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This has been a good thread. Good intentions all around, low sarcasm/mockery level, and great expertise shared. And a happy ending to boot - the OP isn't going bankrupt. :D

Michael's trying to Burry his Wood

:D

The bid/ask spread can be miserable on LEAPs, even for fairly liquid underlying securities. The situation gets worse when you try to roll the LEAP if the stock rises (pushing the delta of the LEAP close to 1.0). I've even had trouble selling my SPY LEAPs, and SPY is the deepest options market...

Every time I buy or sell a deep ITM, long-dated call, I think to myself...wow, it would be good to be on the other side of that trade. :confused: I've gotten some really bad fills. But, there's always a counterparty.

My biggest complaint on covered calls is that they don't behave well for large, abrupt moves in share price, either up or down. If the stock moves smoothly in either direction, the CC behaves pretty well. Here's a few poor man's covered call examples that I've traded recently. The orange...

I frequently trade the poor man's covered call. However, I'm trading an actual covered call strategy on Robinhood (HOOD). I got 100 shares at IPO and frankly I only wanted about 10! And I have to hold them for 30 days. But, the day they started listing options on HOOD, the WSB crowd stepped...

It's not a trivial achievement to beat "the index" consistently.

We moved to Denver in 2011 from Houston (after flipping another estate sale house, hahaha). At the time, Denver was cheaper than Houston for a comparable house! Since then, Denver has gone nuts. So expensive and crowded. We bought our latest junk house in Greenwood Village but are plotting...

The guy who owns my company (oil and gas) made his breakthrough by buying a potash mine in 1998 when commodities were in the tank, then flipping in the early 2000s after a 10x spike in the commodity

I'm afraid that most of my (non-retirement) horde was earned by fixing and flipping my primary residence. I owned a house in Denver for 8 years and doubled my money at sale. At the typical 5x leverage (20% down), the cash-on-cash return was phenomenal. I typically buy estate sale homes, as...

I like the poor man's covered call for hedging. Buy deep in the money calls with 90+ days to expiration instead of shares and sell covered calls against the long call. The p&l will typically track shares when the stock price rises. When it falls steadily, I typically break even. If the stock...

I’ve been trading the poor mans covered call for a while. Deep ITM long call, more than 60 DTE. I target 80 delta long calls, which typically have about 15% intrinsic value (e.g., an $8.50 ITM option will cost $10). I sell ATM calls (50 delta) against the long call, usually 25 DTE. So it’s a...

If you are itching to start coding, write your backtest engine. It's going to be the core of your data mining/optimization process anyway. Make sure to make it as efficient as possible, because you're likely to be running it at scale.

There's definitely some spread on your profit curves...but I'd probably take a flyer on a strategy with a 4/11 chance of returning 200% YOY! When you see those profit curves, what are your conclusions about these strategies?

Sorry, the yellow dots are the VIX share price. The red dots represent cash in the market for one of the 50 realizations. For the R^2 metric that you envision, what would I be fitting? I do compute an RMS error between the actual profit curve and a straight line connecting (t0,0) to...

OK, so I did a cross-validation test of my VIX and UPRO strategies, where I had a randomly selected 200-trading-day out-of-sample period. Here's a plot of a VIX strategy (buy when the 5-day past return is between -22% and +2%). You are looking at 50 profit curves. The flat spots in the profit...

OK, OK, you've shamed me into doing some cross validation. ;-) I'll backtest the high-graded strategies with an ensemble of random out-of-sample periods (one year out-of-sample seem about right?) and see what I get.

OK, so I didn't go all the way through Chan's article (too much econometrics jargon for me to understand without some serious background research), but I did want to comment on the first sentence: "Optimizing the parameters of a trading strategy via backtesting has one major problem: there are...

Thanks for these; I'll have a read.