CN110781172A - Calculation method, system and medium for flat bin threshold of option null head strategy - Google Patents
Calculation method, system and medium for flat bin threshold of option null head strategy Download PDFInfo
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Abstract
The invention provides a method, a system and a medium for calculating a flat bin threshold value of an option null head strategy, wherein the method comprises the following steps: and (3) data processing: acquiring 50ETF option contract list data, minute-level market data of each 50ETF option contract and minute-level market data of the upper evidence 50 index from a financial data website, and performing data processing to obtain processed option data; strategy operation steps: judging whether to open the warehouse or not through an operation strategy according to the acquired option data: if yes, entering a combined tracking step; otherwise, the current transaction day has no transaction, the next transaction day is entered, and the data processing step is returned for continuous execution; and (3) a combined tracking step: and tracking the Delta value of the option combination in real time, and leveling when the option combination meets the preset condition. The invention solves the problem of uneven Delta fluctuation distribution through the rolling return test inside and outside the sample; the invention solves the problem of failure of the original threshold value by calculating the standard deviation of Delta.
Description
Technical Field
The invention relates to the technical field of futures trading, in particular to a method, a system and a medium for calculating a flat bin threshold value of an option empty head strategy.
Background
Currently, the binning operation in the strategy of making space-spanning combinations is based on the Delta position. In general, Delta detection is performed at any time, and after Delta reaches a certain preset threshold value, leveling and loss stopping are performed. The threshold is obtained by fitting indexes such as a profit curve, maximum retest and a sharp rate based on strategy retest. However, this fitting method is too simple and the fixed threshold is prone to failure.
Thus, existing damage-stopping smoothing strategies, while capable of smoothing, are not effective enough. The situation that Delta fluctuation distribution is not uniform in the return measurement time period is not solved; nor does it address the failure of thresholds based on historical data.
Patent document CN109993655A (application number: 201711465494.0) the present invention discloses a futures trading system, which specifically comprises: the cloud server administrator control terminal (1) is connected with a cloud server and network basic resource equipment (4) through a cloud management control platform (2); the cloud network administrator control terminal (3) is directly connected with the cloud server and the network basic resource equipment (4); the cloud server and the network basic resource equipment (4) are directly connected with the futures automatic transaction platform (5); the user internet access terminal (8) is connected with the futures automatic transaction platform (5) through the network security access equipment (7); the futures automatic trading platform (5) is directly connected with a futures counter trading system (6).
Disclosure of Invention
Aiming at the defects in the prior art, the invention aims to provide a method, a system and a medium for calculating a flat bin threshold of an option null head strategy.
The method for calculating the flat bin threshold of the option null head strategy provided by the invention comprises the following steps:
and (3) data processing: acquiring 50ETF option contract list data, minute-level market data of each 50ETF option contract and minute-level market data of the upper evidence 50 index from a financial data website, and performing data processing to obtain processed option data;
strategy operation steps: judging whether to open the warehouse or not through an operation strategy according to the acquired option data: if yes, entering a combined tracking step; otherwise, the current transaction day has no transaction, the next transaction day is entered, and the data processing step is returned for continuous execution;
and (3) a combined tracking step: and tracking the Delta value of the option combination in real time, and leveling when the option combination meets the preset condition.
Specifically, the data processing includes: data cleaning, data normalization and data aggregation;
data cleansing means: processing the missing value and converting the format of the time stamp; the processing missing values includes: completing missing values and filtering the missing values;
and (3) data normalization: carrying out hierarchical indexing on the data, and combining a plurality of data sets;
and (3) data aggregation: the data were grouped in minutes and aggregated by function.
Specifically, the policy operation step:
the judging whether to open the warehouse or not through the operation strategy comprises the following steps:
starting every transaction day, judging whether a position is taken:
if no position is taken, selecting an European flat value expanding option and an European flat value contracting option with the same execution price and duration, calculating a Delta value and a Vega/Theta value of an option combination, comparing the Delta value and the Vega/Theta value of the option combination with a preset position opening threshold, if the Delta value and the Vega/Theta value exceed the position opening threshold, selecting position opening, and entering a combination tracking step to continue execution;
and if the position is taken, entering a combined tracking step to continue execution.
