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...
This is my implementation of the Reweighted Price Relative Tracking strategy documented in the research paper by Zhao-Rong Lai et al. Shout out to the “Paper-to-Profit” substack for calling my attention to it. The code is not meant to be deployed as-is but serves as an educational template for those interested in modern portfolio optimization techniques based on academic research...
This is a factor optimization strategy, written for Quantconnect LEAN (Python). The attached code demonstrates how to combine technical and fundamental factors in an optimized portfolio, focusing on the most heavily-weighted stocks in SPY. Feel free to re-use this, customize it, make it better and re-share. General Architecture The strategy uses a two-factor model combining...
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...
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...