime.strptime(csv[0], "%Y%m%d"), datetime.time(9, 31)) stocks["Symbols"] = csv[1:] return stocks