Machine Learning to Build a Dynamic Option Overlay Strategy in Python

I came across a nice article about Machine Learning on Options Trading strategies by Mickaël Messas (ESCP Europe).

It uses XGBoost, Principal Component Analysis (PCA) and SHAP to improve predicting performance. Merlin from Deltaray takes a similar approach.

It’s a good read (python code included):
How I Used Machine Learning to Build a Dynamic Option Overlay Strategy in Python