#include <contract.h>
// Initialize global variables for storing price and volatility data
vars PriceClose, VolatilityEMA;
void init() {
assetList("AssetsIB");
BarPeriod = 60;
LookBack = 100;
StartDate = 2020;
EndDate = 2024;
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));
}
// Cumulative Normal Distribution Function for use in Black-Scholes Model
var CNDF(var x) {
int neg = (x < 0.0) ? 1 : 0;
if (neg) x = -x;
var k = (1.0 / ( 1.0 + 0.2316419 * x));
var y = (((1.330274429 * k - 1.821255978) * k + 1.781477937) *
k - 0.356563782) * k + 0.319381530;
y = 1.0 - 0.398942280401 * exp(-0.5 * x * x) * y;
return (1.0 - neg) * y + neg * (1.0 - y);
}
// Black-Scholes Option Pricing Model
var BlackScholes(char *CallPutFlag, var S, var X, var T, var r, var v) {
var d1, d2;
d1 = (log(S / X) + (r + 0.5 * v * v) * T) / (v * sqrt(T));
d2 = d1 - v * sqrt(T);
if (CallPutFlag[0] == 'c' || CallPutFlag[0] == 'C') {
return S * CNDF(d1) - X * exp(-r * T) * CNDF(d2);
} else {
return X * exp(-r * T) * CNDF(-d2) - S * CNDF(-d1);
}
}
bool fuzzyEntryCondition() {
return risingF(PriceClose) > 0.5 && VolatilityEMA[0] < 0.2;
}
bool fuzzyExitCondition() {
return fallingF(PriceClose) > 0.5 || VolatilityEMA[0] > 0.3;
}
void tradeOptions() {
CONTRACT* CallContract;
CONTRACT* PutContract;
var strikePrice = round(priceClose(0),100); // Example for rounding to nearest hundred
var expirationDays = 30; // Targeting options 30 days to expiration
if (fuzzyEntryCondition()) {
// Prepare to trade a call option
CallContract = contractFind("Call", strikePrice, wdate() + expirationDays * 86400);
if(CallContract) {
// Buy the call option
combo(CallContract, 1, 0, 0, 0, 0, 0, 0);
enterLong(comboLeg(1));
}
} else if (fuzzyExitCondition()) {
// Prepare to trade a put option
PutContract = contractFind("Put", strikePrice, wdate() + expirationDays * 86400);
if(PutContract) {
// Buy the put option
combo(0, 0, PutContract, 1, 0, 0, 0, 0);
enterLong(comboLeg(2));
}
}
}
void main() {
init();
while(asset(loop("Assets"))) {
if (is(EXITRUN)) continue;
tradeOptions(); // Execute the option trading logic based on market conditions
}
}