optimize data

Question

I have an algo that provides me signals about when to buy/sell.

I have option data and want to optimize the following while the signal remains buy:

expiry date
strike price
percent in/out of the money
when to roll (what percentage gain)

I have a Teams site if that helps

Fingers crossed

ingeborghawighorst · Answer

Sorry, but this is still very broad.&nbsp;
Do you have a question about how to use a formula or how to arrive at a result?
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If you can explain the logic, then we can help you make it work, but you can't just ask us to write a profit maximisation system. There are some very complex processes and algorithms involved and this is a major project.&nbsp;
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Break it down into smaller units and tackle one issue at a time. Please post your question into the discussion here, so people can understand what you want without having to open several workbooks. Attach files with a few rows of data only to illustrate the principle, not to have us write the final solution.

ingeborghawighorst · Answer

Hi chris_z1959&nbsp;
&nbsp;
That is a VERY vague description. What is your question?&nbsp;
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Please post a sample file with some rows of data, mock up the expected result manually, and then explain the logic that leads to the result.&nbsp;
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A phrase like "I want to optimize expiry date" really doesn't say anything about what the result should be.
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chris_z1959 · Answer

IngeborgHawighorst&nbsp;Thanks for replying and giving me some input on what is required.&nbsp;I'll upload three files that hopefully help. One will be the raw option data that has the variables I'm looking to optimize and when I say optimize I mean maximize the gains made by using the best of the variables I mentioned.ZZZ_Underlying is the raw data we boughtThe Fields Choice file shows which columns we need to keepManual_run is one of many samples we've run manually sorting through the raw data.&nbsp;Hope this helps

mathetes · Answer

chris_z1959&nbsp;&nbsp;Chris -- I'm kicking in here because I've got my own spreadsheet which tracks a number of options positions, and since that's the general area of your apparent interest I thought I'd take a look. As you no doubt know, there are a lot of different ways to approach Options trading, from a "day-trading" posture to a much more long-term view.&nbsp;The examples you've posted seem to deal exclusively with Puts, and I assume you're looking at selling Puts for income. What time-frame are you using? When I do Puts (which is not all that frequently; I do my trading within an IRA, so have to have cash to cover any potential obligations, rather than doing margin-based trading), I am following general guidelines from the Motley Fool, and I'd say the minimum time frame for selling a Put is about two weeks. I screen for a combination ofreturn amounting to a minimum of 1% per month (obviously doing the math to be the equivalent in cases where expiration is sooner than one month)strike that is a minimum of 7% below the current market priceFrankly, I do a lot more of my Options with Calls, in the form of LEAPS and Bull Call Spreads, some Covered Calls...they all tend to be pretty long term in nature.&nbsp;My data comes from daily (or more frequent) downloads from Fidelity's Active Trader Pro platform. I can get options chains on any issue, bid and ask prices, etc, for each expiration date..... I never go with Bid or Ask, always with the mid-point as a starting point, whether I'm buying or selling.&nbsp;Anyway, I mention all that just to say....I'd like to hear more of your mindset, your objectives, the level of experience you have, before attempting to make more sense of what you've uploaded.

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optimize data

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