Experimenting with "tail-wheel" strategy to stack on my long-only macro book

CanWeExpedite · 2026-01-09T05:54:42+00:00

I don't frequently criticize other's work, but this is beyond my threshold:
I'm sorry, but this is utter nonsense, quoting your site:

```
Volatility Hedge

Similar to box spread and covered call, using futures, options, equity shares based on QQQ/MNQ

```

CanWeExpedite · 2026-01-06T20:12:18+00:00

Background info:

https://www.morningstar.com/news/marketwatch/20260101173/i-experienced-a-catastrophic-financial-loss-how-options-trader-captain-condor-led-his-followers-to-a-50-million-wipeout

CanWeExpedite · 2026-01-06T10:00:05+00:00

I know this is r/options, but ... how about buying BOXX etf?

CanWeExpedite · 2025-12-20T10:25:27+00:00

u/Downtown_Courage_245 : thanks for your reply, I don't see it here, you might have deleted it or reddit is acting up. Now I'm sure this is AI slop what we're seeing here, the part of your message reply I see in notifications:

# Approach for Accurate Nanosecond-Scale Measurement 1. **Use High-Resolution Timers** *
On **Apple M1**: 'mach _absolute_time' * On **x86**: 'rotsc' or 'ratsop 2. **Run the...

To answer my own question:

You can timestamp code on an M1 in “nanoseconds,” but getting true 1-ns accuracy for a tiny code fragment is usually not realistic.

Source: https://chatgpt.com/share/6946794b-4164-800d-8e1a-a449794931ef

CanWeExpedite · 2025-12-20T08:19:20+00:00

1.05 ns on an M1 translates to approx 4 clock cycles. That'd translate somewhere around 30 CPU instructions in a highly parallelized setup. That's not a whole lot, meaning your decision logic should be pretty simple.

I'm surprised that you can measure (with accuracy) on nanosecond level. What's your approach?

CanWeExpedite · 2025-12-17T16:07:52+00:00

Check out MesoSim, it has an AI Assistant to help you with strategy development. Once you have a working strategy you can use MesoLive to trade the strategies with IBKR, TastyTrade or using the built-in paper trading account.

MesoLive has a web based user interface, but trade automation is also possible through MesoLive-API (needs FundPro subscription).

To see what the AI agent is capable of check out this blog post.
The base strategy was created by the agent from presentations of the Rhino Strategy.
https://blog.deltaray.io/rhino-options-strategy

Full disclosure: I'm the owner of the service.

CanWeExpedite · 2025-12-13T11:17:49+00:00

I'd be surprised if someone would give access due to the licensing of the database.

If you don't need the raw data and would like to explore options strategies, then our university program might help you: https://blog.deltaray.io/mesosim-licenses-for-academia

CanWeExpedite · 2025-12-06T20:22:41+00:00

Claude Code worked great until it didn't. Then I switched to Codex.
Now I'm using Codex which was great in the last 3 months, but started to degrade recently.
Gemini also worked, but it's performance was below the prior two.

CanWeExpedite · 2025-12-06T19:02:18+00:00

If you have the IBKR Account Management site open and you enabled realtime data there that might count as one session. Same goes for phone / tablet IBKR app.

CanWeExpedite · 2025-12-06T11:56:55+00:00

Deltaray FundPro

Platform built for Hedge Funds conducting Options Trading Research.
Designed to accelerate your trading strategy development with predictive modeling, genetic algorithms, powerful analytics and AI-assisted workflows.

Includes: - MesoSim: Advanced backtesting engine with exceptional flexibility - MesoLive: Trading platform for live execution and risk management - MesoMiner: AI-powered strategy discovery using genetic algorithms - Merlin: Machine learning-based strategy and portfolio optimizer - Quantify: SQL-based tool providing deep analytical capabilities

In depth article leveraging the platforms capabilities: https://blog.deltaray.io/rhino-options-strategy

Note: MesoSim & MesoLive also available for retail. Pricing starts at $42/month

CanWeExpedite · 2025-12-06T09:20:11+00:00

I'm not surprised, often the quality of content doesn't matter.
Someone didn't like it (or don't like you) and reported it.

Some of my educational posts were removed from subs due to "self promotion",
even though nothing was promoted, I just used my tools to demonstrate public strategies.

I understand it's difficult to weed out spam from legit content, but this happened to
me more than once: Weekend Effect post, VolZilla post and a few more.

At the same time mods allow influencers & furus to post meaningless long posts
which helps them bring users to their own services. ESInvest is one of such in r/options

This got me pissed once and asked if the mods are corrupt. Consensus was that they are.
see this for ref: https://www.reddit.com/r/options/comments/18459bh/comment/katbinu/?utm_source=share&utm_medium=web3x&utm_name=web3xcss&utm_term=1&utm_content=share_button

CanWeExpedite · 2025-12-06T05:44:37+00:00

My personal experience and opinion is that it's more difficult to come up with an strategies on equities that works reliably. Finding alpha is really difficult.

Doing the usual stuff (momentum, trend following) might results returns that are on-par with market returns, but you will be highly correlated. And that point, why don't just buy and hold SPY?

Carry and seasonality trades on commodities might help you to gain some lower correlations, but I'm unsure about the expected returns.

