#include <contract.c>
vars PriceClose, VolatilityEMA;
void init() {
assetList("AssetsIB");
BarPeriod = 60; // Setting bar period for the price series
LookBack = 100; // Lookback period for technical indicators
PriceClose = series(priceClose());
initFuzzyLogicSettings();
calculateEMAVolatility(20); // Initialize volatility calculation
}
void initFuzzyLogicSettings() {
FuzzyRange = 0.05; // Adjust based on backtesting
}
void calculateEMAVolatility(int period) {
vars ATRValues = series(ATR(period));
VolatilityEMA = series(EMA(ATRValues, period));
}
void tradeOptions() {
// Assuming current asset is SPY and we're setting up a strangle
if (NumOpenLong == 0 && fuzzyEntryCondition()) {
// Find contracts for the call and put options
CONTRACT* callContract = contractFind("Call", 30, priceClose(0) + 10); // Example: 30 days to expiration, strike 10 points above
CONTRACT* putContract = contractFind("Put", 30, priceClose(0) - 10); // Example: 30 days to expiration, strike 10 points below
if(callContract && putContract) {
// Setup the combo - buying 1 call and 1 put
combo(callContract, 1, putContract, 1, 0, 0, 0, 0);
// Enter the combo trade
enterLong(comboLeg(1)); // Enter long for the call option leg
enterLong(comboLeg(2)); // Enter long for the put option leg
printf("\nEntered a Strangle on SPY");
}
}
}
void run() {
StartDate = 2020;
EndDate = 2024;
assetList("AssetsIB");
asset("SPY");
while(asset(loop("SPY","AAPL","MSFT"))) {
if (is(EXITRUN)) continue;
tradeOptions();
}
}