Tuesday, March 23rd 2021
Options Trading Using Stock Price vs Moving Average
Backtesting and scanning using a trigger of the price of a stock vs its moving average can be accomplished in ORATS Wheel.
ORATS Wheel offers backtesting and scanning for options trading using a trigger of a stock's price versus its moving average, with the ability to use a different symbol as the trigger. The article provides an example of setting up a backtest and scanner for VXX trades triggered by VIX levels compared to its 20-day moving average, and includes screenshots and a link to a backtest report.
Triggering an option trade using the current stock price versus its moving average is available in the backtester and in the scanning applications at wheel.orats.com
You can even use a different symbol to trigger an options trade.
Here's how to set up the backtester and the scanner for an example using VIX levels to trigger a VXX trade. Let's say you want to buy a put in VXX when the VIX is below its 20 day average.
First you set up the put you would like to trade for days to expiration and delta. Then you set the entry trigger.
Select Edit the current trigger and type in "price" into the search bar to find the stock price at time of the IV calculation or pxAtmIV.
Enter "VIX" in the symbol input box, and click the box Define Ratio.
Click Use Technical Indicators and scroll down to SMA. Again, enter "VIX" in the symbol input box, change the period to 20.
Since you want the ratio of the current price to be less than the 20 day average price, type "1" in the max and remove the min. This will trigger a trade in your VXX put anytime the VIX price divided by the 20 day moving average of VIX is less than 1.
If you wanted to trade when the VIX > 20 day average of VIX, then you would set the minimum = 1 and the maximum = empty.
There is also Exit Triggers where you could exit the put if the VIX were at some ratio of the moving average.
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