Backtest

Overall Statistics
Total Orders 2 Average Win 0% Average Loss 0% Compounding Annual Return 0.419% Drawdown 0.100% Expectancy 0 Start Equity 500000 End Equity 500095.5 Net Profit 0.019% Sharpe Ratio -2.43 Sortino Ratio -4.904 Probabilistic Sharpe Ratio 96.142% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.005 Beta 0.003 Annual Standard Deviation 0.001 Annual Variance 0 Information Ratio -14.994 Tracking Error 0.044 Treynor Ratio -1.22 Total Fees $2.00 Estimated Strategy Capacity $82000.00 Lowest Capacity Asset GOOCV 30IZW3B2LIVC6\|GOOCV VP83T1ZUHROL Portfolio Turnover 0.05%

#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 OptionStrategy : QCAlgorithm
    {
        private Symbol _equity;
        private Symbol _symbol;

        public override void Initialize()
        {
            SetStartDate(2017, 2, 1);
            SetEndDate(2017, 2, 19);
            SetCash(500000);

            var option = AddOption("GOOG", Resolution.Minute);
            _symbol = option.Symbol;
            option.SetFilter(universe => universe.IncludeWeeklys().PutCalendarSpread(0, 30, 60));
        }

        public override void OnData(Slice slice)
        {
            if (Portfolio.Invested) return;

            // Get the OptionChain of the symbol
            var chain = slice.OptionChains.get(_symbol, null);
            if (chain == null || chain.Count() == 0) return;

            // get at-the-money strike
            var atmStrike = chain.OrderBy(x => Math.Abs(x.Strike - chain.Underlying.Price)).First().Strike;

            // filter the put options from the contracts which is ATM in the option chain.
            var puts = chain.Where(x => x.Strike == atmStrike && x.Right == OptionRight.Put);
            if (puts.Count() == 0) return;

            // sorted the optionchain by expiration date
            var expiries = puts.Select(x => x.Expiry).OrderBy(x => x);

            // select the farest expiry as far-leg expiry, and the nearest expiry as near-leg expiry
            var nearExpiry = expiries.First();
            var farExpiry = expiries.Last();

            var optionStrategy = OptionStrategies.ShortPutCalendarSpread(_symbol, atmStrike, nearExpiry, farExpiry);
            // We open a position with 1 unit of the option strategy
            Buy(optionStrategy, 1);
        }
    }
}