Opciony: Razrabotka, optimizaciya i testirovanie torgovyh strategiy (eBook, ePUB)
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Until now, all automated trading books have focused on traditional stock instruments such as stocks, futures, or currencies. Options trading is based on other fundamental principles, logical and quantitative methods. The authors consistently describe all the stages of building automated trading systems focused on exploiting the unique characteristics of options. The book presents the basic elements of creating and formalizing strategies that operate with complexly structured portfolios, which can consist of a potentially unlimited number of option combinations. A detailed description of the ma...
Until now, all automated trading books have focused on traditional stock instruments such as stocks, futures, or currencies. Options trading is based on other fundamental principles, logical and quantitative methods. The authors consistently describe all the stages of building automated trading systems focused on exploiting the unique characteristics of options. The book presents the basic elements of creating and formalizing strategies that operate with complexly structured portfolios, which can consist of a potentially unlimited number of option combinations. A detailed description of the main methods applicable to optimizing option strategies is given. Particular attention is paid to the dynamic risk assessment of the strategy at the portfolio level (rather than individual option combinations). The proposed approach to the distribution of capital between portfolio elements allows to achieve profit maximization while maintaining a high level of diversification. In conclusion, a step-by-step algorithm for testing the strategy, assessing its reliability and stability is given; special emphasis is placed on the problem of fitting test results to historical data.
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