Backtest

Overall Statistics
Total Orders 2 Average Win 0% Average Loss 0% Compounding Annual Return -0.273% Drawdown 0.100% Expectancy 0 Start Equity 1000000 End Equity 999842.7 Net Profit -0.016% Sharpe Ratio -10.428 Sortino Ratio -9.393 Probabilistic Sharpe Ratio 25.521% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.017 Beta 0.002 Annual Standard Deviation 0.002 Annual Variance 0 Information Ratio 0.978 Tracking Error 0.058 Treynor Ratio -10.434 Total Fees $2.30 Estimated Strategy Capacity $600000.00 Lowest Capacity Asset GOOCV 30IZW3ETPM1D2\|GOOCV VP83T1ZUHROL Portfolio Turnover 0.01%

#region imports
    using Newtonsoft.Json;
    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.Portfolio.SignalExports;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Algorithm.Selection;
    using QuantConnect.Api;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Configuration;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Auxiliary;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.Data.Custom.IconicTypes;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.Shortable;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.OptionExercise;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Orders.TimeInForces;
    using QuantConnect.Python;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Positions;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;
    using QuantConnect.Securities.CryptoFuture;
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Securities.Volatility;
    using QuantConnect.Storage;
    using QuantConnect.Statistics;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion

namespace QuantConnect
{
    public class BackspreadOptionStrategyAlgorithm : QCAlgorithm
    {
        private Symbol _symbol;

        public override void Initialize()
        {
            SetStartDate(2017, 4, 1);
            SetEndDate(2017, 4, 22);
            SetCash(1000000);

            UniverseSettings.Asynchronous = true;
            var option = AddOption("GOOG", Resolution.Minute);
            _symbol = option.Symbol;
            option.SetFilter(universe => universe.IncludeWeeklys().PutSpread(20, 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);
            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 < 2)
            {
                return;
            }
            
            var lowStrike = strikes[0];
            var highStrike = strikes[1];

            var optionStrategy = OptionStrategies.ShortPutBackspread(_symbol, highStrike, lowStrike, expiry);
            Buy(optionStrategy, 1);
        }
    }
}