Overall Statistics
Total Orders
5
Average Win
0.31%
Average Loss
0%
Compounding Annual Return
-0.676%
Drawdown
0.900%
Expectancy
-0.5
Start Equity
100000
End Equity
99891
Net Profit
-0.109%
Sharpe Ratio
-0.746
Sortino Ratio
-1.44
Probabilistic Sharpe Ratio
27.446%
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
0
Alpha
-0.015
Beta
-0.112
Annual Standard Deviation
0.016
Annual Variance
0
Information Ratio
0.119
Tracking Error
0.151
Treynor Ratio
0.108
Total Fees
$4.00
Estimated Strategy Capacity
$86000000.00
Lowest Capacity Asset
IBM 2ZN0UI19JRV52|IBM R735QTJ8XC9X
Portfolio Turnover
0.94%
 
#region imports
from AlgorithmImports import *
#endregion

class CoveredputAlgorithm(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]

        covered_put = OptionStrategies.covered_put(self.symbol, atm_put.strike, expiry)
        self.buy(covered_put, 1)

        self.put = atm_put.symbol