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Delta neutral trading and gamma scalping by SL

Hi, Colleagues,

This is my first algo on QC, so don't judge strictly.

The  idea is to backtest delta neutral trading, gamma scalping, ect. We buys nearest  ATM  strangle and every  minutes do delta hedge with Underlying.

But unfortunately backtest is going very slowly :(

Maybe someone could help me to optimize my code to speed up this algo.

Update Backtest








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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.


Hi SLs,

Welcome to QC and congratulations to your first algo! We are looking into your algo and will let you know if we find ways to optimize it. Thank you for your support!

Best

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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.


Thank You, Xin Wei

in the moment the module wich calculate portfolio delta look like this, please feel free to use and  optimize it.

def get_greeks(self, slice):
#self.myOptionPortfolio = set(filter(lambda x: self.Portfolio[x.Symbol].Invested, self.myOptionPortfolio))
for chain in slice.OptionChains.Values:
#traded_contracts = set(filter(lambda x: x in self.myOptionPortfolio, chain))
for i in chain:
for e in self.myOptionPortfolio:
if not self.Portfolio[e.Symbol].Invested: self.myOptionPortfolio.remove(e); continue;
if i.Symbol == e.Symbol:
self.myOptionPortfolio.remove(e)
self.myOptionPortfolio.add(i)


opt_deltas = sum( [opt.Greeks.Delta*self.Portfolio[opt.Symbol].Quantity for opt in self.myOptionPortfolio] )

futpos = self.Portfolio[self.stock].Quantity

self.Delta=opt_deltas + futpos/100

 

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Hi SLs,

Sure. Thank you for posting your updates on the forum!

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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.


Update Backtest





0

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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