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§Strategies: turning SD into option trades
A strategy answers two questions every day:
- Flat? Should I open a trade, and if so, which option legs?
- In a trade? Should I close it today?
That is the whole Strategy trait. Pricing, costs, expiry, marking to
market and bookkeeping all live in sim, so a new idea is ~30 lines:
implement name, thesis, enter and exit, add it to catalog, and
run cargo run --release --bin sd_options.
§The ideas, and why each exists
The backtests in docs/ showed SD v2 is good at how big and poor at
which way. Options let you trade those two separately:
| Strategy | Bets on | Uses from SD | Why it might work |
|---|---|---|---|
CoilStraddle | a big move, either way | squeeze + expected move vs implied move | squeezes precede expansions; buy vol when it looks cheap |
QuietCondor | a small move | low expected move, no squeeze, no live fire | sell vol when SD expects calm and options price more |
FireVertical | direction after a fire | lean, intensity, decay | the classic SD trade, kept to measure it honestly |
SdRouter | whichever regime SD sees | everything | one account, one position, the right tool per regime |
Always* baselines | nothing | nothing | the same trades on a timer: SD must beat these to earn its keep |
Modules§
- book
- Book: trading a full month or a full year, the way a person would
- pricing
- Pricing: what an option costs
- sim
- Simulator: the honest bookkeeper
Structs§
- Always
- The same trade structure on a timer, ignoring SD entirely.
- Coil
Straddle - Buy a one-month straddle while price is coiled and SD expects a bigger move than options are pricing.
- Context
- Everything a strategy may look at on one bar. All of it is known at the close of that bar; nothing comes from the future.
- Fire
Vertical - The classic SD trade: when a squeeze fires with a clear lean, buy a debit spread toward SD’s expected move.
- LegSpec
- One option leg, with strike given as a multiple of spot (1.00 = ATM).
- Named
- Gives any strategy a different display name (handy for variants).
- Open
View - What an open trade looks like to
exit. - Plan
- What to open.
- Quiet
Condor - Sell a defined-risk iron condor when SD expects calm and options price more movement than SD does.
- SdRouter
- One position at a time, the right tool for the regime SD reports.
- Weekly
Coil Straddle - CoilStraddle on a one-week clock: the same “coiled and cheap” test, a straddle that expires in about a week, and quick exits. Short options carry more gamma (they react more to a sudden move) but also lose value faster each day and pay proportionally more in spreads.
Constants§
- MONTH
- A month of option life in trading days (≈30 calendar days).
- WEEK
- A week of option life (trading days).
Traits§
- Strategy
- The whole contract between an idea and the simulator.
Functions§
- catalog
- Every strategy the options backtester runs.
- short_
catalog - Short-horizon option strategies (intra-week / few-day setups).