Filtering strikes for options spread

From the provided code, it seems like you are implementing a Bull Put Spread strategy on MSFT options. You are filtering the options based on their expiry and then selecting the ITM and OTM strikes based on a lower and upper bound calculated from the underlying price.

The code seems to be correctly implementing the Bull Put Spread strategy. However, the effectiveness of the strike filter would depend on the specific market conditions and the underlying asset's price movements. If the underlying asset's price doesn't move significantly within the range defined by your lower and upper bounds, changing the strike offset might not have a significant impact on the strategy's performance.

Here is the relevant part of your code where you implement the Bull Put Spread:

expiry = sorted(chain, key = lambda x: x.Expiry, reverse=True)[0].Expiry
puts = [i for i in chain if i.Expiry == expiry and i.Right == OptionRight.Put]
if len(puts) == 0: return
put_strikes = sorted([x.Strike for x in puts])
filtered_strikes = [x for x in put_strikes if x> lowerBound and x < upperBound]
otm_strike = filtered_strikes[0]
itm_strike = filtered_strikes[-1]
option_strategy = OptionStrategies.BullPutSpread(self.symbol, itm_strike, otm_strike, expiry)
self.Buy(option_strategy, 1)

You might want to add some logging to your algorithm to track the selected strikes and see how they change over time. This could help you understand if your strike filter is working as expected.

Remember, backtesting is a way to simulate the strategy's performance based on historical data. It's important to also consider other factors such as market volatility, liquidity, and transaction costs when evaluating a strategy's effectiveness.