Tagoptions

August 22, 2022

2 Min Read

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...

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Backtest Results for a Portfolio Hedge using SPY Put Options

By quantish

In Systematic Trading

September 5, 2021

2 Min Read

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...

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