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.
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...
Trading Earnings Volatility With Options
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...
Backtest Results for a Portfolio Hedge using SPY Put Options
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...