-
-
Notifications
You must be signed in to change notification settings - Fork 159
API Reference
Michael Chu edited this page Oct 11, 2020
·
20 revisions
All functions defined in this page have the following common parameters:
- data (pandas.DataFrame, required): Pandas DataFrame containing the data to generate calls strategies for
- dte_interval (int, default: 7): An integer representing the amount of days to group by, used for "Days to Expiration"
- max_entry_dte (int, default: 90): An integer representing the max days to expiration on entry to consider
- exit_dte (int, default: 0): An integer representing the days to expiration on exit, defaults to exit on expiration date
- otm_pct_interval (float, default: 0.05): A percentage numeral representing the OTM percent to group generated strategies by. (formula: (strike - underlying price) / strike)
- max_otm_pct (float, default: 0.5): Maximum OTM percentage to consider when generating strategy
- min_bid_ask (float, default: 0.05): The smallest bid/ask price to consider on entry. This is generally the price at which the option is considered worthless
- drop_nan (bool, default: True): Remove rows where NaN were returned, likely due to insufficient data
- raw (bool, default: False): Return only generated trades for the specified option strategy without grouping by dte_interval and otm_pct_interval. It's not recommend to set this parameter to True, as large amounts of trades maybe generated depending on strategy
All statistics generated from Optopsy functions below are for percentage change.
Copyright © 2020, Michael Chu