Questions for Options volatility trading strategy

AI & Machine learning
1 
# Run the loop for the trading days in the last one year
for i in last_one_year.index:

    # Check the conditions to generate signals only if the counter is greater or equal to 5
    if days_since_last_signal >= 5:

        # ****Step-1: Select the 4 years of daily options data before the selected date****
        four_years_data = options_data[:i][-252*4:]
        four_years_data.index = pd.to_datetime(four_years_data.index)

In this strategy, I don't really understand the purpose for counter >=5. My understanding trading period period only 5 working days, but why it is 5 days, not 10 days, or stopping at the strike price in the money.

2

Hello Kevin,

I assume your query pertains to the solution of the capstone project.

The condition 

days_since_last_signal >= 5

is implemented to ensure that a position remains open for at least 5 trading days and no new positions are opened when there is a open position. The choice of a 5-day holding period is arbitrary and can be customized to other durations based on your preferences.



Hope this clarifies!