Exploring SPY with PUT options as hedge

class HipsterOrangeCrocodile(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2015, 1, 1)
        self.set_cash(1000000)
        self.equity = self.add_equity("SPY", Resolution.MINUTE)
        self.equity.set_data_normalization_mode(DataNormalizationMode.RAW)
        self.symbol = self.equity.symbol
        self.set_benchmark("SPY")
        self.vix = self.add_index("VIX").symbol
        self.rank = 0
        self.contract = str()
        self.contracts_added = set() 
        self.days_before_exp = 2
        self.dte = 25
        self.otm = 0.01 
        self.lookback_iv = 150 
        self.iv_lvl = 0.5 
        self.percentage = 0.9 
        self.options_alloc = 90 
        self.schedule.on(
            self.date_rules.every_day(self.symbol), 
            self.time_rules.after_market_open(self.symbol, 30), 
            self.plotting
        )
        self.schedule.on(
            self.date_rules.every_day(self.symbol), 
            self.time_rules.after_market_open(self.symbol, 30), 
            self.vix_rank
        )
        self.set_warm_up(timedelta(days=self.lookback_iv))
    def vix_rank(self):
        history = self.history(TradeBar, self.vix, self.lookback_iv, Resolution.DAILY)
        self.rank = (
            (self.securities[self.vix].price - min(history["low"])) / 
            (max(history["high"]) - min(history["low"]))
        )
    def on_data(self, data: Slice):
        if self.is_warming_up:
            return
        if not self.portfolio[self.symbol].invested:
            self.set_holdings(self.symbol, self.percentage)
        if self.rank > self.iv_lvl:
            self.buy_put(data)
        if self.contract:
            if self.contract.id.date - self.time <= timedelta(self.days_before_exp):
                self.liquidate(self.contract)
                self.log("Closed: too close to expiration")
                self.contract = str()
    def buy_put(self, data: Slice):
        if self.contract == str():
            self.contract = self.options_filter(data)
            self.log(f"Option filter done. contract={self.contract}")
            return
        elif not self.portfolio[self.contract].invested and data.contains_key(self.contract):
            qty = round(self.portfolio[self.symbol].quantity / self.options_alloc)
            self.log(f"Buying option contract {self.contract} - qty={qty}")
            self.buy(self.contract, qty)
        else:
            self.log(f"Got contract and get to buy option {self.contract}")
    def options_filter(self, data: Slice):
        contracts = self.option_chain_provider.get_option_contract_list(self.symbol, data.time)
        self.underlying_price = self.securities[self.symbol].price
        otm_puts = [i for i in contracts if i.id.option_right == OptionRight.PUT 
                            and self.underlying_price - i.id.strike_price > self.otm * self.underlying_price
                            and self.dte - 8 < (i.id.date - data.time).days < self.dte + 8
                            ]
        if len(otm_puts) > 0:
            contract = sorted(
                sorted(otm_puts, key=lambda x: abs((x.id.date - self.time).days - self.dte)),
                key=lambda x: self.underlying_price - x.id.strike_price
            )[0]
            if contract not in self.contracts_added:
                self.contracts_added.add(contract)
                self.add_option_contract(contract, Resolution.MINUTE)
            return contract
        return str()
    def plotting(self):
        self.plot("Vol Chart", "Rank", self.rank)
        self.plot("Vol Chart", "lvl", self.iv_lvl)
        self.plot("Data chart", self.symbol, self.securities[self.symbol].close)
        option_invested = [x.key for x in self.portfolio if x.value.INVESTED and x.value.TYPE == SecurityType.OPTION]
        if option_invested:
            self.plot("Data Chart", "Strike", option_invested[0].id.strike_price)
    def on_order_event(self, order_event):
        self.log(str(order_event))

Sources: Index Option Bear Call Spread Algorithm, Exploiting Term Structure Of Vix Futures, Vix Predicts Stock Index Returns, Momentum Effect In Commodities Futures, Index Option Call Calendar Spread Algorithm

Why would return increase? You spend extra on options to hedge from risks, not to get extra returns. Drawdown has reduced, so that target is reached, meaning you can invest more in the main asset to get the same drawdown, and that will increase your return.