Specifically, the step of combined tracking includes:
an option leveling step: when closing, if the option in the current option combination is no longer a flat value option, then closing the box; if not, entering the next transaction day, returning to the data processing step and continuing to execute;
the step of right-of-way daily bunk balancing: when the held straddle type combination reaches the right of way day, leveling the warehouse when closing the plate; if not, entering the next transaction day, returning to the data processing step and continuing to execute;
and (3) loss leveling: when the loss reaches a preset loss threshold value, leveling the bin; if not, entering the next transaction day, returning to the data processing step and continuing to execute;
a Delta value smoothing step: when the Delta value of the term combination exceeds a preset bin leveling threshold value, leveling the bin; if not, entering the next transaction day, returning to the data processing step and continuing to execute;
the straddle type combination is as follows: and simultaneously emptying one European flat-valued call option and one European flat-valued call option with the same execution price and duration.
Specifically, the Delta value smoothing step comprises the following steps:
acquiring historical data within a first preset time length before the current trading date from the acquired processed option data to serve as data in a sample, calculating a Delta value of a selected straddle type combination in the data in the sample according to the acquired data in the sample to form Delta distribution, and calculating a standard deviation of the Delta distribution;
selecting a standard deviation multiplier through fitting, and determining a current smoothing threshold value through multiplying the selected standard deviation multiplier by a standard deviation;
calculating the Delta value of the current option combination in real time, and carrying out the leveling if the Delta value exceeds the current leveling threshold;
recalculating the current flat bin threshold value through the data in the next sample in a rolling mode, and continuously judging whether the Delta value of the current option combination exceeds the current flat bin threshold value until closing: if the quantity exceeds the preset value, leveling the bin; if not, entering the next transaction day, returning to the data processing step and continuing to execute;
selecting a standard deviation multiplier by fitting as follows: optimizing the standard deviation multiplier according to the optimizing index to find out the best standard deviation multiplier under the optimizing index;
the following intra-sample data refers to: taking the next period of time with preset duration as a new sample time, wherein the option quotation data in the new sample time is the data in the next sample;
the optimizing indexes comprise: maximum withdrawal, sharp rate index of the withdrawal in the sample.
The invention provides a system for calculating a flat bin threshold value of an option head-off strategy, which comprises the following steps:
a data processing module: acquiring 50ETF option contract list data, minute-level market data of each 50ETF option contract and minute-level market data of the upper evidence 50 index from a financial data website, and performing data processing to obtain processed option data;
a policy operation module: judging whether to open the warehouse or not through an operation strategy according to the acquired option data: if yes, calling a combined tracking module; otherwise, the current transaction day has no transaction, the next transaction day is entered, and the data processing module is called;
a combined tracking module: and tracking the Delta value of the option combination in real time, and leveling when the option combination meets the preset condition.
Specifically, the data processing includes: data cleaning, data normalization and data aggregation;
data cleansing means: processing the missing value and converting the format of the time stamp; the processing missing values includes: completing missing values and filtering the missing values;
and (3) data normalization: carrying out hierarchical indexing on the data, and combining a plurality of data sets;
and (3) data aggregation: grouping the data by minutes, and aggregating through a function;
the policy operation module:
the judging whether to open the warehouse or not through the operation strategy comprises the following steps:
starting every transaction day, judging whether a position is taken:
if no position is taken, selecting an European flat value expanding option and an European flat value contracting option with the same execution price and period, calculating a Delta value and a Vega/Theta value of an option combination, comparing the Delta value and the Vega/Theta value of the option combination with a preset position opening threshold, if the Delta value and the Vega/Theta value exceed the position opening threshold, selecting position opening, and calling a combination tracking module;
and if the position is taken, calling the combined tracking module.
Specifically, the combined tracking module includes:
option flat bin module: when closing, if the option in the current option combination is no longer a flat value option, then closing the box; if not, entering the next transaction day and calling the data processing module;
the right-of-way day leveling module: when the held straddle type combination reaches the right of way day, leveling the warehouse when closing the plate; if not, entering the next transaction day and calling the data processing module;
loss leveling module: when the loss reaches a preset loss threshold value, leveling the bin; if not, entering the next transaction day and calling the data processing module;
delta value smoothing module: when the Delta value of the term combination exceeds a preset bin leveling threshold value, leveling the bin; if not, entering the next transaction day and calling the data processing module;
the straddle type combination is as follows: and simultaneously emptying one European flat-valued call option and one European flat-valued call option with the same execution price and duration.
