Skip to content

4 Comments

  1. Richard Meadows
    June 21, 2022 @ 6:10 pm

    Hi spintwig, how would rolling at 60DTE work in this scenario? You take the position off after 30 days, but wouldn’t enter again until the next S1 = false signal? That would leave some period of being totally unhedged which is presumably not ideal. cheers, R

    Reply

    • spintwig.com
      June 23, 2022 @ 10:36 pm

      Off the top of my head, I’d wager that it would underperform due to potentially missing out on those infrequent left-tail events.

      It’ll dilute the extreme left-tail effectiveness, but perhaps converting the strat into a calendar could make it effective for “medium” drawdowns.

      Reply

      • Charles Pye
        February 15, 2023 @ 12:06 pm

        I’m also confused. It sounds like the original strategy was to always have the same number of positions open, rolling them each month. If you open a new position every time s1= false, and also roll them, then you’ll end up with more and more positions over time with no limit. Or do you just close them after a month instead of rolling them? Is this something you’ve used in practice or just for backtesting?

        Reply

        • spintwig.com
          February 15, 2023 @ 6:21 pm

          The original strategy opened a long SPX put 30% OTM with 90 DTE position and closed it once the days till expiration reached 60. A new position was then opened after the existing position was closed. There was always a single position open.

          The strategy in this study opened a long SPX put 30% OTM with 90 DTE position each trading day s1 = FALSE and closed it after holding for 30 days (similar but slightly different to exiting at 60 DTE). There were times when no positions were open and there were times when 22 positions were open.

          I have opened short SPX puts at 30% OTM with 90 DTE when s1 = TRUE – the reverse of this study, but I haven’t used this in a defensive posture. Position sizing is how I manage risk.

          Reply

Leave a Reply

Your email address will not be published. Required fields are marked *