| Overall Statistics |
|
Total Orders 3 Average Win 0.42% Average Loss 0% Compounding Annual Return 5.446% Drawdown 1.200% Expectancy -1 Start Equity 100000 End Equity 100856 Net Profit 0.856% Sharpe Ratio 1.485 Sortino Ratio 1.74 Probabilistic Sharpe Ratio 64.891% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.034 Beta 0.126 Annual Standard Deviation 0.021 Annual Variance 0 Information Ratio 0.508 Tracking Error 0.119 Treynor Ratio 0.242 Total Fees $2.00 Estimated Strategy Capacity $61000000.00 Lowest Capacity Asset IBM 2ZN0UI19JRV52|IBM R735QTJ8XC9X Portfolio Turnover 0.33% |
#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(lambda universe: universe.include_weeklys().naked_put(30, 0))
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