Specifically, the Delta value smoothing module:
acquiring historical data within a first preset time length before the current trading date from the acquired processed option data to serve as data in a sample, calculating a Delta value of a selected straddle type combination in the data in the sample according to the acquired data in the sample to form Delta distribution, and calculating a standard deviation of the Delta distribution;
selecting a standard deviation multiplier through fitting, and determining a current smoothing threshold value through multiplying the selected standard deviation multiplier by a standard deviation;
calculating the Delta value of the current option combination in real time, and carrying out the leveling if the Delta value exceeds the current leveling threshold;
recalculating the current flat bin threshold value through the data in the next sample in a rolling mode, and continuously judging whether the Delta value of the current option combination exceeds the current flat bin threshold value until closing: if the quantity exceeds the preset value, leveling the bin; if not, entering the next transaction day and calling the data processing module;
selecting a standard deviation multiplier by fitting as follows: optimizing the standard deviation multiplier according to the optimizing index to find out the best standard deviation multiplier under the optimizing index;
the following intra-sample data refers to: taking the next period of time with preset duration as a new sample time, wherein the option quotation data in the new sample time is the data in the next sample;
the optimizing indexes comprise: maximum withdrawal, sharp rate index of the withdrawal in the sample.
According to the present invention, there is provided a computer readable storage medium storing a computer program, which when executed by a processor implements the steps of the method for calculating the flat-bin threshold of the option headless strategy described in any one of the above.
Compared with the prior art, the invention has the following beneficial effects:
1. the invention solves the problem of uneven Delta fluctuation distribution through the rolling return test inside and outside the sample;
2. the invention solves the problem of failure of the original threshold value by calculating the standard deviation of Delta.
Detailed Description
The present invention will be described in detail with reference to specific examples. The following examples will assist those skilled in the art in further understanding the invention, but are not intended to limit the invention in any way. It should be noted that it would be obvious to those skilled in the art that various changes and modifications can be made without departing from the spirit of the invention. All falling within the scope of the present invention.
The method for calculating the flat bin threshold of the option null head strategy provided by the invention comprises the following steps:
and (3) data processing: acquiring 50ETF option contract list data, minute-level market data of each 50ETF option contract and minute-level market data of the upper evidence 50 index from a financial data website, and performing data processing to obtain processed option data;
strategy operation steps: judging whether to open the warehouse or not through an operation strategy according to the acquired option data: if yes, entering a combined tracking step; otherwise, the current transaction day has no transaction, the next transaction day is entered, and the data processing step is returned for continuous execution;
and (3) a combined tracking step: and tracking the Delta value of the option combination in real time, and leveling when the option combination meets the preset condition.
Preferably, the data processing comprises: data cleaning, data normalization and data aggregation;
data cleansing means: processing the missing value and converting the format of the time stamp; the processing missing values includes: completing missing values and filtering the missing values;
and (3) data normalization: carrying out hierarchical indexing on the data, and combining a plurality of data sets;
and (3) data aggregation: the data were grouped in minutes and aggregated by function.
Preferably, the policy running step:
the judging whether to open the warehouse or not through the operation strategy comprises the following steps:
starting every transaction day, judging whether a position is taken:
if no position is taken, selecting an European flat value expanding option and an European flat value contracting option with the same execution price and duration, calculating a Delta value and a Vega/Theta value of an option combination, comparing the Delta value and the Vega/Theta value of the option combination with a preset position opening threshold, if the Delta value and the Vega/Theta value exceed the position opening threshold, selecting position opening, and entering a combination tracking step to continue execution;
and if the position is taken, entering a combined tracking step to continue execution.
Preferably, the step of combining tracking comprises:
an option leveling step: when closing, if the option in the current option combination is no longer a flat value option, then closing the box; if not, entering the next transaction day, returning to the data processing step and continuing to execute;
the step of right-of-way daily bunk balancing: when the held straddle type combination reaches the right of way day, leveling the warehouse when closing the plate; if not, entering the next transaction day, returning to the data processing step and continuing to execute;
and (3) loss leveling: when the loss reaches a preset loss threshold value, leveling the bin; if not, entering the next transaction day, returning to the data processing step and continuing to execute;
a Delta value smoothing step: when the Delta value of the term combination exceeds a preset bin leveling threshold value, leveling the bin; if not, entering the next transaction day, returning to the data processing step and continuing to execute;
the straddle type combination is as follows: and simultaneously emptying one European flat-valued call option and one European flat-valued call option with the same execution price and duration.
