Different entry date

[att97]

Hi all,

I'm not able to test a very simple strategy:

- at the third Friday of Month I want to sell a Put "x" days expiration and I want to sell a Call "x" days expiration

- After 30 days I want to Buy a Put "x-30" days expiration

- Every contract will expire at the same time ("x" days from now)

When I backtest the strategy, it open each 3 contract at the same time. It does not wait 30 days to open the third operation.

Where is the matter?

Thanks for your collaboration.

Best regards.

Carlo

[OptionStack]

You can use Rolling to add new positions that reference prior positions, such as maintaining the same expiration / strikes / quantity as prior positions.  Rolling can be used to enter new positions with or without closing the prior positions.  

Specifically, in your strategy, you can "Roll From" your short put into a long put with same expiration by using the maintainSameExpirationDatesDuringRoll strategy filter.  And to avoid closing your short put automatically during the roll, you can use the doNotCloseParentPositionBeingRolled strategy filter.  

This will result in a new long put position with the same expiration date as your existing short put.  

Here is a working example:  Different Entry Dates With Same Expiration Date

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by OptionStack. In addition, the content of the website offers no opinion with respect to the suitability of any security or any specific investment.  There are no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. Past performance is no indication or guarantee of future results. All investments involve risk – including loss of principal. You should consult with an investment professional before making any investment decisions.

[att97]

Very useful!

Thank you so much.

Best regards.

Carlo

[att97]

Hi,

Meanwhile I found this other solution.

This one allows me to set a different number of contracts each leg (also the "rolling one"), if necessary.

It seems good. What do you think about that?

Hope it will be useful for other people.

Best regards.

Carlo

Il giorno giovedì 27 ottobre 2022 alle 07:17:16 UTC+2 OptionStack ha scritto: