I think 2-3pm might be late to get an acceptable range and risk/reward for this type of 0dte neutral play. Lunchtime maybe.
You are not qualified to judge about my work on GBM etc. Stock prices are not lognormal, you say? What a dummy you are. I'm doing statistics, not your idiotic outlier shit.
That'd be a cool test. I could probably backtest the value of the straddles only, e.g. writing an ATM straddle every 30 minutes. But not the assignment and I only have SPY data for 2022, PM me if interested though.
Statistics @ community college? All your other posts on this or related topics show you have no idea what you are talking about. And you don't deserve to be corrected. Go on.
I agree. After 2pm would be the time to start covering. The strategy is essentially SVOL and could be replicated by selling VIX calls on Tuesdays and selling SVXY puts on Fridays. Or you could setup an algo to sell a /VX contract every 30 minutes and cover sometime in the late afternoon. If you do it this way then you won't have directional risk even though a rising VIX is more correlated with a falling SPX and vice versa, but there are exceptions. I am not doing any of these strategies. I am focusing on oil and equities. The indexes and volatility is flat right now.
I created this backtest in MesoSim, with one modification (12 vs 13 trades per day): - ATM Straddle opened on SPX every 30 min, starting at 10AM - 12 trades per day run into expiration - Backtest period: 2022. 01. 01. - 2023. 05. 01. - Fills: At Mid Price (no slippage) - Commission: 1.5 per contract - Initial allocation (cash): $100k Result: - CAGR: -1.18% - MaxDD: -392% I wouldn't trade this.. Not even with SL as the drawdowns are so huge. You can check the results and the rules in detail here: https://portal.deltaray.io/backtests/4f90f0a8-1ff0-4103-9021-645fb1d4cfc0 I'll make some expirements with ICs, maybe they perform better.
thanks for those results! I wonder how much the 4% down day on May 18,2022 skewed the results. also, it looks like the idea did quite bad in 2022 when the market was trending down, and quite good in 2023 when the market was chopping higher.
Just took a look at mesosim website. Did you run the backtest on the free basic plan or on one of the premium plan?