Preferably, the Delta value smoothing step:
acquiring historical data within a first preset time length before the current trading date from the acquired processed option data to serve as data in a sample, calculating a Delta value of a selected straddle type combination in the data in the sample according to the acquired data in the sample to form Delta distribution, and calculating a standard deviation of the Delta distribution;
selecting a standard deviation multiplier through fitting, and determining a current smoothing threshold value through multiplying the selected standard deviation multiplier by a standard deviation;
calculating the Delta value of the current option combination in real time, and carrying out the leveling if the Delta value exceeds the current leveling threshold;
recalculating the current flat bin threshold value through the data in the next sample in a rolling mode, and continuously judging whether the Delta value of the current option combination exceeds the current flat bin threshold value until closing: if the quantity exceeds the preset value, leveling the bin; if not, entering the next transaction day, returning to the data processing step and continuing to execute;
selecting a standard deviation multiplier by fitting as follows: optimizing the standard deviation multiplier according to the optimizing index to find out the best standard deviation multiplier under the optimizing index;
the following intra-sample data refers to: taking the next period of time with preset duration as a new sample time, wherein the option quotation data in the new sample time is the data in the next sample;
the optimizing indexes comprise: maximum withdrawal, sharp rate index of the withdrawal in the sample.
The calculation system of the flat-bin threshold of the option empty-head strategy provided by the invention can be realized by the step flow of the calculation method of the flat-bin threshold of the option empty-head strategy provided by the invention. One skilled in the art can understand the calculation method of the flat-bin threshold of the option topping policy as a preferred example of the calculation system of the flat-bin threshold of the option topping policy.
The invention provides a system for calculating a flat bin threshold value of an option head-off strategy, which comprises the following steps:
a data processing module: acquiring 50ETF option contract list data, minute-level market data of each 50ETF option contract and minute-level market data of the upper evidence 50 index from a financial data website, and performing data processing to obtain processed option data;
a policy operation module: judging whether to open the warehouse or not through an operation strategy according to the acquired option data: if yes, calling a combined tracking module; otherwise, the current transaction day has no transaction, the next transaction day is entered, and the data processing module is called;
a combined tracking module: and tracking the Delta value of the option combination in real time, and leveling when the option combination meets the preset condition.
Preferably, the data processing comprises: data cleaning, data normalization and data aggregation;
data cleansing means: processing the missing value and converting the format of the time stamp; the processing missing values includes: completing missing values and filtering the missing values;
and (3) data normalization: carrying out hierarchical indexing on the data, and combining a plurality of data sets;
and (3) data aggregation: grouping the data by minutes, and aggregating through a function;
the policy operation module:
the judging whether to open the warehouse or not through the operation strategy comprises the following steps:
starting every transaction day, judging whether a position is taken:
if no position is taken, selecting an European flat value expanding option and an European flat value contracting option with the same execution price and period, calculating a Delta value and a Vega/Theta value of an option combination, comparing the Delta value and the Vega/Theta value of the option combination with a preset position opening threshold, if the Delta value and the Vega/Theta value exceed the position opening threshold, selecting position opening, and calling a combination tracking module;
and if the position is taken, calling the combined tracking module.
Preferably, the combination tracking module comprises:
option flat bin module: when closing, if the option in the current option combination is no longer a flat value option, then closing the box; if not, entering the next transaction day and calling the data processing module;
the right-of-way day leveling module: when the held straddle type combination reaches the right of way day, leveling the warehouse when closing the plate; if not, entering the next transaction day and calling the data processing module;
loss leveling module: when the loss reaches a preset loss threshold value, leveling the bin; if not, entering the next transaction day and calling the data processing module;
delta value smoothing module: when the Delta value of the term combination exceeds a preset bin leveling threshold value, leveling the bin; if not, entering the next transaction day and calling the data processing module;
the straddle type combination is as follows: and simultaneously emptying one European flat-valued call option and one European flat-valued call option with the same execution price and duration.
