Overall Statistics
Total Orders
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
-1.961%
Drawdown
0.100%
Expectancy
0
Start Equity
500000
End Equity
499548
Net Profit
-0.090%
Sharpe Ratio
-16.787
Sortino Ratio
-18.948
Probabilistic Sharpe Ratio
0.160%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.018
Beta
-0.006
Annual Standard Deviation
0.001
Annual Variance
0
Information Ratio
-15.286
Tracking Error
0.044
Treynor Ratio
3.55
Total Fees
$2.00
Estimated Strategy Capacity
$1200000.00
Lowest Capacity Asset
GOOCV WIJN1A64I33A|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 BearPutSpreadStrategy : QCAlgorithm
    {
        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().CallCalendarSpread(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 call options from the contracts which is ATM in the option chain.
            var calls = chain.Where(x => x.Strike == atmStrike && x.Right == OptionRight.Call);
            if (calls.Count() == 0) return;

            // sorted the optionchain by expiration date
            var expiries = calls.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.CallCalendarSpread(_symbol, atmStrike, nearExpiry, farExpiry);
            // We open a position with 1 unit of the option strategy
            Buy(optionStrategy, 1);        // if long call calendar spread
            //Sell(optionStrategy, 1);     // if short call calendar spread
        }
    }
}