wilsonianb / arimax-options

System for using ARIMAX models to trade options on the S&P 500.

S&P 500 ARIMAX Option Trading Strategy

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:

1. Run the “sp500-dataset-builder” file.

   • This will create the training dataset in about 30 seconds.

2. Run the “sp500-dataset-daily-production” file.

   • This will create the data points that will be used for getting the next day’s prediction.

3. Run the “SP500_Training” notebook on Google Colab.

   • This will train the model on the dataset.

   • When complete, this will create a download which contains the .”pkl” model file, upload this to your Google Drive.

4. Run the “SP500_Production” notebook on Google Colab.

   • This will return the prediction for the next day’s return.

5. 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.

The above numbered methodology has been updated, please refer to "Turbo-Charging The ARIMAX Option System" for instructions on the new process.