Specify write thresholds as sigma #319
Merged
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Rather than specifying the writing thresholds as a percentage of price, we can use historical data to calculate standard deviation, and then express the threshold in terms of sigma (i.e., relative to the standard deviation). For example, with `write_threshold_sigma = 1.0`, we'll write contracts when the daily change is more (or less) than 1 times the daily standard deviation for the last 30 days. The amount of history used to compute the stddev can be altered using the `constants.daily_stddev_window` setting. Refer to thetagang.toml for more details.
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Rather than specifying the writing thresholds as a percentage of price, we can use historical data to calculate standard deviation, and then express the threshold in terms of sigma (i.e., relative to the standard deviation).
For example, with
write_threshold_sigma = 1.0, we'll write contracts when the daily change is more (or less) than 1 times the daily standard deviation for the last 30 days.The amount of history used to compute the stddev can be altered using the
constants.daily_stddev_windowsetting. Refer to thetagang.toml for more details.