Backtest

Overall Statistics
Total Trades 5 Average Win 0.10% Average Loss -0.27% Compounding Annual Return 147.358% Drawdown 1.800% Expectancy -0.309 Net Profit 7.106% Sharpe Ratio 7.718 Probabilistic Sharpe Ratio 99.770% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 0.38 Alpha 0.837 Beta 0.746 Annual Standard Deviation 0.118 Annual Variance 0.014 Information Ratio 7.42 Tracking Error 0.109 Treynor Ratio 1.221 Total Fees $3.00 Estimated Strategy Capacity $360000.00 Lowest Capacity Asset GOOCV WJVVYYG7S1JA\|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 BearPutSpreadStrategy : QCAlgorithm
    {
        private Symbol _equity;
        private Symbol _symbol;

        public override void Initialize()
        {
            SetStartDate(2017, 4, 1);
            SetEndDate(2017, 4, 30);
            SetCash(100000);

            _equity = AddEquity("GOOG", Resolution.Minute).Symbol;
            var option = AddOption("GOOG", Resolution.Minute);
            _symbol = option.Symbol;
            option.SetFilter(universe => universe.Strikes(-10, 10)
                                                 .Expiration(TimeSpan.FromDays(0), TimeSpan.FromDays(30)));
        }

        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 == null || chain.Count() == 0) return;

            // sort the optionchain by expiration date and choose the furthest date
            var expiry = chain.OrderBy(x => x.Expiry).Last().Expiry;

            // filter the call and put options from the contracts expires on that date
            var calls = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Call);
            var puts = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Put);
            if (calls.Count() == 0 || puts.Count() == 0) return;

            // sort the contracts according to their strike prices
            var callContracts = calls.OrderBy(x => x.Strike);
            var putContracts = puts.OrderBy(x => x.Strike);

            // select the furthest OTM contracts
            var call = callContracts.Last();
            var put = putContracts.First();

            Sell(call.Symbol, 1);
            Buy(put.Symbol, 1);
            Buy(_equity, 100);
        }
    }
}