Adding and revising strategies

To revise, add, or delete a strategy, click the strats speed button, then choose Edit strategies from the program's main menu. (This menu choice appears only when the strats window is displayed.)

Click any combination listed in the box at left to see its details. The description lines are free-form but must conform to the required syntax.

Strategy identification

This line consists of three items. The strategy name comes first; it must be a quoted string. Use the double-quote, not the single-quote key on your keyboard.

A strategy consists of two assets "A" and "B". This line must specify the type of each asset in the form illustrated above, A=type and B=type where type can be call, put, underlying or none.

For a single-asset strategy (buying calls or writing puts), specify A as the appropriate asset type. You can then leave off the B= clause, or enter B=none to get the same effect.

Rule

The rule line is a logical expression (a predicate) that determines whether a particular combination is selected.

For instance a "calendar spread" is typically set up by purchasing calls that expire far in the future, and simultaneously selling calls having the same strike price but which will expire before the ones you bought. The rule illustrated above  (a.life<b.life) and (a.strike=b.strike)   captures this specification. 

The rule syntax allows any logical combination (and, or, not) of arithmetic comparisons. The values that may be compared are:

Examples

Arithmetic expressions can use the operators *, /, + and - to denote multiplication, division, addition and subtraction. The relational operators are the familiar ones:  <, <=, =, <>, >= and > .

It's best to use parentheses liberally when writing rules. For the computer scientists among you, the expression grammar sets operator precedence in increasing order as:  or, and, relational operators, add/subtract, multiply/divide, and the unary leading operators (not, minus sign, plus sign). Therefore  
  a.strike>=u.price and a.life < 90   is a valid expression that means   (a.strike>=u.price) and (a.life < 90) .

Ratios

For each combination that passes the rule, a line the strategy table will be generate with the assets A and B in some ratio. The ratios are listed as illustrated, separated by commas. If the asset is an option, its ratio number is the number of contracts. If it is a stock or index, the ratio is the number of shares or units. So a covered call might have ratios   -1/100, -5,500   meaning two setups: short one contract and long 100 shares; or short 5 contracts and long 500 shares.

For a single-asset strategy, it is acceptable to list single numbers separated by commas. Thus  1, 5  would mean either 1 or 5 contracts of an option. You can alternatively enter ratios in the form  1/0, 5/0  and so forth.

Buttons

The Clear button erases the current Strategy, Rule and Ratio lines without changing the actual list of defined strategies. The Add or replace strategy button replaces the named strategy if it exists; or add a new strategy if no strategy with that name exists. Click Delete to remove the strategy selected in the strategy list at the left side of the window.

After altering or adding strategies, you must click the Save changes button to make them permanent. Otherwise they will be lost. Of course you can make several changes, and only save them once after you're done.