#include <contract.c>
vars PriceClose;
var Volatility;
void initFuzzyLogicSettings() {
FuzzyRange = 0.05; // Adjust based on backtesting
}
var calculateVolatility(vars Data, int period) {
var sumDelta = 0;
for(int i = 1; i <= period; i++) {
sumDelta += abs(Data[i] - Data[i-1]);
}
return sumDelta / period;
}
var adjustFuzzyForVolatility(var fuzzyValue) {
var adjustmentFactor = 1 + Volatility * 10;
return clamp(fuzzyValue / adjustmentFactor, 0, 1);
}
bool fuzzyEntryCondition(vars Data) {
var entryFuzzy = max(risingF(Data), valleyF(Data));
return adjustFuzzyForVolatility(entryFuzzy) > 0.5;
}
bool fuzzyExitCondition(vars Data) {
var exitFuzzy = max(fallingF(Data), peakF(Data));
return adjustFuzzyForVolatility(exitFuzzy) > 0.5;
}
void optionComboTrade() {
CONTRACT* C1; // Define pointer for the first leg of the combo
CONTRACT* C2; // Define pointer for the second leg of the combo
// Dynamically adjust option strike based on current price and volatility
var strikeCall = round(priceClose(0) + 10 + Volatility * 5); // Example for call strike
var strikePut = round(priceClose(0) - 10 - Volatility * 5); // Example for put strike
// Initialize contracts for a strangle combo
C1 = contractFind(CALL, 30, strikeCall); // Find call option contract
C2 = contractFind(PUT, 30, strikePut); // Find put option contract
// Check if contracts are found and if entry condition is met
if(C1 && C2 && fuzzyEntryCondition(PriceClose)) {
combo(C1, 1, C2, 1, 0, 0, 0, 0); // Create a strangle combo
enterLong(comboLeg(1)); // Enter long on both legs of the combo
enterLong(comboLeg(2));
}
}
void run() {
BarPeriod = 60;
LookBack = 100;
StartDate = 2020;
EndDate = 2024;
assetList("AssetsIB");
asset("SPY");
PriceClose = series(priceClose());
initFuzzyLogicSettings();
Volatility = calculateVolatility(PriceClose, 20); // Calculate market volatility
if (is(EXITRUN)) return;
optionComboTrade(); // Execute the option combo trade based on fuzzy logic conditions
}