Overall Statistics Total Trades 4 Average Win 0% Average Loss -0.97% Compounding Annual Return 65.726% Drawdown 2.200% Expectancy -1 Net Profit 8.634% Sharpe Ratio 5.283 Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0.545 Annual Standard Deviation 0.093 Annual Variance 0.009 Information Ratio -4.963 Tracking Error 0.082 Treynor Ratio 0.899 Total Fees \$0.50
```from datetime import timedelta

class LongStrangleAlgorithm(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2017, 4, 1)
self.SetEndDate(2017, 5, 30)
self.SetCash(100000)
self.symbol = option.Symbol
# set our strike/expiry filter for this option chain
option.SetFilter(-15, 15, timedelta(30), timedelta(60))
# use the underlying equity GOOG as the benchmark
self.SetBenchmark(equity.Symbol)

def OnData(self,slice):
optionchain = slice.OptionChains
for i in slice.OptionChains:
if i.Key != self.symbol: continue
chains = i.Value
contract_list = [x for x in chains]
# if there is no contracts in this optionchain, pass the instance
if (slice.OptionChains.Count == 0) or (len(contract_list) == 0): return
# if there is no securities in portfolio, trade the options
if not self.Portfolio.Invested:

for i in optionchain:
if i.Key != self.symbol: continue
chain = i.Value
# sorted the optionchain by expiration date and choose the furthest date
expiry = sorted(chain,key = lambda x: x.Expiry, reverse=True)[0].Expiry
# filter the call options from the contracts expires on that date
call = [i for i in chain if i.Expiry == expiry and i.Right == 0]
# sorted the contracts according to their strike prices
call_contracts = sorted(call,key = lambda x: x.Strike)
if len(call_contracts) == 0: continue
# choose the deep OTM call option
self.call = call_contracts[-1]
# select the put options which have the same expiration date with the call option
# sort the put options by strike price
put_contracts = sorted([i for i in chain if i.Expiry == expiry and i.Right == 1], key = lambda x: x.Strike)
# choose the deep OTM put option
self.put = put_contracts[0]