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…. ...