Overall Statistics
Total Orders
5
Average Win
0%
Average Loss
-0.62%
Compounding Annual Return
-5.713%
Drawdown
1.900%
Expectancy
-1
Start Equity
100000
End Equity
99059
Net Profit
-0.941%
Sharpe Ratio
-2.568
Sortino Ratio
-3.288
Probabilistic Sharpe Ratio
6.402%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.051
Beta
-0.113
Annual Standard Deviation
0.019
Annual Variance
0
Information Ratio
-0.115
Tracking Error
0.151
Treynor Ratio
0.419
Total Fees
$4.00
Estimated Strategy Capacity
$35000.00
Lowest Capacity Asset
IBM VNWUCLACI1RA|IBM R735QTJ8XC9X
Portfolio Turnover
0.63%
 
#region imports
from AlgorithmImports import *
#endregion

class ProtectiveCallAlgorithm(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_call(30, 0))

        self.call = None

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

    def on_data(self, slice):

        if self.call and self.portfolio[self.call].invested:
            return

        chain = slice.option_chains.get(self.symbol)
        if not chain:
            return

        # Find ATM call with the farthest expiry
        expiry = max([x.expiry for x in chain])
        call_contracts = sorted([x for x in chain
            if x.right == OptionRight.CALL and x.expiry == expiry],
            key=lambda x: abs(chain.underlying.price - x.strike))

        if not call_contracts:
            return

        atm_call = call_contracts[0]

        protective_call = OptionStrategies.protective_call(self.symbol, atm_call.strike, expiry)
        self.buy(protective_call, 1)

        self.call = atm_call.symbol