Overall Statistics Total Trades 4 Average Win 0% Average Loss 0% Compounding Annual Return -0.598% Drawdown 0.100% Expectancy 0 Net Profit -0.047% Sharpe Ratio -8.929 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta -0.009 Annual Standard Deviation 0.001 Annual Variance 0 Information Ratio -9.31 Tracking Error 0.057 Treynor Ratio 0.548 Total Fees \$4.00
```from datetime import timedelta

class IronCondorAlgorithm(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2017, 2, 1)
self.SetEndDate(2017, 3, 1)
self.SetCash(500000)
self.symbol = option.Symbol
option.SetFilter(self.UniverseFunc)
# use the underlying equity GOOG as the benchmark
self.SetBenchmark(equity.Symbol)

def OnData(self,slice):

# If there is undelying assets in portfolio at expiration, liquidate the stocks in order to roll into new contracts
if self.Portfolio["SPY"].Quantity != 0:
self.Liquidate()

if not self.Portfolio.Invested and self.Time.hour != 0 and self.Time.minute != 0:
for i in slice.OptionChains:
chain = i.Value
contract_list = [x for x in chain]
# if there is no optionchain or no contracts in this optionchain, pass the instance
if (slice.OptionChains.Count == 0) or (len(contract_list) == 0):
return

# sorted the optionchain by expiration date and choose the furthest date
expiry = sorted(chain,key = lambda x: x.Expiry)[-1].Expiry
# filter the call and put options from the contracts
call = [i for i in chain if i.Expiry == expiry and i.Right == 0]
put = [i for i in chain if i.Expiry == expiry and i.Right == 1]

# sorted the contracts according to their strike prices
call_contracts = sorted(call,key = lambda x: x.Strike)
put_contracts = sorted(put,key = lambda x: x.Strike)
if len(call_contracts) == 0 or len(put_contracts) == 0 : continue

otm_put_lower = put_contracts
otm_put = put_contracts
otm_call = call_contracts[-10]
otm_call_higher = call_contracts[-1]