I'm building an option premium selling algo with UVXY as the underlying, using hourly VIX ticks as the indicator. VIX ticks are fed into a RollingWindow and compared against the current VIX tick using a percentile rank with SciPy (line 36). Once in a short option position, the trade can be closed 3 ways: too close to expiration (line 43), unrealized profit on the option premium hits a 100% loss (line 48), unrealized profit on the option premium hits a 75% gain (line 52).

I cannot figure out why my backtest enters only one trade, holds until expiry & assignment, and then doesn't trade again..

Still consider myself a beginner at QuantConnect with a decent entry-level understanding of Python data structures, any help is greatly appreciated.

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