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...
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...
A few months ago someone on reddit asked about my workflow for strategy research. I thought about it and realized how far I’d come on this exciting and humbling journey. From indicator soup to some semblance of evidence based strategy validation. I’m not quite using this exact process any more, but thought it worth documenting for posterity. Here’s my reply, paraphrased and formatted...