| Overall Statistics |
|
Total Orders 36 Average Win 41.69% Average Loss -6.18% Compounding Annual Return -80.287% Drawdown 85.000% Expectancy -0.742 Start Equity 200000 End Equity 39308 Net Profit -80.346% Sharpe Ratio -1.135 Sortino Ratio -0.78 Probabilistic Sharpe Ratio 0.003% Loss Rate 97% Win Rate 3% Profit-Loss Ratio 6.74 Alpha -0.825 Beta 1.261 Annual Standard Deviation 0.548 Annual Variance 0.3 Information Ratio -1.832 Tracking Error 0.428 Treynor Ratio -0.493 Total Fees $0.00 Estimated Strategy Capacity $1000.00 Lowest Capacity Asset VIX XNUJM2J12SJ2|VIX 31 Portfolio Turnover 1.80% |
from AlgorithmImports import *
from QuantConnect.DataSource import *
class IndexOptionsDataAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2020, 1, 1)
self.set_end_date(2021, 1, 1)
self.set_cash(200000)
self.universe_settings.asynchronous = True
index = self.add_index("VIX")
option = self.add_option(index.symbol)
option.set_filter(-2, +2, 0, 180)
self.option_symbol = option.symbol
def on_data(self, slice: Slice) -> None:
if not self.portfolio.invested and self.is_market_open(self.option_symbol):
chain = slice.option_chains.get(self.option_symbol)
if not chain:
return
call_contracts = [c for c in chain if c.right == OptionRight.CALL]
if call_contracts:
expiry = max([c.expiry for c in call_contracts])
call_contracts = sorted([c for c in call_contracts if c.expiry == expiry],
key=lambda c: c.strike)
if len(call_contracts) < 2:
return
longCall, shortCall = call_contracts[0:2]
# Use all the buying power
quantity = min([
abs(self.calculate_order_quantity(shortCall.symbol, -1)),
abs(self.calculate_order_quantity(longCall.symbol, 1))])
self.market_order(shortCall.symbol, -quantity)
self.market_order(longCall.symbol, quantity)
expected_margin_usage = max((longCall.strike - shortCall.strike) * self.securities[longCall.symbol].symbol_properties.contract_multiplier * quantity, 0)
if expected_margin_usage != self.portfolio.total_margin_used:
raise Exception("Unexpect margin used!")
def on_securities_changed(self, changes: SecurityChanges) -> None:
for security in changes.added_securities:
if security.type == SecurityType.INDEX_OPTION:
# Historical data
history = self.history(security.symbol, 10, Resolution.MINUTE)
self.debug(f"We got {len(history)} from our history request for {security.symbol}")