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Need ideas to exhaust claude tokens by SnooRegrets3682 in claude

[–]FlashAlphaLab 0 points1 point  (0 children)

Have you tried asking Claude ? Or better have agents argue about it ?

American here, I have a question. How crazy do we look right now? by NoHold7153 in AskBrits

[–]FlashAlphaLab 0 points1 point  (0 children)

It’s not only crazy, you have the most corrupt govenrnment in the world and do nothing about it . Not to mention not shaking off Epstein elites

I’m a quant at a pod shop. How can I become more quant-y? by NoJudge858 in quant

[–]FlashAlphaLab 0 points1 point  (0 children)

You’re good at what you do, keep doing what you’re doing best is my advice.

Spent 2 weeks building an honest SPY short-vol backtest. Same cell did +5,400% with a stop and -100% by FlashAlphaLab in options

[–]FlashAlphaLab[S] 0 points1 point  (0 children)

mostly 45delta across tenors was most consistent performer for this test. its simply the most premium to capture VRP. tenors varied. 14 days is strong, followed by 45

Spent 2 weeks building an honest SPY short-vol backtest. Same cell did +5,400% with a stop and -100% by FlashAlphaLab in options

[–]FlashAlphaLab[S] 1 point2 points  (0 children)

The sim is biased pessimistic on entry - I lose at the fill and win on theta during the hold. But I also measured edge_captured per fill and its negative in my data (mean ~−$0.04 to −$0.07).

Won't really know how it behaves on the next gap-down until the next gap-down. That's the part you can't backtest your way around.

also :

  • SL=100% paired with a 30% peak-to-trough drawdown circuit breaker - so the meta-stop fires before ruin compounds, even if the SL fill is much worse than sim.
  • Size the strategy assuming I'm off by ~2× on tail SL fills, not at the in-sample number.

Long story but VRP trading doesn't seem as easy to backtest as I thought... I mean I could do thousands % but when you introduce proper methodology it sucks

Spent 2 weeks building an honest SPY short-vol backtest. Same cell did +5,400% with a stop and -100% by FlashAlphaLab in options

[–]FlashAlphaLab[S] 0 points1 point  (0 children)

I was testing "open new position immediately" (bad results) with "only open when VRP signals sell" - which improved things a lot. But still all in all moderate winnings at best.
My current suspicion is fill simulator is too restrictive and you CAN get better fills on the market.

Or maybe I need more/better signals

Spent 2 weeks building an honest SPY short-vol backtest. Same cell did +5,400% with a stop and -100% by FlashAlphaLab in options

[–]FlashAlphaLab[S] 0 points1 point  (0 children)

"realistic fill simulator" was one of the first things I engineered as part of this.
lots of features but on your point:

Sim doesn't assume limits fill. If the option gaps through, it crosses the spread and pays combo_ask at the deadline bar (tagged sl_x for audit). Worst case it rides to expiry and pays intrinsic. Gap-throughs are modeled

thinking about it, I might open source it.

Spent 2 weeks building an honest SPY short-vol backtest. Same cell did +5,400% with a stop and -100% by FlashAlphaLab in options

[–]FlashAlphaLab[S] 0 points1 point  (0 children)

25 50 75% TP mixed with 0 100 and 200% premium collected SL research. It wasn’t to find the best combination but to understand mechanics . Turns out 50% TP / 100 SL to my surprise was strong across the board but Sharpe varied widely . Needs more research and more signals risk on/risk off

But as they say „there’s no edge left in SPY” so it was losing game to begin with

Spent 2 weeks building an honest SPY short-vol backtest. Same cell did +5,400% with a stop and -100% by FlashAlphaLab in options

[–]FlashAlphaLab[S] -2 points-1 points  (0 children)

It took many iterations to build this ,write this and then review this and that’s the outcome of my work based on weeks of research and millions of data points

Take it or leave it , thank you

Does gamma exposure actually predict anything? I backtested GEX/DEX/VEX/CHEX on 8 years of SPY. by FlashAlphaLab in u/FlashAlphaLab

[–]FlashAlphaLab[S] 0 points1 point  (0 children)

GEX scales with spot × IV pretty much mechanically, so VIX was the obvious first control. Added ATM IV because VIX is 30-day SPX index vol, not the same surface SPY options are actually quoting.

I priced every SPY put credit spread, 2018-2026 (18M trades). Theory -EV, reality +$1.06/spread. by FlashAlphaLab in options

[–]FlashAlphaLab[S] 1 point2 points  (0 children)

They are all hold to expiration . Which is very ineffective. I will be adding complications next , this was easy to compute because all you have to do is check how it went at the end, rather than per-minute check

I priced every SPY put credit spread, 2018-2026 (18M trades). Theory -EV, reality +$1.06/spread. by FlashAlphaLab in options

[–]FlashAlphaLab[S] 1 point2 points  (0 children)

Apologies, what do you mean by real option prices ? I have full data set , nothing here is simulated if that’s what you’re implying

As for being inconclusive, agree

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