Cloning Hedge Fund Indexes

1import numpy as np
2from AlgorithmImports import *
3from math import floor
4from datetime import datetime
5class CloningHedgeFundIndexes(QCAlgorithm):
6def Initialize(self):
7self.SetStartDate(2013, 1, 1)
8self.SetCash(100000)
9
10self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
11self.leverage:float = 2.
12
13# spy consolidator
14self.consolidator:TradeBarConsolidator = TradeBarConsolidator(timedelta(days=1))
15self.consolidator.DataConsolidated += self.CustomHandler
16self.SubscriptionManager.AddConsolidator(self.symbol, self.consolidator)            
17
18self.period:int = 21
19
20# Daily price data.
21self.data:RollingWindow = RollingWindow[float](self.period)
22
23option:Option = self.AddOption("SPY", Resolution.Minute)
24
25def CustomHandler(self, sender: object, consolidated_bar: TradeBar) -> None:
26self.data.Add(consolidated_bar.Close)
27
28def OnData(self, slice:Slice) -> None:
29for i in slice.OptionChains:
30    chains:OptionChain = i.Value
31    
32    if self.Portfolio[self.symbol].Invested:
33        self.Liquidate(self.symbol)
34    
35    if not self.Portfolio.Invested:
36        # Market data is ready.
37        if self.data.IsReady:
38            market_closes:np.ndarray = np.array(list(self.data))
39            market_returns:np.ndarray = market_closes[:-1] / market_closes[1:] - 1
40            market_std:float = np.std(market_returns)
41            
42            # Divide option chains into put options
43            puts:List = list(filter(lambda x: x.Right == OptionRight.Put, chains))
44            if not puts: return
45            underlying_price:float = self.Securities[self.symbol].Price
46            expiries:List[datetime] = list(map(lambda x: x.Expiry, puts))
47
48            # Determine expiration date nearly one month.
49            expiry:datetime = min(expiries, key=lambda x: abs((x.date() - self.Time.date()).days - 30))
50            strikes:List[float] = list(map(lambda x: x.Strike, puts))
51
52            # Determine out-of-the-money strike.
53            otm_strike:float = min(strikes, key = lambda x:abs(x - float(1 - market_std) * underlying_price))
54            
55            # Leverage calc.
56            otm_put:OptionContract = [i for i in puts if i.Expiry == expiry and i.Strike == otm_strike]
57            q:float = floor(float(self.Portfolio.MarginRemaining / (underlying_price * 100)) * self.leverage)
58
59            if otm_put:
60                # Sell with 2x leverage.
61                self.Sell(otm_put[0].Symbol, q)