diff --git a/frontend/src/procedures.js b/frontend/src/procedures.js index 620a136..b9cc136 100644 --- a/frontend/src/procedures.js +++ b/frontend/src/procedures.js @@ -1,9 +1,27 @@ /* Collect contiguous ranges. These are where the underlying is expected to be at the front-month. -For each strike in the contiguous ranges, collect all front-month/back-month combinations -For each of these front-month/back-month combinations, calculate PNL (by %-return) assuming the underlying is at each strike in the contiguous ranges -For each of these potential underlying close-prices, choose the best front-month/back-month combo. -For each ... +Start with an empty array of calendars (the "position"). (The array will contain the final, optimized position.) +Starting at the leftmost strike that's within the user-defined spot-price range, find the cheapest (though not necessarily most capital-efficient) front-month/back-month combo, and append it to the calendar-array. + Check profitability, as follows: + Check profitability assuming the underlying expires at the leftmost spot-price of the leftmost range. The next spot-prices to check are at the strikes _within_ the range, followed by the rightmost spot-price of the range; followed by doing the same for the rest of the ranges. + If, at "expiration" (i.e. the front-month), the position is profitable at this spot-price [*1]: + If there are more spot-prices to check to the right of this one: + Check the next spot-price. + Else (i.e. if there are _not_ more spot-prices to check to the right of this one): + That means we're "covered". Return position. + Else (i.e. if, at expiration, the position is _not_ profitable at this spot-price): + Try to shift the rightmost calendar to the right (regardless of whether it's towards or away from the current spot-price) by one strike. + Check profitability starting from the leftmost spot-price-at-expiration, up to and including the spot-price we're currently evaluating: + If the tweaked position is profitable at this spot-price: + If we're holding by the spot-price we're currently evaluating: + Keep the tweaked position, and continue with it as we would with a "profitable-thus-far" position (i.e. [*1]). + Else (i.e. if we're _not yet_ holding by the spot-price we're currently evaluating): + Continue checking with the next spot-price. + Else (i.e. if the tweaked position is _not_ profitable at this spot-price): + If we're holding by the spot-price we're currently evaluating: + Shift, by one more strike, the rightmost calendar in the position. + Else if we're holding by the + */ export const calculateBestCombinationOfCalendars(){