Original Content

MACD - RSI - Short Puts

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.

/VX Futures Contango

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.

RSI Short Puts

Study:

Traders often look for “oversold” stocks to get long. Our trading group recently discussed if using common technical analysis metrics like RSI (Relative Strength Index), could be used to find these opportune entries using options?