Overall Statistics
Total Orders
4
Average Win
0%
Average Loss
-2.29%
Compounding Annual Return
13.038%
Drawdown
7.100%
Expectancy
-0.5
Start Equity
100000
End Equity
103091
Net Profit
3.091%
Sharpe Ratio
0.664
Sortino Ratio
0.632
Probabilistic Sharpe Ratio
44.310%
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
0
Alpha
0.003
Beta
1.051
Annual Standard Deviation
0.123
Annual Variance
0.015
Information Ratio
0.065
Tracking Error
0.104
Treynor Ratio
0.078
Total Fees
$2.00
Estimated Strategy Capacity
$180000.00
Lowest Capacity Asset
GOOCV VP83T1ZUHROL
Portfolio Turnover
0.92%
 
#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 LongStraddleAlgorithm : QCAlgorithm
    {
        private Symbol _symbol;
        public override void Initialize()
        {
            SetStartDate(2017, 4, 1);
            SetEndDate(2017, 6, 30);
            SetCash(100000);

            var option = AddOption("GOOG");
            _symbol = option.Symbol;
            option.SetFilter(universe => universe.IncludeWeeklys().Straddle(30));
        }

        public override void OnData(Slice slice)
        {
            if (Portfolio.Invested || 
                !slice.OptionChains.TryGetValue(_symbol, out var chain))
            {
                return;
            }
            
            // Find ATM options with the nearest expiry
            var expiry = chain.Min(contract => contract.Expiry);
            var contracts = chain.Where(contract => contract.Expiry == expiry)
                                 .OrderBy(contract => Math.Abs(contract.Strike - chain.Underlying.Price))
                                 .ToArray();

            if (contracts.Length < 2) return;

            var longStraddle = OptionStrategies.Straddle(_symbol, contracts[0].Strike, expiry);
            Buy(longStraddle, 1);
        }
    }
}