Backtest

Overall Statistics
Total Orders 3 Average Win 0% Average Loss 0% Compounding Annual Return 0.035% Drawdown 1.100% Expectancy 0 Start Equity 100000 End Equity 100002 Net Profit 0.002% Sharpe Ratio -0.55 Sortino Ratio -0.99 Probabilistic Sharpe Ratio 39.401% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.001 Beta 0.206 Annual Standard Deviation 0.026 Annual Variance 0.001 Information Ratio 1.145 Tracking Error 0.051 Treynor Ratio -0.07 Total Fees $3.00 Estimated Strategy Capacity $3700000.00 Lowest Capacity Asset GOOCV 30JDODOEFOQTI\|GOOCV VP83T1ZUHROL Portfolio Turnover 0.28%

#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QuantConnect.Data.Custom.AlphaStreams;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion

namespace QuantConnect.Algorithm.CSharp
{
    public class BearPutLadderStrategy : QCAlgorithm
    {
        private Symbol _symbol;

        public override void Initialize()
        {
            SetStartDate(2017, 4, 1);
            SetEndDate(2017, 4, 23);
            SetCash(100000);

            var option = AddOption("GOOG", Resolution.Minute);
            _symbol = option.Symbol;
            option.SetFilter(universe => universe.IncludeWeeklys().PutLadder(30, 5, 0, -5));
        }

        public override void OnData(Slice slice)
        {
            if (Portfolio.Invested ||
                !slice.OptionChains.TryGetValue(_symbol, out var chain))
            {
                return;
            }

            // Select the call Option contracts with the furthest expiry
            var expiry = chain.Max(x => x.Expiry);    
            var puts = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Put);
            if (puts.Count() == 0) return;

            // Select the strike prices from the remaining contracts
            var strikes = puts.Select(x => x.Strike).Distinct().OrderBy(x => x).ToList();
            if (strikes.Count < 3)
            {
                return;
            }
            
            var lowStrike = strikes[0];
            var middleStrike = strikes[1];
            var highStrike = strikes[2];

            // Order Strategy
            var optionStrategy = OptionStrategies.BearPutLadder(_symbol, highStrike, middleStrike, lowStrike, expiry);
            Buy(optionStrategy, 1);
        }
    }
}