Overall Statistics Total Trades2Average Win0%Average Loss0%Compounding Annual Return5.547%Drawdown0.200%Expectancy0Net Profit0.455%Sharpe Ratio6.294Probabilistic Sharpe Ratio98.456%Loss Rate0%Win Rate0%Profit-Loss Ratio0Alpha0.002Beta0.099Annual Standard Deviation0.008Annual Variance0Information Ratio-8.122Tracking Error0.053Treynor Ratio0.5Total Fees$2.00Estimated Strategy Capacity$12000000.00Lowest Capacity AssetGOOCV WIJN1DYW4LLY|GOOCV VP83T1ZUHROL
from AlgorithmImports import *

def Initialize(self):
self.SetStartDate(2017, 2, 1)
self.SetEndDate(2017, 3, 5)
self.SetCash(500000)

self.symbol = option.Symbol
option.SetFilter(self.UniverseFunc)

def UniverseFunc(self, universe):
return universe.IncludeWeeklys().Strikes(-15, 15).Expiration(timedelta(0), timedelta(31))

def OnData(self, slice: Slice) -> None:
if self.Portfolio.Invested: return

# Get the OptionChain
chain = slice.OptionChains.get(self.symbol, None)
if not chain: return

# Get the furthest expiration date of the contracts
expiry = sorted(chain, key = lambda x: x.Expiry, reverse=True)[0].Expiry

# Select the call Option contracts with the furthest expiry
calls = [i for i in chain if i.Expiry == expiry and i.Right == OptionRight.Call]
if len(calls) == 0: return

# Select the ITM and OTM contract strike prices from the remaining contracts
call_strikes = sorted([x.Strike for x in calls])
itm_strike = call_strikes[0]
otm_strike = call_strikes[-1]

option_strategy = OptionStrategies.BullCallSpread(self.symbol, itm_strike, otm_strike, expiry)
self.Buy(option_strategy, 1)