Comments on: Algorithmic Options Trading 3 https://financial-hacker.com/algorithmic-options-trading-part-3/ A new view on algorithmic trading Wed, 29 Sep 2021 16:11:55 +0000 hourly 1 By: Old bookmarks – chaosplay https://financial-hacker.com/algorithmic-options-trading-part-3/#comment-74960 Wed, 29 Sep 2021 16:11:55 +0000 http://www.financial-hacker.com/?p=2718#comment-74960 […] In this article we’ll look into a real options trading strategy, like the strategies that we code for clients. This one however is based on a system from a trading book. As mentioned before, options trading books often contain systems that really work – which can not be said about day trading or forex trading books. The system examined here is indeed able to produce profits. Which is not surprising, since it apparently never loses. But it is also obvious that its author has never backtested it: https://financial-hacker.com/algorithmic-options-trading-part-3/ […]

]]> By: jcl https://financial-hacker.com/algorithmic-options-trading-part-3/#comment-72884 Tue, 20 Jul 2021 07:47:25 +0000 http://www.financial-hacker.com/?p=2718#comment-72884 You can generate artificial options data with the script from a previous article, but you don’t need that for SPY. You can get real SPY options data from the Zorro website.

]]> By: luca https://financial-hacker.com/algorithmic-options-trading-part-3/#comment-72862 Mon, 19 Jul 2021 20:04:31 +0000 http://www.financial-hacker.com/?p=2718#comment-72862 Hi jcl, how can i get the spya.t8 data you use in the test? thank you

]]> By: Wiz of Greens https://financial-hacker.com/algorithmic-options-trading-part-3/#comment-69618 Tue, 16 Feb 2021 07:47:47 +0000 http://www.financial-hacker.com/?p=2718#comment-69618 Hi -thank you for the article – i found it useful and interesting one
I wonder if combining in the rolling mechanism a 3rd part which is rolling down (strike wise)
the “winning leg” can improve the results
Also the observation about the directional trending behavior of the underline asset is in place
but i found out that using the same mechanism on short calls that been pierced (breakout in the underline) can be useful to the sense that you can roll it up in strike and out in time while enjoy the theta decay -in that case the short call act as a p&l buffer to the underline moves

]]> By: jcl https://financial-hacker.com/algorithmic-options-trading-part-3/#comment-66576 Wed, 19 Aug 2020 13:25:59 +0000 http://www.financial-hacker.com/?p=2718#comment-66576 We did it, but with mixed results. Options expire only once a week. That’s normally not enough data for predicting returns, or predicting the price at expiration. Options selling or buying is a trading method where machine learning cannot provide much advantage.

]]> By: Thomas Williams https://financial-hacker.com/algorithmic-options-trading-part-3/#comment-66575 Wed, 19 Aug 2020 13:17:46 +0000 http://www.financial-hacker.com/?p=2718#comment-66575 Have you used machine learning for options? Does it make sense?

]]> By: jcl https://financial-hacker.com/algorithmic-options-trading-part-3/#comment-63693 Sat, 11 Jan 2020 13:16:53 +0000 http://www.financial-hacker.com/?p=2718#comment-63693 If your strategy or asset produces significantly different returns with artificial data, you’ll need real data for testing it – I think that is obvious.

]]> By: brian https://financial-hacker.com/algorithmic-options-trading-part-3/#comment-63691 Sat, 11 Jan 2020 12:28:36 +0000 http://www.financial-hacker.com/?p=2718#comment-63691 I’m sorry. I didn’t understand the last part.

you can trust that you better use real data for that asset and strategy.?

]]> By: jcl https://financial-hacker.com/algorithmic-options-trading-part-3/#comment-63687 Sat, 11 Jan 2020 09:49:31 +0000 http://www.financial-hacker.com/?p=2718#comment-63687 Unless the difference is caused by using strikes or expirations not present in the artificial data, you can trust that you better use real data for that asset and strategy.

]]> By: Brian T. Fox https://financial-hacker.com/algorithmic-options-trading-part-3/#comment-63680 Fri, 10 Jan 2020 19:49:56 +0000 http://www.financial-hacker.com/?p=2718#comment-63680 jcl. I see significantly better returns using the artificial options over the real data. Can I trust the results?

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