Call Spread setup

AI & Machine learning
1

Course Name: Machine Learning for Options Trading, Section No: 8, Unit No: 4, Unit type: Notebook

My understanding so far: ML predicts up move (1) and not up move (0) for a day (say 30-Sep-2022). This becomes signal and we take Option closing of 30-Sep-2022 to enter Bull Call Spread

Question: If the prediction is for 30-Sep-2022, entry should be either Opening of 30-Sep-2022 or Close of 29-Sep-2022??

 

2

The prediction for the 30th (the next day) is generated at the close of the 29th. Note that for the sake of calculations, we assume that we have bought it at the close of the 29th. This is for backtesting purposes only.

3

Thanks but couldnt make out from the code that the close of 29 has been taken to build Call Spread.

 

4

Hi Bharat,



We have added a note in the notebook explaining the same.



Thanks,

Akshay