Overall Statistics
Total Orders
5
Average Win
0%
Average Loss
-0.34%
Compounding Annual Return
-0.822%
Drawdown
0.900%
Expectancy
-0.5
Start Equity
100000
End Equity
99867.5
Net Profit
-0.132%
Sharpe Ratio
-0.854
Sortino Ratio
-0.753
Probabilistic Sharpe Ratio
25.191%
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
0
Alpha
-0.01
Beta
0.096
Annual Standard Deviation
0.015
Annual Variance
0
Information Ratio
0.138
Tracking Error
0.123
Treynor Ratio
-0.137
Total Fees
$4.00
Estimated Strategy Capacity
$130000000.00
Lowest Capacity Asset
IBM 2ZN0UI19JRV52|IBM R735QTJ8XC9X
Portfolio Turnover
0.95%
 
#region imports
from AlgorithmImports import *
#endregion

class ProtectivePutAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2014, 1, 1)
        self.SetEndDate(2014, 3, 1)
        self.SetCash(100000)

        option = self.AddOption("IBM")
        self.symbol = option.Symbol
        option.set_filter(lambda universe: universe.include_weeklys().naked_put(30, 0))

        self.put = None

        # use the underlying equity as the benchmark
        self.SetBenchmark(self.symbol.Underlying)

    def OnData(self, slice):

        if self.put and self.Portfolio[self.put].Invested:
            return

        chain = slice.OptionChains.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]

        protective_put = OptionStrategies.ProtectivePut(self.symbol, atm_put.Strike, expiry)
        self.Buy(protective_put, 1)

        self.put = atm_put.Symbol