Monthly-Long-ATM-Call-Strategy

CODE:
using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript1
{
   public class MyStrategy : UserStrategyBase
   {
      string _osym;
      DateTime _expiry;
      BarHistory _obars;  // the option's BarHistory
      int _hash = -1;
      UniqueList<string> _syms = new UniqueList<string>();
      TimeSeries _iv;         // implied volatility estimate
      int useSchwab;
      TimeSeries _hv;

      //create indicators and other objects here, this is executed prior to the main trading loop
      public override void Initialize(BarHistory bars)
      {
         int hvbars = 144;
         _hv = HV.Series(bars.Close, hvbars, 89) / 100.0;
         PlotTimeSeries(_hv, "HV", "HV");
         StartIndex = hvbars;
      }

      //execute the strategy rules here, this is executed once for each bar in the backtest history
      public override void Execute(BarHistory bars, int idx)
      {
         Position opt = FindOpenPositionAllSymbols(_hash);

         if (opt == null)
         {

            // Use a synthetic contract. Cone states in webinar that synthetic can work for daily bars.
            _osym = OptionSynthetic.GetOptionsSymbol(bars, OptionType.Call, bars.Close[idx], bars.DateTimes[idx], 30, useWeeklies: false, allowExpired: true);


            _hash = Math.Abs(_osym.GetHashCode());
            _expiry = OptionsHelper.SymbolExpiry(_osym);

            WriteToDebugLog("-------");
            WriteToDebugLog("Buying on " + bars.DateTimes[idx]);
            WriteToDebugLog("Should Expire on " + _expiry);

            //GetHistory generates Barhistory objects based on Stock's BarHistory and Implied IV            
            _obars = OptionSynthetic.GetHistory(bars, _osym, _hv);
            _syms.Add(_obars.Symbol);

            // Buy 1 Call.
            Transaction t2 = PlaceTrade(_obars, TransactionType.Buy, OrderType.Market, 0, _hash, "Buy 1 call");
            t2.Quantity = 1;
         }
         else
         {

            // close the position at expiry
            if (bars.DateTimes[idx].AddDays(1) >= _expiry)
            {
               ClosePosition(opt, OrderType.Market, 0, "Expired");
               WriteToDebugLog("Selling on " + bars.DateTimes[idx]);
            }

         }

      }
      public override void Cleanup(BarHistory bars)
      {
         // don't overload the chart with panes - plot only the last 5 contracts that were traded in Single Symbol Mode         
         if (!Backtester.Strategy.SingleSymbolMode)
            return;

         // Indicate the trades
         foreach (Position p in GetPositionsAllSymbols())
         {
            if (p.Bars == bars || _syms.IndexOf(p.Symbol) < _syms.Count - 5)
               continue;

            PlotBarHistory(p.Bars, p.Symbol);
            if (!p.NSF)
            {
               if (p.EntryBar > 0)
                  DrawTextVAlign("▲", p.EntryBar, p.Bars.Low[p.EntryBar] * 0.95, VerticalAlignment.Top, WLColor.NeonBlue, 16, 0, 0, p.Symbol, true);
               if (p.ExitBar > 0)
                  DrawTextVAlign("▼", p.ExitBar, p.Bars.High[p.ExitBar] * 1.05, VerticalAlignment.Bottom, WLColor.NeonFuschia, 16, 0, 0, p.Symbol, true);
            }
         }

      }
   }
}