Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.11851/2001
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 |
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) | URI: | https://ieeexplore.ieee.org/document/7257199 https://hdl.handle.net/20.500.11851/2001 |
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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