Selling the Call Option: Use fuzzy logic to evaluate the market condition and the appropriateness of the option's strike price and days to expiration.

Closing the Position: Apply fuzzy logic to decide on closing the option based on current profit and time to expiration.

Code
#include <contract.c>

var FuzzyRange = 0.1; // Adjust based on market volatility or strategy needs
var PremiumTarget = 100; // Example target premium from selling a call
var StrikeOffset = 50; // Offset from the current price for strike selection
int DaysToExpiration = 30; // Target days until expiration

// Initialize fuzzy logic settings - no changes needed here
void initFuzzyLogic() {
  FuzzyRange = 0.1; 
}

// Decision-making on whether to initiate an option combo trade
bool shouldSellCallOption(var currentPrice, var strikeOffset) {
  // Selling a call option if the current price plus strikeOffset is fuzzy-above the current price
  return fuzzy(aboveF(currentPrice + strikeOffset, currentPrice));
}

// Logic for closing position based on profit and days to expiration
bool shouldClosePosition(var tradeProfit, int daysToExpiration) {
  var profitCondition = aboveF(tradeProfit, PremiumTarget);
  var expirationCondition = belowF((var)daysToExpiration, 5.0); // Close if less than 5 days to expiration
  
  return fuzzy(orF(profitCondition, expirationCondition));
}

void run() {
  BarPeriod = 1440; // Use daily bars
  LookBack = 0; // No need for historical bars in this strategy
  StartDate = 2020;
  EndDate = 2024;
  assetList("AssetsIB");
  asset("SPY");
  AmericanOption = 1; // Trading American options
  
  initFuzzyLogic();

  if (!contractUpdate(Asset, 0, CALL)) return;

  if (is(EXITRUN)) return;

  // Decision to sell a call option
  if (NumOpenShort == 0 && shouldSellCallOption(priceClose(0), StrikeOffset)) {
    CONTRACT* CallContract = contractFind(CALL, DaysToExpiration, priceClose(0) + StrikeOffset);
    if (CallContract) {
      combo(CallContract, -1, 0, 0, 0, 0); // Prepare a combo to sell 1 call option
      enterShort(comboLeg(1)); // Enter short position on the combo leg
    }
  }

  // Loop through open trades to manage the position
  for(open_trades) {
    if (TradeIsOption && TradeIsShort && shouldClosePosition(TradeProfit, daysToExpiration())) {
      exitTrade(ThisTrade); // Close the position based on fuzzy logic conditions
    }
  }
}

// You might need to implement or adjust the daysToExpiration function to suit your requirements
int daysToExpiration() {
  // Implement logic to calculate days to expiration for the current option combo
  return 10; // Placeholder return value
}

Last edited by TipmyPip; 04/01/24 21:20.

ZorroTraderGPT - https://bit.ly/3Gbsm4S