Deterministic modelling of implied volatility in cryptocurrency options with underlying multiple…

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Edit and run Quant Buffet Python for Deterministic modelling of implied volatility in cryptocurrency options with underlying multiple… in the browser. Results update live with equity, drawdown, and metrics charts. Allowed: backtest.data, backtest.engine, backtest.metrics, numpy, pandas. Define ASSETS and make_on_day(prices). Shortcut: Ctrl+Enter. API docs →

Ready — edit code, then Run backtest.
IDE · 40 lines
Quant Buffet syntax cheat sheet (copy / insert)

Paste these fragments into the editor. The sandbox rejects QuantConnect, os, and network libraries.

Required imports
Only these libraries are allowed in the sandbox.
from __future__ import annotations

import numpy as np
import pandas as pd

from backtest.data import load_daily_prices
from backtest.engine import EngineConfig, PortfolioEngine
from backtest.metrics import compute_metrics
ASSETS list (whitelisted ETFs)
Module-level list. Tickers must be in the Quant Buffet whitelist.
ASSETS = ["SPY", "QQQ", "TLT", "GLD", "BIL"]
make_on_day contract
Must return (on_day, ready). on_day calls engine.set_target_weights.
def make_on_day(prices: pd.DataFrame):
    cols = [c for c in ASSETS if c in prices.columns]
    sma = prices[cols].rolling(200, min_periods=200).mean()
    state = {"last": None}

    def on_day(engine: PortfolioEngine, dt: pd.Timestamp) -> None:
        if sma.loc[dt].isna().all():
            return
        key = (dt.year, dt.month)
        if state["last"] == key:
            return
        state["last"] = key
        long = [
            s for s in cols
            if pd.notna(prices.at[dt, s]) and pd.notna(sma.at[dt, s])
            and prices.at[dt, s] > sma.at[dt, s]
        ]
        weights = {} if not long else {s: 1.0 / len(long) for s in long}
        engine.set_target_weights(dt, weights)

    ready = sma.dropna(how="all").index.min() if sma.notna().any().any() else None
    return on_day, ready
Set target weights
Weights should sum to about 1.0. Empty dict = 100% cash.
engine.set_target_weights(dt, {"SPY": 0.60, "BIL": 0.40})

Live backtest performance

CAGR
55.46%
Sharpe
1.04
Max DD
-82.08%
Vol
60.13%
Sortino
1.62
Beta
0.56

Showing saved draft baseline until you re-run.

Equity curve (indexed = 100)

Accent = strategy · dashed grey = buy-and-hold benchmark

2015-042026-082286086
Drawdown
Worst -62.7%-63%
Metrics bar chart
CAGRSharpeSortinoVol|DD|Grey = baseline · Accent = live run
Monthly returns
2023-062026-08 · last 24 months

Export to your platform

Transform Quant Buffet lab code (ASSETS + make_on_day / PortfolioEngine) into native classes for a third-party IDE — then copy and paste.

Run in: QuantConnect Cloud or LEAN CLI · QCAlgorithm with Equity securities and monthly rebalance.

Detected pattern: SMA trendAssets: SPY, TLT, GLD, BIL
# Generated from Quant Buffet → QuantConnect LEAN
# Strategy: Deterministic modelling of implied volatility in cryptocurrency options with underlying multiple…
# Detected pattern: SMA trend
# Source uses Quant Buffet lab APIs (ASSETS + make_on_day / PortfolioEngine).
# Review fees, data, and risk before live trading — educational export only.

from AlgorithmImports import *


class QuantBuffetExport(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2010, 1, 1)
        self.SetCash(100000)
        tickers = ["SPY", "TLT", "GLD", "BIL"]
        self.symbols = []
        for t in tickers:
            if "-" in t:  # crypto proxy e.g. BTC-USD
                self.symbols.append(self.AddCrypto(t.replace("-USD", ""), Resolution.Daily).Symbol)
            else:
                self.symbols.append(self.AddEquity(t, Resolution.Daily).Symbol)
        self.Schedule.On(
            self.DateRules.MonthStart(self.symbols[0]),
            self.TimeRules.AfterMarketOpen(self.symbols[0], 30),
            self.Rebalance,
        )
        # Logic: Long assets where close > SMA(200); equal-weight; monthly.

    def Rebalance(self):
        longs = []
        for symbol in self.symbols:
            hist = self.History(symbol, 200 + 5, Resolution.Daily)
            if hist.empty: continue
            close = hist["close"].unstack(level=0).iloc[:, 0] if hasattr(hist["close"], "unstack") else hist["close"]
            if len(close) < 200: continue
            if float(close.iloc[-1]) > float(close.iloc[-200:].mean()):
                longs.append(symbol)
        weight = 1.0 / len(longs) if longs else 0.0
        for symbol in self.symbols:
            self.SetHoldings(symbol, weight if symbol in longs else 0.0)

Exported code uses the platform’s native classes and libraries. Install dependencies in your third-party IDE, then run. Validate before live trading.

Academic paper

Teaser

Hold each liquid ETF only when its price is above a long SMA; equal-weight the longs, cash otherwise. Universe: BTC-USD, ETH-USD. Parameters: sma_days=200; rebalance=monthly. Rebalanced on the engine's template schedule with 5 bps commission and 2 bps slippage. Because the paper's primary signal (ML, sentiment, or proprietary data) is not available in our public ETF engine, this draft uses a liquid ETF rule that preserves the paper's economic theme rather than a bit-exact replication.

Strategy in a nutshell

Modeling implied volatility (IV) is important for option pricing, hedging, and risk management. Previous studies of deterministic implied volatility functions (DIVFs) propose two parameters, moneyness and time to maturity, to estimate implied volatility. Recent DIVF models have included factors such as a moving average ratio and relative bid-ask spread but fail to enhance modeling accuracy. The current study offers a generalized DIVF model by including a momentum indicator for the underlying asset using a relative strength index (RSI) covering multiple time resolutions as a factor, as momentum is often used by investors and speculators in their trading decisions, and in contrast to volatility, RSI can distinguish between bull and bear markets. To the best of our knowledge, prior studies ha

Economic rationale

Trend filters exploit persistent serial correlation in asset returns and reduce exposure when prices fall below a long-horizon average, cutting left-tail risk. Related evidence from “Deterministic modelling of implied volatility in cryptocurrency options with underlying multiple resolution momentum indicator and non-linear machine learning regression algorithm”: Modeling implied volatility (IV) is important for option pricing, hedging, and risk management. Previous studies of deterministic implied volatility functions (DIVFs) propose two parameters, moneyness and time to maturity, to estimate implied volatility. Recent DIVF models have included factors such as a moving average ratio and relative bid-ask spread but fail to enhance modeling accuracy. The current study offers a generalized DIVF model by including a momentum indicator for the underlying ass

Backtest performance

Annualised return55.46%
Volatility60.13%
Beta0.56
Sharpe ratio1.04
Sortino ratio1.62
Maximum drawdown-82.08%