This strategy was inspired by u/mori226. The system trades options spreads (diagonals) around earnings volatility, buying when IV is lowest, selling when it is highest. Current work-in-progress is in the embedded PDF below and includes backtest results from my prototyping in OptionStack. Spread Entry Long: One month after earnings, buy cheap LEAP calls.Entry Criteria (all must be met)It’s been at...
This is my take on scheduled intraday universe selection, written in Python (LEAN). The attached code is not a tradable strategy, it’s a template for others to use in building their own strategies. Feel free to re-use this, customize it, make it better and re-share. General ArchitectureThere are three universe selection phases: Coarse, Fine and Intraday (scheduled). In the Fine and...
It seems that the Kalman filter and Laguerre filter work well with EMAs for entries/exits. The attached algorithm trades Crypto (or any ‘trendy’ asset), using crossovers between the three. It has a 60% Win Rate and a 3.58 Sharpe, but don’t be fooled. This isn’t because it’s an amazing strategy, it’s because crypto assets went parabolic during the backtest period. So...
I gave a presentation to a small group of crypto traders and software engineers about strategy automation. The goal was to show what was possible using the tools and platforms available to retail traders, and possibly inspire them to give it a try. I think it worked. The slides are embedded below. I walk through a basic breakout strategy with a trailing stop, and on the last slides you can find...
I’ve been doing some research on portfolio hedges using Quantconnect and it’s quite interesting. Here are the results from backtesting a ‘Protective SPY Put’ hedge. Summary of Results: It’s proven to be effective, but there is some selection bias at play. ie: In my backtest, I’ve picked Put options that are ‘just the right’ distance away from spot...
After a long work day I often challenge myself to write the least amount of code to generate the most profitable equity curve. I never have any intent to trade the thing –it’s deliberately overfit– but I find it to be good calming way to unwind. Some people have a Zen garden on their desk. To each his own. Last night I wasn’t up for a challenge, but I still wanted the...
An old high school friend buddy of mine, KW, has been day trading and swing trading for several years. In early 2020, he said to me: “Hey man, you know how to code. You could write code to automate some of my trades.” I laughed. ”I appreciate the confidence, but that’s way above my pay grade” I said. KW tried to convince me a few more times but gave up, only to ping me a few weeks later…. ...