Backtest

Overall Statistics
Total Orders 4 Average Win 0% Average Loss 0% Compounding Annual Return 1687224.131% Drawdown 2.600% Expectancy 0 Start Equity 100000 End Equity 107400 Net Profit 7.400% Sharpe Ratio 21293.56 Sortino Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 16442.571 Beta -3.647 Annual Standard Deviation 0.772 Annual Variance 0.597 Information Ratio 16712.132 Tracking Error 0.984 Treynor Ratio -4509.618 Total Fees $0.00 Estimated Strategy Capacity $110000.00 Lowest Capacity Asset SPXW XUXKECCC3AJ2\|SPX 31 Portfolio Turnover 4.98%

#region imports
using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Util;
using QuantConnect.Data;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Securities;
using QuantConnect.Securities.Option;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
    public class LogicalBlueLemur : QCAlgorithm
    {
        private Symbol _spxw;

        private bool _done;

        private bool _doSpread1 = true;

        private bool _doSpread2 = true;

        public override void Initialize()
        {            
            SetStartDate(2022, 1, 3);
            SetEndDate(2022, 1, 5);

            SetCash(100000);

            var index = AddIndex("SPX", Resolution.Minute).Symbol;

            var option = AddIndexOption(index, "SPXW", Resolution.Minute);

            option.SetFilter(x => x.IncludeWeeklys().Strikes(-20, 20).Expiration(1, 4));

            _spxw = option.Symbol;
        }

        public override void OnData(Slice slice)
        {
            if (Time.Date == new DateTime(2022, 1, 3) && _doSpread1)
            {
                if (!slice.OptionChains.TryGetValue(_spxw, out var chain)) return;

                Debug($"{Time}: remaining margin before spread 1: {Portfolio.MarginRemaining}");

                var spread = OptionStrategies.BearCallSpread(_spxw, 4730, 4780, new DateTime(2022, 1, 5));

                Buy(spread, 1);

                Debug($"{Time}: remaining margin after spread 1: {Portfolio.MarginRemaining}");

                _doSpread1 = false;
            }

            if (Time.Date == new DateTime(2022, 1, 4) && _doSpread2)
            {
                if (!slice.OptionChains.TryGetValue(_spxw, out var chain)) return;

                Debug($"{Time}: remaining margin before spread 2: {Portfolio.MarginRemaining}");

                var spread = OptionStrategies.BearCallSpread(_spxw, 4760, 4810, new DateTime(2022, 1, 5));

                Buy(spread, 1);

                Debug($"{Time}: remaining margin after spread 2: {Portfolio.MarginRemaining}");

                _doSpread2 = false;
            }
        }

        public override void OnEndOfAlgorithm()
        {
            Debug($"{Time}: remaining margin final: {Portfolio.MarginRemaining}");
        }
    }
}

<table>
    <tr>
        <td>_doSpread1</td>
        <td>_doSpread2</td>
        <td>Final remaining margin</td>
    </tr>
    <tr>
        <td>True</td>
        <td>False</td>
        <td>98,690</td>
    </tr>
    <tr>
        <td>False</td>
        <td>True</td>
        <td>98,710</td>
    </tr>
    <tr>
        <td>True</td>
        <td>True</td>
        <td>16,649.25</td>
    </tr>
</table>