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General question about my algorithm


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anotheruser
San Francisco
 
Posts: 1 since Oct 2016
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Hi folks,

I am trying to execute algorithm below every Monday.

It opens two near weekly positions on MONDAY 12pm:

1) vertical call OTM spread with strike prices around 1.1 CurrentPrice and 1.6CurrentPrice
2) Buy Call ATM - 33% asset

It closes one or more of the positions based on IFs below and remaining positions close on the same week Friday 12pm.

Is there someone who can help me write this and also backtest? other suggestions?



--------------------------------------

Here are the main lines I looked up from manual:

POSITION 2 = 0.5 x POSITION 1

Open Position on Monday 12pm weekly options: (If MONDAY closed open on Tuesday)

POSITION 1: Vertical Call [ (GenerateStrike (3, .5), GenerateStrike (6, 1) ] & volume > 100
POSITION 2: Call Buy Stike= Strike of option(OS_FindCall(1,0)) ;


If SHORTED Vertical CALL ContractProfit >= 75% Then Buy This Bar on Close; Sell ATM Call If less than two days to expiration (Thursday, Friday)
If LONG Vertical CALL ContractProfit >= 200% Then Sell This Bar on Close;


Close remaining Positions on (same week Friday 12pm )

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