2nd try Protected Short Strangle Option Strat

Based on the provided code, it seems that 'AlMoJo' is implementing a Short Strangle strategy with a protective stop order on the underlying asset. The strategy involves selling an Out of The Money (OTM) Call and an OTM Put with one month expiry. If the options become in the money, stop orders are placed to buy or short the underlying stock to hedge the position.

Here are some points to consider:

1. The universe_func method is correctly set to include weekly options and filter for strikes within a range of -15 to 15 and expiration between 30 to 40 days.

2. In the on_data method, the algorithm checks for the option chain and filters for OTM calls and puts based on the current price of the underlying asset. The algorithm then adds the first contract from the sorted list of OTM calls and puts to the contracts list.

3. The algorithm then sells one contract each of the selected OTM call and put options.

4. A stop market order is placed for the underlying asset if the OTM call option becomes in the money. However, there is no stop order placed for the case when the OTM put option becomes in the money. This might be a potential issue as the strategy might not be fully hedged if the underlying asset price drops significantly.

Here is a potential improvement:

# Add a stop order for the case when the OTM put option becomes in the money
self.cover_orders[self.contracts[1].Symbol] = self.StopMarketOrder(self.symbol, -100, otm_puts[0].ID.StrikePrice*0.99)

This will short the underlying asset if the OTM put option becomes in the money, providing a hedge for the short put position.

Please note that this is just a suggestion and the actual implementation might need to be adjusted based on the specific requirements of the strategy.

Also, remember that backtesting is essential to validate the performance of the strategy before live trading.

For more information on implementing option strategies in QuantConnect, you can refer to the documentation.

3rd version

Based on the provided code, 'AlMoJo' is implementing a Short Strangle strategy with a protective stop order on the underlying asset. The strategy involves selling an Out of The Money (OTM) Call and an OTM Put with one month expiry. If the options become in the money, stop orders are placed to buy or short the underlying stock to hedge the position.

Here are some points to consider:

1. The universe_func method is correctly set to include weekly options and filter for strikes within a range of -5 to 5 and expiration between 30 to 40 days.

2. In the on_data method, the algorithm checks for the option chain and filters for OTM calls and puts based on the current price of the underlying asset. The algorithm then adds the first contract from the sorted list of OTM calls and puts to the contracts list.

3. The algorithm then sells one contract each of the selected OTM call and put options.

4. A stop market order is placed for the underlying asset if the OTM call option becomes in the money. Similarly, a stop market order is placed to short the underlying asset if the OTM put option becomes in the money. This ensures that the strategy is fully hedged in both scenarios.

5. The algorithm checks if the underlying asset price has moved significantly away from the strike prices of the options. If it has, it liquidates the position in the underlying asset. However, it only checks for the case when the underlying asset price is less than 99% of the call option strike price or greater than 101% of the put option strike price. This might not cover all scenarios where the underlying asset price has moved significantly.

Here is a potential improvement:

# Check if the underlying asset price has moved significantly away from either of the option strike prices
if self.Portfolio[self.symbol].Quantity!=0 and (self.Securities[self.symbol].Price<otm_puts[0].ID.StrikePrice*0.99 
    or self.Securities[self.symbol].Price>otm_calls[0].ID.StrikePrice*1.01):
    self.closing_orders[self.contracts[0].Symbol] = self.set_holdings(self.symbol, 0)

This will check if the underlying asset price has moved significantly away from either of the option strike prices and liquidate the position in the underlying asset if it has.

Please note that this is just a suggestion and the actual implementation might need to be adjusted based on the specific requirements of the strategy.

Also, remember that backtesting is essential to validate the performance of the strategy before live trading.

For more information on implementing option strategies in QuantConnect, you can refer to the documentation.

4th version