CategoryBacktests

Refining The 0DTE SPX Breakout Strategy with Evidence-Based Exclusions (2.2 Sharpe)

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Every quant has been there. You’re backtesting a strategy, the overall results look good, but something feels off when you dig into the day-by-day breakdown. You keep digging while your gut says “this feels like data mining,” but the statistics keep pointing to the same uncomfortable truth – some trading days are just bad for business. That’s where I found myself...

Profitably Trading the SPX Opening Range. Code Included.

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This promising strategy comes from Option Alpha’s comprehensive research on trading SPX breakouts with zero-day-to-expiration (0DTE) credit spreads – selling one option while buying a further OTM option for protection, collecting premium with defined risk. If you’re not famliar with Option Alpha, and are serious about trading options, I highly recommend you check them...

Reweighted Price Relative Tracking for Portfolio Optimization

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This is my implementation of the Reweighted Price Relative Tracking strategy documented in the research paper by Zhao-Rong Lai et al. Shout out to the “Paper-to-Profit” substack for calling my attention to it. The code is not meant to be deployed as-is but serves as an educational template for those interested in modern portfolio optimization techniques based on academic research...

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