Preferably, the Delta value smoothing module:
acquiring historical data within a first preset time length before the current trading date from the acquired processed option data to serve as data in a sample, calculating a Delta value of a selected straddle type combination in the data in the sample according to the acquired data in the sample to form Delta distribution, and calculating a standard deviation of the Delta distribution;
selecting a standard deviation multiplier through fitting, and determining a current smoothing threshold value through multiplying the selected standard deviation multiplier by a standard deviation;
calculating the Delta value of the current option combination in real time, and carrying out the leveling if the Delta value exceeds the current leveling threshold;
recalculating the current flat bin threshold value through the data in the next sample in a rolling mode, and continuously judging whether the Delta value of the current option combination exceeds the current flat bin threshold value until closing: if the quantity exceeds the preset value, leveling the bin; if not, entering the next transaction day and calling the data processing module;
selecting a standard deviation multiplier by fitting as follows: optimizing the standard deviation multiplier according to the optimizing index to find out the best standard deviation multiplier under the optimizing index;
the following intra-sample data refers to: taking the next period of time with preset duration as a new sample time, wherein the option quotation data in the new sample time is the data in the next sample;
the optimizing indexes comprise: maximum withdrawal, sharp rate index of the withdrawal in the sample.
According to the present invention, there is provided a computer readable storage medium storing a computer program, which when executed by a processor implements the steps of the method for calculating the flat-bin threshold of the option headless strategy described in any one of the above.
The present invention will be described more specifically below with reference to preferred examples.
Preferred example 1:
the invention provides a method for calculating a Delta flat bin threshold value of an option null head strategy. The threshold value outside the sample is determined by counting the distribution of the Delta for making the null option contract in the sample, calculating the standard deviation of the distribution and selecting a proper multiplier. By rolling back the test, a set of flat bin thresholds is calculated.
Step 1:
from the financial data web site, 50ETF option contract list data, minute-level market data for each 50ETF option contract, and minute-level market data for the superscript 50 index are obtained. And (4) carrying out data cleaning, normalization and polymerization.
Data cleansing means: processing missing values (completion and filtering), converting the format of timestamps, etc.;
data normalization means: carrying out hierarchical indexing on the data, and combining a plurality of data sets;
data aggregation refers to: the data were grouped in minutes and aggregated by function.
Step 2:
and operating the strategy according to the option data after cleaning, regularizing and aggregation.
The strategy is specifically as follows: and (4) judging whether the position is taken or not at the beginning of each trading day. If no taken position exists, a European flat-valued call option and a European flat-valued call option with the same execution price and duration are selected, and the combined Delta and Vega/Theta values are calculated. And selecting whether to sell (namely, emptying) according to a preset opening threshold value. Comparing the value calculated by the combination with an opening threshold, opening the bin if the value exceeds the threshold (namely, making an empty combination, making an empty instruction to borrow the target asset, then selling the target asset to obtain cash, and after a period of time, paying the cash to buy the target asset to return.)
And if the position is taken, entering the step 3.
(calculation of the ratio of Vega and Theta and the value of Delta)
(the preset opening threshold value means that a Delta value is selected as a selling signal, and when the Delta exceeds the value, the selling signal is empty (the Delta value is between 0 and 1))
And step 3:
and if the bin is opened, tracking the combined Delta value in real time after the bin is opened. And (6) leveling the bin when appropriate. If the warehouse is not opened, no transaction is carried out on the current transaction day. And judging the next transaction day.
The step 3 comprises the following steps:
3.1 when closing, if the option in the current combination is no longer the flat value option, then closing the bin;
3.2 when the held straddle type is combined to the right of way day, leveling the stock when closing the disc;
(straddle type combination means that one European flat put call option and one European flat put call option with the same execution price and deadline are nulled at the same time)
3.3 when the loss reaches a certain threshold, immediately leveling the bin;
3.4 when the Delta value exceeds the strategically set smoothing threshold, smoothing immediately.
The step 3.4 comprises the following steps:
3.4.1 calculate the Delta values for the selected straddle combinations within the sample, forming a Delta distribution. The standard deviation of the distribution is calculated.
3.4.2 select the appropriate standard deviation multiplier by fitting. The out-of-sample flat bin threshold is determined by the multiplier x the standard deviation.
(fitting process: optimizing the standard deviation multiplier according to important indexes such as maximum withdrawal, sharp rate and the like of the in-sample withdrawal, and finding out the best standard deviation multiplier under the indexes.)
3.4.3 calculating the flat bin threshold value outside the sample by rolling mode and then by the data in the next sample.
(the next period of time is used as the new sample time, and the option quotation data of the sample time is the next in-sample data.)
