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CoilStraddle

portfolio_analyzer::strategy

Struct CoilStraddle 

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pub struct CoilStraddle {
    pub min_edge: f64,
}
Expand description

Buy a one-month straddle while price is coiled and SD expects a bigger move than options are pricing.

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§min_edge: f64

Minimum vol_edge to buy. 1.30 was chosen on 2001-2018 data only (sd_options --sweep): returns rise steadily with the edge, and above 1.45 there are too few trades to trust.

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impl Strategy for CoilStraddle

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fn name(&self) -> &'static str

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fn thesis(&self) -> &'static str

One paragraph: what it bets on and why SD should help.
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fn enter(&self, ctx: &Context<'_>) -> Option<Plan>

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fn exit(&self, ctx: &Context<'_>, open: &OpenView) -> bool

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