def Initialize(self):
self.SetStartDate(2020, 1, 1)
self.SetEndDate(2020, 1, 5)
self.SetCash(100000)
# Add the option
option = self.AddOption("AAPL")
self.optionSymbol = option.Symbol
# Add the initial contract filter
option.SetFilter(-3, +3, 0, 31)
# Define the Option Price Model
option.PriceModel = OptionPriceModels.CrankNicolsonFD()
#option.PriceModel = OptionPriceModels.BlackScholes()
#option.PriceModel = OptionPriceModels.AdditiveEquiprobabilities()
#option.PriceModel = OptionPriceModels.BaroneAdesiWhaley()
#option.PriceModel = OptionPriceModels.BinomialCoxRossRubinstein()
#option.PriceModel = OptionPriceModels.BinomialJarrowRudd()
#option.PriceModel = OptionPriceModels.BinomialJoshi()
#option.PriceModel = OptionPriceModels.BinomialLeisenReimer()
#option.PriceModel = OptionPriceModels.BinomialTian()
#option.PriceModel = OptionPriceModels.BinomialTrigeorgis()
#option.PriceModel = OptionPriceModels.BjerksundStensland()
#option.PriceModel = OptionPriceModels.Integral()
# Set warm up with 30 trading days to warm up the underlying volatility model
self.SetWarmUp(30, Resolution.Daily)
def Initialize(self):
# this test opens position in the first day of trading, lives through stock split (7 for 1), and closes adjusted position on the second day
self.SetStartDate(2015, 12, 24)
self.SetEndDate(2015, 12, 24)
self.SetCash(1000000)
option = self.AddOption("GOOG")
option.PriceModel = OptionPriceModels.CrankNicolsonFD()
option.SetFilter(-2, 2, timedelta(0), timedelta(180))
self.SetBenchmark(lambda x: 1000000)
def Initialize(self):
# this test opens position in the first day of trading, lives through stock split (7 for 1), and closes adjusted position on the second day
self.SetStartDate(2015, 12, 24)
self.SetEndDate(2015, 12, 24)
self.SetCash(1000000)
option = self.AddOption("GOOG")
option.PriceModel = OptionPriceModels.CrankNicolsonFD()
option.SetFilter(-2, 2, timedelta(0), timedelta(180))
self.underlying = self.AddEquity(option.Symbol.Underlying.Value)
self.underlying.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.SetBenchmark(self.underlying.Symbol)
def Initialize(self):
# this test opens position in the first day of trading, lives through stock split (7 for 1), and closes adjusted position on the second day
self.SetStartDate(2015, 12, 24)
self.SetEndDate(2015, 12, 24)
self.SetCash(1000000)
option = self.AddOption("GOOG")
# add the initial contract filter
option.SetFilter(-2,2, timedelta(0), timedelta(180))
# set the pricing model for Greeks and volatility
# find more pricing models https://www.quantconnect.com/lean/documentation/topic27704.html
option.PriceModel = OptionPriceModels.CrankNicolsonFD()
# set the warm-up period for the pricing model
self.SetWarmUp(TimeSpan.FromDays(4))
# set the benchmark to be the initial cash
self.SetBenchmark(lambda x: 1000000)
def CustomSecurityInitializer(self, security):
#Intialize each security's prices
security.SetDataNormalizationMode(DataNormalizationMode.Raw)
if security.Type == SecurityType.Equity:
#for equity intialize volatility model and perform history call
security.VolatilityModel = StandardDeviationOfReturnsVolatilityModel(
60)
history = self.History(security.Symbol, 61, Resolution.Daily)
if history.empty or 'close' not in history.columns:
return
for time, row in history.loc[security.Symbol].iterrows():
trade_bar = TradeBar(time, security.Symbol, row.open, row.high,
row.low, row.close, row.volume)
security.VolatilityModel.Update(security, trade_bar)
elif security.Type == SecurityType.Option:
#Intialize pricing method for backtest
security.PriceModel = OptionPriceModels.BinomialCoxRossRubinstein()
def Initialize(self):
#self.SetStartDate(2014,1,1) # Set Start Date
self.SetStartDate(2016, 12, 1) # Set Start Date
self.SetEndDate(2017, 12, 1) # Set End Date
# self.SetStartDate(2018,10,1) # Set Start Date
# self.SetEndDate(2019,2,28) # Set End Date
self.SetCash(100000) # Set Strategy Cash
self.resol = Resolution.Minute # Set Frequency
self.tickr = "SPY"
self.Gamma, self.Delta = d.Decimal(0.0), d.Decimal(0.0)
self.previous_delta, self.delta_treshold = d.Decimal(0.0), d.Decimal(
0.05)
# Add underlying Equity
self.equity = self.AddEquity(self.tickr, self.resol)
self.equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.equity_symbol = self.equity.Symbol
# Add options
option = self.AddOption(
self.tickr,
self.resol) # Add the option corresponding to underlying stock
self.option_symbol = option.Symbol
self.SetBenchmark(self.tickr)
# For greeks and pricer (needs some warmup)
option.PriceModel = OptionPriceModels.CrankNicolsonFD(
) # both European & American, automatically
# Warmup is needed for Greeks calculation
self.SetWarmUp(TimeSpan.FromDays(5))
self._assignedOption = False
self.call, self.put = None, None
# Schedule an event to fire every trading day to close the options for a security the
# time rule here tells it to fire 10 minutes before SPY's market close
self.Schedule.On(
self.DateRules.EveryDay(self.equity_symbol),
self.TimeRules.BeforeMarketClose(self.equity_symbol, 10),
Action(self.close_options))
def Initialize(self):
self.SetStartDate(2016, 1, 2) # Set Start Date
self.SetEndDate(2017, 12, 31)
self.SetCash(1000000) # Set Strategy Cash
#Stock/Option Universe
self.stock_list = ["SPY"]
self.equity = self.AddEquity("SPY", Resolution.Minute)
#self.equity = self.AddEquity("SPY", Resolution.Minute)
#self.equity = self.AddEquity("QQQ", Resolution.Minute)
#self.equity = self.AddEquity("IWM", Resolution.Minute)
optionA = self.AddOption("SPY")
optionA.SetFilter(-15, 15, TimeSpan.FromDays(3),
TimeSpan.FromDays(10)) #Set Options Universe
optionA.PriceModel = OptionPriceModels.CrankNicolsonFD()
'''
optionB = self.AddOption("DIA")
optionB.SetFilter(-15, 15, TimeSpan.FromDays(3),TimeSpan.FromDays(10))
optionB.PriceModel = OptionPriceModels.CrankNicolsonFD()
optionC = self.AddOption("QQQ")
optionC.SetFilter(-15, 15, TimeSpan.FromDays(3),TimeSpan.FromDays(10))
optionC.PriceModel = OptionPriceModels.CrankNicolsonFD()
optionD = self.AddOption("IWM")
optionD.SetFilter(-15, 15, TimeSpan.FromDays(3),TimeSpan.FromDays(10))
optionD.PriceModel = OptionPriceModels.CrankNicolsonFD()
'''
self.SetWarmUp(TimeSpan.FromDays(60))
#Lookback period for historic volatility in days
self.HVPeriod = 30
self.shortHVPeriod = 3
#Set spread bounds for trade execution
self.ShortBound = {"SPY": .247, "QQQ": 1, "DIA": 1, "IWM": 1}
self.LongBound = {"SPY": 1, "QQQ": 1, "DIA": 1, "IWM": 1}
self.ExtremeVolBoundLower = {
"SPY": -1,
"QQQ": -1,
"DIA": -1,
"IWM": -1
}
self.ExtremeVolBoundUpper = {"SPY": 1, "QQQ": 1, "DIA": 1, "IWM": 1}
#type of strategy
self.LongStrat = "Straddle"
#self.LongStrat = "Strangle"
self.ShortStrat = "Short Straddle"
#self.ShortStrat = "Butterfly"
#self.ShortStrat = "Condor"
#self.ShortStrat = "Iron Condor"
#self.ShortStrat = "Iron Butterfly"
#status of strategy
#"None" for not invested yet, or "Straddle", "Strangle", "Butterfly", "Condor", Iron Butterfly", "Iron Condor"
self.status = {
"SPY": "None",
"QQQ": "None",
"DIA": "None",
"IWM": "None"
}
self.option_symbols = {
"SPY": (None, None),
"QQQ": (None, None),
"DIA": (None, None),
"IWM": (None, None)
}
self.expiration = {"SPY": None, "QQQ": None, "DIA": None, "IWM": None}
#Trade Pause due to Vol
self.vol_spike = {"SPY": 1, "QQQ": 1, "DIA": 1, "IWM": 1}
#Trade Pause Length
self.days_pause_left = {"SPY": 0, "QQQ": 0, "DIA": 0, "IWM": 0}
self.pause_length = 3
#Stop-Loss Triggers
self.stop_loss = {"SPY": None, "QQQ": None, "DIA": None, "IWM": None}
self.stop_loss_percentage_bound = .6
self.stop_percentage = 1 + self.stop_loss_percentage_bound
#Vix Indicator
self.vix_indicator_on = False
self.vix_spike = False
self.vix_lookback_period = 30
self.vix_stdevs = 2.25
self.past_vix = None
self.AddEquity("VIXY", Resolution.Minute)
self.vix_pause = 3
#Delta-Hedge
self.delta_hedge_on = False