(calculation refers to multiplier x standard deviation)
Those skilled in the art will appreciate that, in addition to implementing the systems, apparatus, and various modules thereof provided by the present invention in purely computer readable program code, the same procedures can be implemented entirely by logically programming method steps such that the systems, apparatus, and various modules thereof are provided in the form of logic gates, switches, application specific integrated circuits, programmable logic controllers, embedded microcontrollers and the like. Therefore, the system, the device and the modules thereof provided by the present invention can be considered as a hardware component, and the modules included in the system, the device and the modules thereof for implementing various programs can also be considered as structures in the hardware component; modules for performing various functions may also be considered to be both software programs for performing the methods and structures within hardware components.
The foregoing description of specific embodiments of the present invention has been presented. It is to be understood that the present invention is not limited to the specific embodiments described above, and that various changes or modifications may be made by one skilled in the art within the scope of the appended claims without departing from the spirit of the invention. The embodiments and features of the embodiments of the present application may be combined with each other arbitrarily without conflict.
Claims (10)
1. A method for calculating a flat bin threshold of an option null-head strategy is characterized by comprising the following steps:
and (3) data processing: acquiring 50ETF option contract list data, minute-level market data of each 50ETF option contract and minute-level market data of the upper evidence 50 index from a financial data website, and performing data processing to obtain processed option data;
strategy operation steps: judging whether to open the warehouse or not through an operation strategy according to the acquired option data: if yes, entering a combined tracking step; otherwise, the current transaction day has no transaction, the next transaction day is entered, and the data processing step is returned for continuous execution;
and (3) a combined tracking step: and tracking the Delta value of the option combination in real time, and leveling when the option combination meets the preset condition.
2. The method for calculating the flat-bin threshold of the option null-head strategy according to claim 1, wherein the data processing comprises: data cleaning, data normalization and data aggregation;
data cleansing means: processing the missing value and converting the format of the time stamp; the processing missing values includes: completing missing values and filtering the missing values;
and (3) data normalization: carrying out hierarchical indexing on the data, and combining a plurality of data sets;
and (3) data aggregation: the data were grouped in minutes and aggregated by function.
3. The method of calculating the flat-bin threshold of the option topping policy according to claim 1, wherein the policy operation step:
the judging whether to open the warehouse or not through the operation strategy comprises the following steps:
starting every transaction day, judging whether a position is taken:
if no position is taken, selecting an European flat value expanding option and an European flat value contracting option with the same execution price and duration, calculating a Delta value and a Vega/Theta value of an option combination, comparing the Delta value and the Vega/Theta value of the option combination with a preset position opening threshold, if the Delta value and the Vega/Theta value exceed the position opening threshold, selecting position opening, and entering a combination tracking step to continue execution;
and if the position is taken, entering a combined tracking step to continue execution.
4. The method of claim 1, wherein the step of combining and tracking comprises:
an option leveling step: when closing, if the option in the current option combination is no longer a flat value option, then closing the box; if not, entering the next transaction day, returning to the data processing step and continuing to execute;
the step of right-of-way daily bunk balancing: when the held straddle type combination reaches the right of way day, leveling the warehouse when closing the plate; if not, entering the next transaction day, returning to the data processing step and continuing to execute;
and (3) loss leveling: when the loss reaches a preset loss threshold value, leveling the bin; if not, entering the next transaction day, returning to the data processing step and continuing to execute;
a Delta value smoothing step: when the Delta value of the term combination exceeds a preset bin leveling threshold value, leveling the bin; if not, entering the next transaction day, returning to the data processing step and continuing to execute;
the straddle type combination is as follows: and simultaneously emptying one European flat-valued call option and one European flat-valued call option with the same execution price and duration.
5. The method for calculating the flattening threshold of the option null head strategy according to claim 1, wherein the Delta value flattening step comprises:
acquiring historical data within a first preset time length before the current trading date from the acquired processed option data to serve as data in a sample, calculating a Delta value of a selected straddle type combination in the data in the sample according to the acquired data in the sample to form Delta distribution, and calculating a standard deviation of the Delta distribution;
selecting a standard deviation multiplier through fitting, and determining a current smoothing threshold value through multiplying the selected standard deviation multiplier by a standard deviation;
calculating the Delta value of the current option combination in real time, and carrying out the leveling if the Delta value exceeds the current leveling threshold;
recalculating the current flat bin threshold value through the data in the next sample in a rolling mode, and continuously judging whether the Delta value of the current option combination exceeds the current flat bin threshold value until closing: if the quantity exceeds the preset value, leveling the bin; if not, entering the next transaction day, returning to the data processing step and continuing to execute;
selecting a standard deviation multiplier by fitting as follows: optimizing the standard deviation multiplier according to the optimizing index to find out the best standard deviation multiplier under the optimizing index;
the following intra-sample data refers to: taking the next period of time with preset duration as a new sample time, wherein the option quotation data in the new sample time is the data in the next sample;
the optimizing indexes comprise: maximum withdrawal, sharp rate index of the withdrawal in the sample.
