Overall Statistics
Total Orders
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
52.502%
Drawdown
1.100%
Expectancy
0
Start Equity
100000
End Equity
103250.5
Net Profit
3.250%
Sharpe Ratio
3.652
Sortino Ratio
15.785
Probabilistic Sharpe Ratio
89.418%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.335
Beta
0.038
Annual Standard Deviation
0.093
Annual Variance
0.009
Information Ratio
2.302
Tracking Error
0.111
Treynor Ratio
8.866
Total Fees
$2.00
Estimated Strategy Capacity
$1700000.00
Lowest Capacity Asset
GOOCV 30JDODNXWB9VQ|GOOCV VP83T1ZUHROL
Portfolio Turnover
0.14%
 
# region imports
from AlgorithmImports import *
# endregion

class LongStrangleAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2017, 4, 1)
        self.set_end_date(2017, 4, 30)
        self.set_cash(100000)
        
        option = self.add_option("GOOG")
        self.symbol = option.symbol
        option.set_filter(lambda universe: universe.include_weeklys().strangle(30, 5, -10))

    def on_data(self, slice: Slice) -> None:
        if self.portfolio.invested:
            return

        # Get the OptionChain
        chain = slice.option_chains.get(self.symbol)
        if not chain:
            return

        # Find options with the nearest expiry
        expiry = max([x.expiry for x in chain])
        contracts = [contract for contract in chain if contract.expiry == expiry]
     
        # Order the OTM calls by strike to find the nearest to ATM
        call_contracts = sorted([contract for contract in contracts
            if contract.right == OptionRight.CALL and
               contract.strike > chain.underlying.price],
            key=lambda x: x.strike)
        if not call_contracts:
            return
        
        # Order the OTM puts by strike to find the nearest to ATM
        put_contracts = sorted([contract for contract in contracts
            if contract.right == OptionRight.PUT and
               contract.strike < chain.underlying.price],
            key=lambda x: x.strike, reverse=True)
        if not put_contracts:
            return

        call_strike = call_contracts[0].strike
        put_strike = put_contracts[0].strike

        long_strangle = OptionStrategies.strangle(self.symbol, call_strike, put_strike, expiry)
        self.buy(long_strangle, 1)