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Title: Developing a Two Level Options Trading Strategy Based on Option Pair Optimization of Spread Strategies with Evolutionary Algorithms
Authors: Uçar, İlknur
Özbayoğlu, Ahmet Murat
Uçar, Mustafa
Keywords: Program processors
Particle swarm optimization (PSO)
genetic programming
Issue Date: 2015
Publisher: IEEE
Source: Ucar, I., Ozbayoglu, A. M., & Ucar, M. (2015, May). Developing a two level options trading strategy based on option pair optimization of spread strategies with evolutionary algorithms. In 2015 IEEE Congress on Evolutionary Computation (CEC) (pp. 2526-2531). IEEE.
Abstract: In this study, a two level options trading strategy is modelled and optimized with Genetic Algorithms and Particle Swarm Optimization for profit maximization. In the first level, the trend is found and in the second level, options trading strategies for the particular trend are determined. The strike prices and expiration dates of the traded options are optimized and tested on 5 different Exchange Traded Funds (ETFs) (DIA, IWM, SPY, XLE, XLF). The performance of the proposed model is compared with Buy and Hold and commonly used technical analysis indicators and the results indicate using optimized options increased the overall profit with less drawdown risk.
Description: IEEE Congress on Evolutionary Computation (CEC) (2015 : Sendai, JAPAN)
ISBN: 978-1-4799-7492-4
Appears in Collections:Bilgisayar Mühendisliği Bölümü / Department of Computer Engineering
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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