之前发现美股的SPY期权居然有周1，周3过期的期权，这样加上周5，一周有3天过期的期权了。之前尝试卖过几次末日期权，胜率还蛮高。来去quantopian上统计下真的历史胜率有多少？
"""
This is a template algorithm on Quantopian for you to adapt and fill in.
"""
import quantopian.algorithm as algo
from quantopian.pipeline import Pipeline
from quantopian.pipeline.data.builtin import USEquityPricing
from quantopian.pipeline.filters import QTradableStocksUS
def initialize(context):
"""
Called once at the start of the algorithm.
"""
context.enter_price = 0
context.b_rise = False
# Rebalance every day, 1 hour after market open.
algo.schedule_function(
rebalance,
algo.date_rules.every_day(),
algo.time_rules.market_open(minutes=20),
)
# Record tracking variables at the end of each day.
algo.schedule_function(
record_vars,
algo.date_rules.every_day(),
algo.time_rules.market_close(),
)
def before_trading_start(context, data):
"""
Called every day before market open.
"""
pass
def rebalance(context, data):
"""
Execute orders according to our schedule_function() timing.
"""
weekday = get_datetime("US/Eastern").date().weekday() + 1
if weekday == 1 or weekday == 3 or weekday == 5:
log.info(weekday)
history_data = data.history(symbol('SPY'), ['close','high','low','open'], 2, '1m')
context.enter_price = history_data['close'][-1]
history_data_day = data.history(symbol('SPY'), ['close','high','low','open'], 2, '1d')
log.info("enter_price:" + str(context.enter_price))
if history_data_day['close'][-1] > history_data_day['close'][0]:
context.b_rise = True
else:
context.b_rise = False
pass
def record_vars(context, data):
"""
Plot variables at the end of each day.
"""
weekday = get_datetime("US/Eastern").date().weekday() + 1
if weekday == 1 or weekday == 3 or weekday == 5:
history_data = data.history(symbol('SPY'), ['close','high','low','open'], 2, '1d')
high_price = history_data['high'][-1]
low_price = history_data['low'][-1]
log.info("high_price:" + str(high_price))
log.info("low_price:" + str(low_price))
if context.b_rise:
if low_price >= context.enter_price * 0.993:
log.info("Success Put Ex")
else:
log.info("Fail Put Ex")
else:
if high_price <= context.enter_price * 1.006:
log.info("Success Call Ex")
else:
log.info("Fail Call Ex")
pass
def handle_data(context, data):
"""
Called every minute.
"""
pass
逻辑是开盘20分钟后，如果SPY是涨的，就卖执行价为当前价格 * 0.993的PUT，如果是跌的，就卖执行价为价格* 1.006的Call。如果卖的是PUT，收盘前最低价击穿执行价就止损，如果卖的是CALL，收盘前最高价击穿执行价就止损。 统计Log，发现跟无脑卖的胜率差不多，都是75%左右。
估计盈亏比是1：3.所以这个策略没法盈利。
