Equity Option Volatility Scalping Strategy by Duke He

Hi community members~

I need some help on my codes, which aim to use Implied Volatility v.s. Historical Volatility as indicators to indentify long/short straddle opportunities and create a long/short portfolio rebalanced monthly. The codes did not run through. Would appreciate if anyone could help take a look and diagnose. Cheers!

Duke

This looks great Tony, it's definitely something you would want to make available across multiple algorithms. You can create custom libraries in the Algorithm Lab and access those from different algorithms. If you look at the side-bar in the terminal, there is a section beneath the files in your current project where you can create custom libraries. Just click the "Add New Library" button! You can also see the answer to a similar question that was posted here.

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.

Platform

Radically Open-Source Algorithmic Trading Engine

Join Our Discord Channel

Quarterly Open-Source Trading Competition

Draft Discussions

Bookmarked Discussions

SEARCH DISCUSSIONS

366,800 Quants.

VOTE FOR UPCOMING FEATURES

JOIN OUR Community MAILING LIST

IN THIS RESEARCH

PARTICIPANTS

Actions

Join QuantConnect for Free