Quantconnect Algorithm Trade
Budget: $250 – $750 USD
Starting balance is 9,000,000 USD.
Use 80% of balance to construct portfolio.
20% of the portfolio will be kept in ^ITX bond and used to purchase and execute options.
Construct a portfolio out of the SP500 (All Constituents) based on the Mean Variance Optimization (SP500 constituents have a minimum market cap of 14.6 billion USD as of 4th of March 2022 which is the start date).
Shares must be bought in slots of 100 (round to the nearest hundred).
For all stocks:
All options should expire in less than 20 trading days.
Option contract should cover number of shares per traded constituent.
Only execute if profitable and premium is covered.
If SMA(50) > SMA(200) purchase call option and execute if strike price of option is less than share price.
Option with the lowest strike price should be purchased.
If executed sell share holdings and purchase at strike price.
If SMA(200) > SMA(50) sell covered put option and execute if strike price of option is more than the share price.
Option with the highest strike should be purchased.
If executed transfer equity of share to ^ITX bond.
The portfolio must rebalance every month 20 trading days.
For the benchmark it should be compared to the SP500 Index and VOO.
Use 80% of balance to construct portfolio.
20% of the portfolio will be kept in ^ITX bond and used to purchase and execute options.
Construct a portfolio out of the SP500 (All Constituents) based on the Mean Variance Optimization (SP500 constituents have a minimum market cap of 14.6 billion USD as of 4th of March 2022 which is the start date).
Shares must be bought in slots of 100 (round to the nearest hundred).
For all stocks:
All options should expire in less than 20 trading days.
Option contract should cover number of shares per traded constituent.
Only execute if profitable and premium is covered.
If SMA(50) > SMA(200) purchase call option and execute if strike price of option is less than share price.
Option with the lowest strike price should be purchased.
If executed sell share holdings and purchase at strike price.
If SMA(200) > SMA(50) sell covered put option and execute if strike price of option is more than the share price.
Option with the highest strike should be purchased.
If executed transfer equity of share to ^ITX bond.
The portfolio must rebalance every month 20 trading days.
For the benchmark it should be compared to the SP500 Index and VOO.
Related categories:
C Programming
Algorithm
Software Architecture
C++ Programming
Algorithm Analysis