Backtest

Overall Statistics
Total Orders 2 Average Win 0% Average Loss 0% Compounding Annual Return 52.502% Drawdown 1.100% Expectancy 0 Start Equity 100000 End Equity 103250.5 Net Profit 3.250% Sharpe Ratio 3.652 Sortino Ratio 15.785 Probabilistic Sharpe Ratio 89.418% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.335 Beta 0.038 Annual Standard Deviation 0.093 Annual Variance 0.009 Information Ratio 2.302 Tracking Error 0.111 Treynor Ratio 8.866 Total Fees $2.00 Estimated Strategy Capacity $1700000.00 Lowest Capacity Asset GOOCV 30JDODNXWB9VQ\|GOOCV VP83T1ZUHROL Portfolio Turnover 0.14%

#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 LongStrangleAlgorithm : QCAlgorithm
    {
        private Symbol _symbol;
        public override void Initialize()
        {
            SetStartDate(2017, 4, 1);
            SetEndDate(2017, 4, 30);
            SetCash(100000);

            var option = AddOption("GOOG");
            _symbol = option.Symbol;
            option.SetFilter(universe => universe.IncludeWeeklys().Strangle(30, 5, -10));
        }

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

            // Find options with the farthest expiry
            var expiry = chain.Max(contract => contract.Expiry);
            var contracts = chain.Where(contract => contract.Expiry == expiry).ToList();

            // Order the OTM calls by strike to find the nearest to ATM
            var callContracts = contracts
                .Where(contract => contract.Right == OptionRight.Call &&
                    contract.Strike > chain.Underlying.Price)
                .OrderBy(contract => contract.Strike).ToArray();
            if (callContracts.Length == 0) return;

            // Order the OTM puts by strike to find the nearest to ATM
            var putContracts = contracts
                .Where(contract => contract.Right == OptionRight.Put &&
                    contract.Strike < chain.Underlying.Price)
                .OrderByDescending(contract => contract.Strike).ToArray();
            if (putContracts.Length == 0) return;

            var callStrike = callContracts[0].Strike;
            var putStrike = putContracts[0].Strike;

            var longStrangle = OptionStrategies.Strangle(_symbol, callStrike, putStrike, expiry);
            Buy(longStrangle, 1);
        }
    }
}