#include <contract.c>
// Define your global parameters such as target profit, days to expiration, and strike price offset
var TargetProfit = 500; // Example target profit
int DaysToExpiration = 30; // Target days until expiration
var StrikeOffset = 50; // Offset from the current price for strike selection
void run() {
// Setup basic parameters
BarPeriod = 1440; // Use daily bars
LookBack = 0; // No need for historical bars in options trading setup
StartDate = 2020;
EndDate = 2024; // Set your backtest period
assetList("AssetsIB");
asset("SPY"); // Example using SPY ETF as the underlying asset
// Ensure we're trading in American Options for SPY
AmericanOption = 1;
// Update the contract chain for the underlying asset
if(!contractUpdate(Asset, 0, CALL | PUT)) return;
// Trading logic executed once per day
if(is(EXITRUN)) return; // Skip logic at the end of the backtest
// Define your strangle strategy here
if(NumOpenLong + NumOpenShort == 0) { // Check if there's no open position
// Calculate target strike prices based on current price and offset
var CurrentPrice = priceClose(0);
var StrikeCall = CurrentPrice + StrikeOffset;
var StrikePut = CurrentPrice - StrikeOffset;
// Attempt to find and enter a Strangle combo
if(combo(
contractFind(CALL, DaysToExpiration, StrikeCall), 1, // Buy 1 Call
contractFind(PUT, DaysToExpiration, StrikePut), 1, // Buy 1 Put
0, 0)) {
// Enter the combo trade
enterLong(comboLeg(1)); // Enter long for the call option leg
enterLong(comboLeg(2)); // Enter long for the put option leg
}
}
// Monitor and manage open positions
for(open_trades) { // Loop through all open trades
if(TradeIsOption && TradeIsOpen && (comboProfit(TradePriceClose, 1) > TargetProfit || daysToExpiration() < 5)) {
exitTrade(ThisTrade); // Close the trade if target profit is reached or approaching expiration
}
}
}
// Placeholder function for days to expiration calculation - implement as needed
int daysToExpiration() {
// Custom logic to calculate and return days to expiration for the current combo
return 10; // Placeholder return value
}
// Placeholder function for calculating combo profit - implement based on actual requirements
var comboProfit(var CurrentClosePrice, int Leg) {
// Custom logic to calculate and return profit for the combo based on current prices
return 600; // Placeholder return value
}