Backtest

Overall Statistics
Total Orders 4 Average Win 0% Average Loss 0% Compounding Annual Return -13.826% Drawdown 0.900% Expectancy 0 Start Equity 100000 End Equity 99161 Net Profit -0.839% Sharpe Ratio -3.86 Sortino Ratio -2.572 Probabilistic Sharpe Ratio 0.860% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.112 Beta 0.047 Annual Standard Deviation 0.03 Annual Variance 0.001 Information Ratio -0.673 Tracking Error 0.062 Treynor Ratio -2.456 Total Fees $4.00 Estimated Strategy Capacity $3900000.00 Lowest Capacity Asset GOOCV 30JDODOEFOQTI\|GOOCV VP83T1ZUHROL Portfolio Turnover 0.37%

#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 LongButterflyStrategy : QCAlgorithm
    {
        private Symbol _symbol;

        public override void Initialize()
        {
            SetStartDate(2017, 4, 1);
            SetEndDate(2017, 4, 23);
            SetCash(100000);

            var option = AddOption("GOOG", Resolution.Minute);
            _symbol = option.Symbol;
            option.SetFilter(universe => universe.IncludeWeeklys().IronButterfly(30, 5));
        }

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

            // Select expiry
            var expiry = chain.Max(x => x.Expiry);

            // Separate the call and put contracts
            var calls = chain.Where(x => x.Right == OptionRight.Call  && x.Expiry == expiry);
            var puts = chain.Where(x => x.Right == OptionRight.Put && x.Expiry == expiry);
            if (calls.Count() == 0 || puts.Count() == 0) return;

            // Get the ATM and OTM strike prices
            var atmStrike = calls.OrderBy(x => Math.Abs(x.Strike - chain.Underlying.Price)).First().Strike;
            var otmPutStrike = puts.Min(x => x.Strike);
            var otmCallStrike = 2 * atmStrike - otmPutStrike;

            // Order Strategy
            var ironButterfly = OptionStrategies.IronButterfly(_symbol, otmPutStrike, atmStrike, otmCallStrike, expiry);
            Buy(ironButterfly, 1);
        }
    }
}