| Overall Statistics |
|
Total Orders 5 Average Win 0.23% Average Loss 0% Compounding Annual Return 3.917% Drawdown 0.700% Expectancy 0 Start Equity 100000 End Equity 100619.5 Net Profit 0.620% Sharpe Ratio 1.653 Sortino Ratio 1.462 Probabilistic Sharpe Ratio 71.137% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.022 Beta 0.06 Annual Standard Deviation 0.012 Annual Variance 0 Information Ratio 0.39 Tracking Error 0.128 Treynor Ratio 0.33 Total Fees $3.00 Estimated Strategy Capacity $180000.00 Lowest Capacity Asset IBM 2ZNFM7EZGPFGM|IBM R735QTJ8XC9X Portfolio Turnover 0.01% |
#region imports
from AlgorithmImports import *
#endregion
class NakedPutAlgorithm(QCAlgorithm):
def initialize(self):
self.set_start_date(2014, 1, 1)
self.set_end_date(2014, 3, 1)
self.set_cash(100000)
option = self.add_option("IBM")
self.symbol = option.symbol
option.set_filter(-3, 3, 0, 31)
self.put = None
# use the underlying equity as the benchmark
self.set_benchmark(self.symbol.underlying)
def on_data(self, slice):
if self.put and self.portfolio[self.put].invested:
return
chain = slice.option_chains.get(self.symbol)
if not chain:
return
# Find ATM put with the farthest expiry
expiry = max([x.expiry for x in chain])
put_contracts = sorted([x for x in chain
if x.right == OptionRight.PUT and x.expiry == expiry],
key=lambda x: abs(chain.underlying.price - x.strike))
if not put_contracts:
return
atm_put = put_contracts[0]
naked_put = OptionStrategies.naked_put(self.symbol, atm_put.strike, expiry)
self.buy(naked_put, 1)
self.put = atm_put.symbol