Overall Statistics |
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return -10.191% Drawdown 0.300% Expectancy 0 Net Profit -0.078% Sharpe Ratio -1.946 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.286 Beta 0.543 Annual Standard Deviation 0.048 Annual Variance 0.002 Information Ratio 14.955 Tracking Error 0.041 Treynor Ratio -0.173 Total Fees $2.00 |
# 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 datetime import timedelta class CoveredCallAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2014, 1, 1) self.SetEndDate(2014, 1, 3) self.SetCash(100000) self.equity = self.AddEquity("IBM", Resolution.Minute) option = self.AddOption("IBM", Resolution.Minute) self.symbol = option.Symbol # set strike/expiry filter for this option chain option.SetFilter(-3, +3, timedelta(0), timedelta(30)) self.show = True def OnData(self,slice): if not self.Portfolio["IBM"].Invested: self.MarketOrder("IBM",100) # buy 100 shares of underlying stocks option_invested = [x.Key for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Option] if len(option_invested) < 1: self.TradeOptions(slice) def TradeOptions(self,slice): for i in slice.OptionChains: if i.Key != self.symbol: continue chain = i.Value if self.show: self.show = False self.Log(f"{chain.Contracts.Count}") contracts = self.OptionChainProvider.GetOptionContractList(self.equity.Symbol, slice.Time) self.Log(len(contracts)) # filter the call options contracts call = [x for x in chain if x.Right == OptionRight.Call] # sorted the contracts according to their expiration dates and choose the ATM options contracts = sorted(sorted(call, key = lambda x: abs(chain.Underlying.Price - x.Strike)), key = lambda x: x.Expiry, reverse=True) if len(contracts) == 0: return self.call = contracts[0].Symbol # short the call options self.MarketOrder(self.call, 1)