Overall Statistics
Total Orders
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
0.007%
Drawdown
0.100%
Expectancy
0
Start Equity
500000
End Equity
500003
Net Profit
0.001%
Sharpe Ratio
-4.34
Sortino Ratio
-9.555
Probabilistic Sharpe Ratio
89.927%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.012
Beta
-0.006
Annual Standard Deviation
0.002
Annual Variance
0
Information Ratio
1.023
Tracking Error
0.22
Treynor Ratio
1.655
Total Fees
$2.00
Estimated Strategy Capacity
$4500000.00
Lowest Capacity Asset
GOOCV WSOXW45FPLYE|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 BearCallSpreadExampleAlgorithm : QCAlgorithm
    {
        private Symbol _symbol;

        public override void Initialize()
        {
            SetStartDate(2018, 2, 1);
            SetEndDate(2018, 3, 5);
            SetCash(500000);

            var option = AddOption("GOOG", Resolution.Minute);
            _symbol = option.Symbol;
            option.SetFilter(universe => universe.IncludeWeeklys().CallSpread(30, 5));
        }
        
        public override void OnData(Slice slice)
        {
            if (Portfolio.Invested) return;

            // Get the OptionChain
            if (!slice.OptionChains.TryGetValue(_symbol, out var chain)) return;

            // Select the call Option contracts with the furthest expiry
            var expiry = chain.OrderByDescending(x => x.Expiry).First().Expiry;    
            var calls = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Call);
            if (calls.Count() == 0) return;

            // Select the ITM and OTM contract
            var orderedCalls = calls.OrderBy(x => x.Strike);
            var itmCall = orderedCalls.First();
            var otmCall = orderedCalls.Last();

            // Place the order
            var optionStrategy = OptionStrategies.BearCallSpread(_symbol, itmCall.Strike, otmCall.Strike, expiry);
            Buy(optionStrategy, 1);
        }
    }
}