6. A system for computing a flat-bin threshold for an option headless strategy, comprising:
a data processing module: acquiring 50ETF option contract list data, minute-level market data of each 50ETF option contract and minute-level market data of the upper evidence 50 index from a financial data website, and performing data processing to obtain processed option data;
a policy operation module: judging whether to open the warehouse or not through an operation strategy according to the acquired option data: if yes, calling a combined tracking module; otherwise, the current transaction day has no transaction, the next transaction day is entered, and the data processing module is called;
a combined tracking module: and tracking the Delta value of the option combination in real time, and leveling when the option combination meets the preset condition.
7. The system for calculating the flat-bin threshold of the option topping policy according to claim 6, wherein the data processing comprises: data cleaning, data normalization and data aggregation;
data cleansing means: processing the missing value and converting the format of the time stamp; the processing missing values includes: completing missing values and filtering the missing values;
and (3) data normalization: carrying out hierarchical indexing on the data, and combining a plurality of data sets;
and (3) data aggregation: grouping the data by minutes, and aggregating through a function;
the policy operation module:
the judging whether to open the warehouse or not through the operation strategy comprises the following steps:
starting every transaction day, judging whether a position is taken:
if no position is taken, selecting an European flat value expanding option and an European flat value contracting option with the same execution price and period, calculating a Delta value and a Vega/Theta value of an option combination, comparing the Delta value and the Vega/Theta value of the option combination with a preset position opening threshold, if the Delta value and the Vega/Theta value exceed the position opening threshold, selecting position opening, and calling a combination tracking module;
and if the position is taken, calling the combined tracking module.
8. The system for computing the flat-bin threshold of the option topping policy of claim 6, wherein the combinatorial tracking module comprises:
option flat bin module: when closing, if the option in the current option combination is no longer a flat value option, then closing the box; if not, entering the next transaction day and calling the data processing module;
the right-of-way day leveling module: when the held straddle type combination reaches the right of way day, leveling the warehouse when closing the plate; if not, entering the next transaction day and calling the data processing module;
loss leveling module: when the loss reaches a preset loss threshold value, leveling the bin; if not, entering the next transaction day and calling the data processing module;
delta value smoothing module: when the Delta value of the term combination exceeds a preset bin leveling threshold value, leveling the bin; if not, entering the next transaction day and calling the data processing module;
the straddle type combination is as follows: and simultaneously emptying one European flat-valued call option and one European flat-valued call option with the same execution price and duration.
9. The system for calculating the flattening threshold of the option headless strategy according to claim 6, wherein the Delta value flattening module:
acquiring historical data within a first preset time length before the current trading date from the acquired processed option data to serve as data in a sample, calculating a Delta value of a selected straddle type combination in the data in the sample according to the acquired data in the sample to form Delta distribution, and calculating a standard deviation of the Delta distribution;
selecting a standard deviation multiplier through fitting, and determining a current smoothing threshold value through multiplying the selected standard deviation multiplier by a standard deviation;
calculating the Delta value of the current option combination in real time, and carrying out the leveling if the Delta value exceeds the current leveling threshold;
recalculating the current flat bin threshold value through the data in the next sample in a rolling mode, and continuously judging whether the Delta value of the current option combination exceeds the current flat bin threshold value until closing: if the quantity exceeds the preset value, leveling the bin; if not, entering the next transaction day and calling the data processing module;
selecting a standard deviation multiplier by fitting as follows: optimizing the standard deviation multiplier according to the optimizing index to find out the best standard deviation multiplier under the optimizing index;
the following intra-sample data refers to: taking the next period of time with preset duration as a new sample time, wherein the option quotation data in the new sample time is the data in the next sample;
the optimizing indexes comprise: maximum withdrawal, sharp rate index of the withdrawal in the sample.
10. A computer-readable storage medium storing a computer program, wherein the computer program, when executed by a processor, implements the steps of the method for calculating a flat-bin threshold for an option null head policy according to any one of claims 1 to 5.
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