I recently designed and implemented a multi-sleeve statistical arbitrage portfolio for large-cap U.S. equities. The portfolio combines mean reversion, momentum, distance-relative pairs, and event-d...
Lots of discussion around LLMs focuses on prompting techniques, context management, agent workflows, MCP servers, and other methods for extracting more capability from the model. The implicit assum...
Lots of statistical arbitrage research focuses on finding a strong signal. My research ended up pointing towards another conclusion. Diversification across economically distinct alpha signals matte...
One of the challenges trading short-dated iron condors is that their high probability of profit is often disconnected from their actual profitability. Most of the time they expire worthless and you...
Motivation I’ve been looking more closely at short-vol carry trades on the SPX. These trades try to collect a small premium with a high win rate and occasional losses. A common explanation for why...
Motivation In this post, I evaluate the economic impact of a regime forecasting model on a 1DTE SPX iron condor strategy. As a brief recap, I’ve been working toward automating a short volatility ...
In my first analysis of a 1DTE SPX strategy, I focused on the distribution of returns and how the strategy behaves across different market regimes and I ignored standard metrics like Sharpe ratio a...
Motivation I analyzed a simple 1-day-to-expiration (1DTE) SPX iron condor strategy in a previous post. I found that the strategy is not uniformly unprofitable. Rather, its performance depends heav...
Motivation Short-dated premium strategies are popular because they win often. Selling very short-dated options on indices like SPX can produce a steady stream of small gains, and the resulting equ...
I’ve been trading short-dated options on the SPX (mostly 0 and 1-DTE iron condors). It’s very easy for this strategy to look like it’s working. If you manage your sizing, pick reasonable entries, a...