Offline Algorithms in Low-Frequency Trading
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Offline Algorithms in Low-Frequency Trading
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Re: Offline Algorithms in Low-Frequency Trading
#2If low frequency trading interests you, here's a project some people might want to check out: https://github.com/brndnmtthws/thetagang
It's designed to sell option premium on major indices (like the S&P500 or NASDAQ-100) to generate mostly passive income, with a fairly reasonable risk-adjusted return. It uses a combination of strategies that involve selling naked puts and covered calls, which both have the same risk profile, but naked puts tend to have higher premiums.
Re: Offline Algorithms in Low-Frequency Trading
#3If low frequency trading interests you, here's a project some people might want to check out: https://github.com/brndnmtthws/thetagang It's designed to sell option premium on major indices (like the S&P500 or NASDAQ-100) to generate mostly passive income, with a fairly reasonable risk-adjusted return. It uses a combination of strategies that involve selling naked puts and covered calls, which both have the same risk…
What does the tail risk look like on this strategy and what kind of annual return do you expect?
Re: Offline Algorithms in Low-Frequency Trading
#4If low frequency trading interests you, here's a project some people might want to check out: https://github.com/brndnmtthws/thetagang It's designed to sell option premium on major indices (like the S&P500 or NASDAQ-100) to generate mostly passive income, with a fairly reasonable risk-adjusted return. It uses a combination of strategies that involve selling naked puts and covered calls, which both have the same risk…
What does the tail risk look like on this strategy and what kind of annual return do you expect?
You’re taking the tail risk on the down side but you’ve sold it on the upside for extra yield.
Re: Offline Algorithms in Low-Frequency Trading
#5This is worth a read if only because of the clear introductory explanation of the market clearing mechanism.
However, it’s not a profit maximizing algo that will make you rich (not that there’s anything wrong with that).
Re: Offline Algorithms in Low-Frequency Trading
#6Earlier quoted context omitted.
What does the tail risk look like on this strategy and what kind of annual return do you expect?
You’re taking the tail risk on the down side but you’ve sold it on the upside for extra yield.
I undestand words but I have absolutely no clue what you're talking about. Can you recommend some books on the topic?
Re: Offline Algorithms in Low-Frequency Trading
#7If low frequency trading interests you, here's a project some people might want to check out: https://github.com/brndnmtthws/thetagang It's designed to sell option premium on major indices (like the S&P500 or NASDAQ-100) to generate mostly passive income, with a fairly reasonable risk-adjusted return. It uses a combination of strategies that involve selling naked puts and covered calls, which both have the same risk…
What does the tail risk look like on this strategy and what kind of annual return do you expect?
Selling a deep in the money put behaves like owning the stock (probably with margin, but it depends on how many puts you are selling compared to your reserves of cash and short term "safe" bonds) except that you are capping your gains.
The further towards out of the money you go the more it behaves like picking up pennies in front of a steamroller. But an interesting quirk of selling puts compared to calls is that the downside is limited. The stock can't go below 0.
Re: Offline Algorithms in Low-Frequency Trading
#8If low frequency trading interests you, here's a project some people might want to check out: https://github.com/brndnmtthws/thetagang It's designed to sell option premium on major indices (like the S&P500 or NASDAQ-100) to generate mostly passive income, with a fairly reasonable risk-adjusted return. It uses a combination of strategies that involve selling naked puts and covered calls, which both have the same risk…
Re: Offline Algorithms in Low-Frequency Trading
#9Earlier quoted context omitted.
You’re taking the tail risk on the down side but you’ve sold it on the upside for extra yield.
I undestand words but I have absolutely no clue what you're talking about. Can you recommend some books on the topic?
Yes, me too. I just read about someone calle 1ronyman on Reddit, and I am interested too.
Re: Offline Algorithms in Low-Frequency Trading
#10If low frequency trading interests you, here's a project some people might want to check out: https://github.com/brndnmtthws/thetagang It's designed to sell option premium on major indices (like the S&P500 or NASDAQ-100) to generate mostly passive income, with a fairly reasonable risk-adjusted return. It uses a combination of strategies that involve selling naked puts and covered calls, which both have the same risk…
Have you been successful running this script/strategy?