Calculation method and system for leveling threshold of option vacancy strategy and medium

Abstract

The invention provides a method and a system for calculating a leveling threshold of an option vacancy strategy and a medium. The method comprises the following steps: a data processing step: obtaining 50ETF option contract list data, minute-level market data of each 50ETF option contract and minute-level market data of a certified 50 index from a financial data website, and carrying out data processing to obtain processed option data; a strategy operation step: according to the obtained option data, judging whether to open the warehouse or not through an operation strategy, and if so, entering a combined tracking step; otherwise, the current transaction day has no transaction, the next transaction day is entered, and the data processing step is returned to continue to be executed; and a combination tracking step: tracking the Delta value of the option combination in real time, and leveling the warehouse when a preset condition is met. According to the method, the situation that Deltafluctuation distribution is not uniform is solved through rolling back measurement inside and outside a sample; according to the method, the problem of original threshold failure is solved by calculating the standard deviation of Delta.

Description

technical field [0001] The present invention relates to the technical field of futures trading, in particular to a calculation method, system and medium for a liquidation threshold of an option short strategy. Background technique [0002] Currently, the closing operation in the short straddle strategy is based on the Delta position. Under normal circumstances, Delta detection is performed at any time, and when the Delta reaches a preset threshold, the position is closed and the stop loss is performed. Among them, the threshold is obtained by fitting the return curve, maximum backtest, Sharpe ratio and other indicators based on the strategy backtest. However, this fitting method is too simple, and the fixed threshold is also prone to failure. [0003] Therefore, although the existing stop-loss closing strategy can close the position, it is not effective enough. It does not address the uneven distribution of Delta fluctuations during the backtest period; nor does it addres...

AI Technical Summary

Problems solved by technology

However, this fitting method is too simple, and the fixed threshold is also prone to failure

[0003] Therefore, although the existing stop loss closing strategy can close the position, it is not effective enough

It does not address the uneven distribution of Delta fluctuations during the backtest period; nor does it address the failure of thresholds based on historical data