System for using ARIMAX models to trade options on the S&P 500.
Original Source w/ Methodology - "Pub-Stomping Option Markets with ARIMAX" - The Quant's Playbook
The workflow for this is as follows:
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Run the “sp500-dataset-builder” file.
- This will create the training dataset in about 30 seconds.
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Run the “sp500-dataset-daily-production” file.
- This will create the data points that will be used for getting the next day’s prediction.
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Run the “SP500_Training” notebook on Google Colab.
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This will train the model on the dataset.
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When complete, this will create a download which contains the .”pkl” model file, upload this to your Google Drive.
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Run the “SP500_Production” notebook on Google Colab.
- This will return the prediction for the next day’s return.
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Track the prediction in OptionStrat
- If you do not wish to subscribe to the service, the free plan’s data is delayed by 15 minutes, so you will have to manually enter the real market ask price.