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Hello everybody,
I just wanted to submit this try to implement a strategy that I taught could be fun : a protected / defended short strangle strategy. It is made of selling an OTM Call and an OTM Put with one month expiry along with placing Stop orders to buy or short the underlying stock in case the options become in the money to hedge / have enough money for their pay out.
The control over the +100/-100 underlying stock position is not optimal at the moment and I think the small drawdown at the moment mainly comes from trend reversion while being long or short the underlying and losing money on the stock / shares position, but I am pretty proud of my first try.
It is pretty solid considering the bearish 2022 tech market (QQQ).
Feel free to work on it or comment it as I will be waiting for good improvements to increase the CAGR Vs MaxDD ratio :)
I keep on working ;)
Cheers
Mia Alissi
Based on the provided code and the knowledge sources, it seems that 'AlMoJo' is trying to implement a Short Strangle strategy with a protective measure in place. This strategy involves selling an Out of The Money (OTM) Call and an OTM Put with one month expiry.
However, there are a few points that 'AlMoJo' might want to consider:
The
universe_funcmethod is setting the option filter to include weekly options with strikes from -15 to 15 and expiration between 30 and 40 days. This is in line with the Short Strangle strategy as described in the QuantConnect Documentation.In the
on_datamethod, 'AlMoJo' is selecting the OTM Call and Put options based on the current price of the underlying asset (QQQ). This is done by filtering the option chain for contracts where the strike price is 2% above (for calls) or 2% below (for puts) the current price. This is a common approach for selecting OTM options.After selecting the contracts, 'AlMoJo' is adding them to the
contractslist and selling one contract of each. This is the main part of the Short Strangle strategy, where the trader sells an OTM Call and an OTM Put, betting that the price of the underlying asset will remain relatively stable.However, it seems that 'AlMoJo' has not implemented the protective measure mentioned in the description, which involves placing Stop orders to buy or short the underlying stock in case the options become in the money. This part of the strategy is not present in the provided code.
Also, the
CheckStopOrdersmethod that is scheduled to run every day at 15:45 is not defined in the provided code. This might be the part of the code where 'AlMoJo' intended to implement the protective measure.Lastly, 'AlMoJo' is using the
SetSecurityInitializermethod to set the market price of the securities to the last known price. This is done to ensure that the algorithm has the most recent price information when making trading decisions.In conclusion, 'AlMoJo' has implemented the main part of the Short Strangle strategy correctly, but the protective measure mentioned in the description is not present in the provided code. 'AlMoJo' might want to consider adding this part to the strategy to improve its performance.
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.
AlMoJo
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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