Backtest

Overall Statistics
Total Orders 4 Average Win 0% Average Loss 0% Compounding Annual Return -14.227% Drawdown 1.300% Expectancy 0 Start Equity 100000 End Equity 99134.8 Net Profit -0.865% Sharpe Ratio -3.211 Sortino Ratio -2.581 Probabilistic Sharpe Ratio 7.142% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.108 Beta 0.139 Annual Standard Deviation 0.037 Annual Variance 0.001 Information Ratio -0.732 Tracking Error 0.061 Treynor Ratio -0.85 Total Fees $5.20 Estimated Strategy Capacity $21000.00 Lowest Capacity Asset GOOCV WJVVXYXTEWYU\|GOOCV VP83T1ZUHROL Portfolio Turnover 0.20%

#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 ShortIronCondorStrategy : 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.Strikes(-5, 5)
                                                 .Expiration(TimeSpan.FromDays(0), TimeSpan.FromDays(30)));
        }

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

            // Find put and call contracts with the farthest expiry
            var expiry = chain.Max(x => x.Expiry);
            var contracts = chain.Where(x => x.Expiry == expiry).OrderBy(x => x.Strike);

            var putContracts = contracts.Where(x => x.Right == OptionRight.Put).ToArray();
            var callContracts = contracts.Where(x => x.Right == OptionRight.Call).ToArray();

            if (putContracts.Length < 3 || callContracts.Length < 3) return;

            // Select the strategy legs
            var nearCall = callContracts[^3];
            var farCall = callContracts[^1];
            var nearPut = putContracts[2];
            var farPut = putContracts.Single(x => x.Strike == nearPut.Strike - farCall.Strike + nearCall.Strike);

            // Order Strategy
            var shortIronCondor = OptionStrategies.ShortIronCondor(
                _symbol, 
                farPut.Strike,
                nearPut.Strike,
                nearCall.Strike,
                farCall.Strike,
                expiry);

            Buy(shortIronCondor, 2);
        }
    }
}