Selling puts also eats into your margin which is an opportunity costs on its own.
I mentioned about walk-forward tests above. I wrote a simple python package here to generate indexes of dataset for the training, testing and...
Could be out of market hours
Not really, I use volatility term structures and Garch based models. The article is just some self-contained python codes to place spread positions.
For what is worth, if anyone is keen on placing options spreads via IB gateway API , I wrote a short 101 tutorial here. [MEDIA] Enjoy!
Personally, I try to tap on well researched risk premia that is less likely to experience decay in performance e.g. trend following, volatility...
For stocks, you have to account for splits and dividends. That's another set of problem.
Something it's better not to fiddle with your systems too much haha
How about Jim Simmons, Robert Mercer, Kenneth Griffin, Edward Thorp?
@globalarbtrader Rob, wrote a really great post on dynamic trend following, https://qoppac.blogspot.com/2020/12/dynamic-trend-following.html...
It can be for trading or investing. You size your positions first based on volatility based measures such as standard deviation or ATRs; then you...
Developing more diversified systematic strategies and achieving more consistent returns streams.
For non-options related strategy, you may consider continuous trading i.e. drop stop loss completely. You scale in and out of the positions...
Using COVID, 2008 crisis, 1987 scenario as the worst case scenario will be a good start.
If you are keen in a perspective from Euan Sinclair, author of several well known options trading books. He has a PhD in Physics....
Thanks for your reply! Good to know the breakdown of the costs as this could really eat into the profits. I haven't done any detailed analysis on...
@ValeryN Congratulations for a great performance this year. I think you are only 1 of the few legit traders in ET. Personally, I'm wary of...
Test your strategy using options chain data in Quantconnect first, For such negative skew strategy, trade small.
Use sharpe and sortino ratios. Understand the theoretical distribution of your strategy. Is it positive skew, negative skew, high or low kurtosis....
Have fun! Although debugging and integrating error handling stuff is a nightmare to handle in TWS API async framework.
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