Summary:
The intent for this post is to build technical analysis tools (RSI, MACD) into our studies and use them as entry points. We have selected a single entry criteria and exit target combination to build these functions. In future posts we can then use grid search to perform hyperparameter optimization of these entry and exit criteria and compare results with a baseline strategy. The goal of this post is not to evaluate the performance of the strategy but to continue with building tools that allow futher research.
The #rstats for this post is on GitHub
Volatility futures contracts are used in many trading strategies. The relationship between the prices of different maturities and the gap from the spot price can be tested as trade entry criteria. In this post we will connect to the CBOE site and download the historical /VX futures data so that we can then calculate contango to use in future analysis.
Goals & Objectives
I have been an options trader and follower of tastytrade research and methods since 2012. For the past few years, I have backtested trading ideas to learn investment strategies and improve my skills in rstats and data analysis. This blog will chronicle those interests and developments.