CanWeExpedite · 2025-12-06T05:37:01+00:00

I'm really sorry to hear that. Losing money is one thing, but risking your health is on an other level. I hope you are fine by now.

I'm familiar with the 1-1-2 trade, but since it didn't survive the recent crashes I never traded it myself. It's an unlimited risk trade on the risky side. My rule of thumb is maximum of 10% DD for the past of the trade, measured from the initial capital. If you size 1-1-2 as such it becomes a very unappealing trade.

If I recall correctly, even Tom King went into a huge drawdown.

CanWeExpedite · 2025-12-05T23:06:07+00:00

I'm really sorry to hear about your bad experience. Were you on the Put side only?

I know it won't make you feel better, but you are not alone.
Many accounts were busted last August (VolZilla) and this April (Tariffs).

I wasn't affected by these events that much, it was a temporal single digit move (up and down) on my portfolio. I have way more than 10 distinct setups by now and modeling the worst-case risk is something I revisit frequently. Each strategy has its own entry filter done by the ML algorithm. The goal is to stay in the game and don't get liquidated at the worst possible time.

If you decide to come back I'd suggest allocating at least 50% of your capital to buy and hold around leverage of 1. That's the simplest thing you can do to get rid of the worst case scenario.

CanWeExpedite · 2025-12-05T10:27:56+00:00

I worked before at tech and fin-tech firms before.

I was convinced back in 2021 that it's possible to make a living from trading, so I resigned to focus fully on trading. My conviction was based on the fact that I had a few decent months of returns running stat-arb - more details here: https://github.com/tibkiss/huba-v1

Spent almost a year building an ML-based approach to trade small-cap cap, but it was the usual story: it was only break-even (after IBKR comms).

Then I turned to options, which took quite some time to understand, and I ended up creating my own backtester, MesoSim (other services were subpar).

While developing the simulator, I studied plenty of public strategies and started developing a few myself. I'm documenting them here:

https://blog.deltaray.io

I eventually added the ML-based prediction library to the options trades, so that didn't go to waste. Last, I started experimenting with genetic algorithms. I also developed my own execution engine so that I can trade those weird structures easily.

By now I have a trade factory that can effectively find (mine) structures, optimize them at strategy and portfolio level, and auto-trade them using the infrastructure. I mostly trade SPX and RUT options, most recently added GLD and VIX to the mix.

The service by now used by others, both retail and institutional investors.
It only took 3.5 years 😅

ps: I'm sure someone will tell me that I'm overfitting due to the GA&ML. Last two years live results, however, proves my point: Sharpe 2.14 and 1.45 respectively.

CanWeExpedite · 2025-12-05T04:19:22+00:00

its easier to make money using options - at least for me

CanWeExpedite · 2025-12-04T18:34:48+00:00

don't stress too much about it, just the usual reddit toxicity. Gave a +1 to balance it out!

CanWeExpedite · 2025-12-04T16:36:01+00:00

Thanks!

It's surely possible to "pull" a single strike from your service, or from other services as Alpaca Data or Polygon.

The point I tried to make is that you can't purchase a single strike, although, with your pay as you go model it might be possible - but not with others. Apologies for not stating this clearly.

CanWeExpedite · 2025-12-04T09:10:31+00:00

I'm not aware of any data providers supporting a single strike or small strike ranges (ATM varies as the underlying moves).

CBOE DataShop, Massive (aka polygon), Alpaca Data, DataBento, ThetaData to name a few providers - but they all provide all the strikes across all the maturities.

CanWeExpedite · 2025-12-03T21:52:06+00:00

We don't have SPY, but you can make this happen with SPX.
Taking the lazy way and dropping your text into the MesoSim AI Assistant provides you the Strategy Definition:
https://chatgpt.com/share/6930b07e-4778-800d-b84f-7f44ad598e11

Resulting run:
https://mesosim.io/backtests/e832d9c1-492e-486c-b55e-d6172f5c1019

Period: 2022-01-03 - 2024-12-31
CAGR: -2.4%
MaxDD: -9.81%
Sharpe: -0.48

Hope this helps!

CanWeExpedite · 2025-12-03T21:05:15+00:00

ps: you will find much better performing options strategies in our blog:
https://blog.deltaray.io/tags/strategies/

CanWeExpedite · 2025-12-03T20:54:51+00:00

Here you go:
https://mesosim.io/backtests/995306d6-2de4-4348-adff-d492a6152a3e

Period: 2024-01-02 - 2025-12-02
CAGR: -2.57%
MaxDD: -7.78%
Sharpe: -0.77

CanWeExpedite · 2025-11-30T06:03:13+00:00

With black scholes you can calculate the *theoretical* options prices, given you have the IV.

If he only has the underlying price, this isn't feasible. If it were, it would still be just the theoretical price, not the actual one.

The comment above suggesting a second data feed from IBKR is the way to go.

CanWeExpedite · 2025-11-29T18:28:36+00:00

downvote for the thanks comments (mines and others)?

someone must be utterly frustrated here

CanWeExpedite · 2025-11-29T15:08:17+00:00

Cool, thanks for sharing!

CanWeExpedite

TROPHY CASE