# Research on Quantitative Investment Strategies Based on Deep Learning
## 3 Models and Quantitative Investment Strategy
### Quantitative Investment Strategies
#### 3.3.2 Introduction to Quantitative Investment Strategies  
The logic of the quantitative investment strategy used in this paper is as follows:  
(1) The time series of the IV-HV difference between the implied volatility (IV) and the historical volatility (HV) is calculated at 14:55 on the options expiration date. This time series is the IV-HV series for 20 trading days prior to the expiration date.  
(2) Sort the IV-HV time series in ascending order and find its 90 th percentile as the opening threshold, \"option_open\". Find the median the IV-HV time series as the regression closing threshold, \"option_close\".  
(3) Each transaction timestamp calculates the IV-HV value at that moment, and it is compared with \"option_open\". If it is greater than or equal to \"option_open\", the position is opened at the amount of 50% of 10 million (considering that the late delta hedge adjustment position will make the margin change and try to ensure that there will be no burst; 50% is reserved); that is, using five million funds to sell a strangle options portfolio based on the options's maintenance margin. Otherwise, do not open the position.  
(4) Under the position circumstance, the Delta hedge adjustment is performed at each timestamp to ensure that the Delta of the strangle options portfolio remains neutral.  
(5) The condition of the closing position is that in the case of a position, the IV-HV at that time is smaller than or equal to \"option_close\", then \"returning the position\". Alternatively, when the price of the 50 ETF at that time is not within the range of the strike price of the options (less than the strike price of the put options or greater than the strike price of the call options), the \"stop loss liquidation\" is performed. Both \"returning the position\" and \"stopping the position\" need to be closed with the opponent price at the moment.  
(6) If it is an empty position (including closing the position after opening the position or opening the position all the time) and it has not reached the next expiration date, continue to judge whether each transaction timestamp reaches the opening condition.  
(7) If the position is still held on the expiration date, judge whether the options will be exercised at this time. If the price of the 50 ETF underlying asset is greater than the strike price of the call options at this time, the call options is exercised (requires the position of the opponent to be closed at this time), and the put options will not be exercised (all of the premium when opening the position will be the income). If the price of the 50 ETF underlying asset is less than the put options strike price at this time, the put options is exercised (the opponent price needs to be used at this time to close the position), and the call options will not be exercised (all of the premium when opening the position will become the income). If the price of the 50 ETF underlying asset lies between the two options strike prices, then the opponent price at that time is required to close the position.  
The experimental simulation process will be described below.