Python on deskriders

Short Straddles with Laddering

Fri, 10 Jan 2025 11:10:08 +0000

Short Straddles

For e.g. Given that our account can trade 5 SPX contracts at once.

Here are the results

(a) 1 Contract Every Day (Max 5 Positions) > 45 DTE Expiry

Tue, 07 Jan 2025 11:55:48 +0000

Hypothesis: What if we avoid new trade if RSI is overbought or oversold?

Backtest with different RSI thresholds and different RSI periods

RSI Thresholds:

RSI Period: 4

rsi_low_values=(0 10 20 30)  
rsi_high_values=(70 80 90 100)

Best Parameters by Expectancy Ratio:

rsi_low_threshold=20, rsi_high_threshold=100
Expectancy Ratio: 1.08
This combination shows the highest expectancy ratio, indicating it provides the best risk-adjusted returns.
rsi_low_threshold=30, rsi_high_threshold=100
Expectancy Ratio: 1.06
Second-best expectancy ratio.
rsi_low_threshold=30, rsi_high_threshold=70
Expectancy Ratio: 1.04
Third-best expectancy ratio.

Key Observations:

Thu, 12 Dec 2024 11:47:51 +0000

The Options data is retrieved from optionsdx. This page documents the field definitions

The downloaded files will be zipped, so extract them into a single directory. It’ll look something like this:

Use the optionsdx-data-importer.py script to import all the data in an SQLite database

$ uvr optionsdx-data-importer.py --input $(pwd)/data/spy_eod --output data/spy_eod.db -v

The finished database will have an options_data table with all the data from the downloaded files.