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I'm building an option premium selling algo with UVXY as the underlying, using hourly VIX ticks as the indicator. VIX ticks are fed into a RollingWindow and compared against the current VIX tick using a percentile rank with SciPy (line 36). Once in a short option position, the trade can be closed 3 ways: too close to expiration (line 43), unrealized profit on the option premium hits a 100% loss (line 48), unrealized profit on the option premium hits a 75% gain (line 52).
I cannot figure out why my backtest enters only one trade, holds until expiry & assignment, and then doesn't trade again..
Still consider myself a beginner at QuantConnect with a decent entry-level understanding of Python data structures, any help is greatly appreciated.
Louis Szeto
Hi Eli
I believe you have an extra level of indent from line 33 to 55.
Best
Louis
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Eli Laycock
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.
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