Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
5.547%
Drawdown
0.200%
Expectancy
0
Net Profit
0.455%
Sharpe Ratio
6.294
Probabilistic Sharpe Ratio
98.456%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.002
Beta
0.099
Annual Standard Deviation
0.008
Annual Variance
0
Information Ratio
-8.122
Tracking Error
0.053
Treynor Ratio
0.5
Total Fees
$2.00
Estimated Strategy Capacity
$12000000.00
Lowest Capacity Asset
GOOCV WIJN1DYW4LLY|GOOCV VP83T1ZUHROL
#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 BullCallSpreadStrategy : QCAlgorithm
    {
        private Symbol _symbol;

        public override void Initialize()
        {
            SetStartDate(2017, 2, 1);
            SetEndDate(2017, 3, 5);
            SetCash(500000);

            var option = AddOption("GOOG", Resolution.Minute);
            _symbol = option.Symbol;
            option.SetFilter(universe => universe.IncludeWeeklys()
                                                 .Strikes(-15, 15)
                                                 .Expiration(TimeSpan.FromDays(0), TimeSpan.FromDays(31)));
        }

        public override void OnData(Slice slice)
        {
            if (Portfolio.Invested) return;

            // Get the OptionChain of the symbol
            var chain = slice.OptionChains.get(_symbol, null);
            if (chain.Count() == 0) return;

            // sorted the optionchain by expiration date and choose the furthest date
            var expiry = chain.OrderByDescending(x => x.Expiry).First().Expiry;
            
            // filter the call options from the contracts which expire on the furthest expiration date in the option chain.
            var calls = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Call);
            if (calls.Count() == 0) return;

            // sort the call options with the same expiration date according to their strike price.
            var callStrikes = calls.Select(x => x.Strike).OrderBy(x => x);

            // select the strike prices for forming the option legs
            // the ITM call option with the lowest strike price (long) and the OTM call with the highest strike price (short).
            var itmStrike = callStrikes.First();
            var otmStrike = callStrikes.Last();

            var optionStrategy = OptionStrategies.BullCallSpread(_symbol, itmStrike, otmStrike, expiry);
            // We open a position with 1 unit of the option strategy
            Buy(optionStrategy, 1);
        }
    }
}