Systematic options strategy with institutional-grade backtesting
Options strategies require rigorous backtesting with realistic execution modeling. Most backtests use unrealistic fills or incomplete data, leading to false confidence in strategy performance.
Systematic iron condor strategy validated across 155 trades using ThetaData with realistic execution modeling. Achieved consistent 60%+ win rate across 2 independent time periods.
Systematic options strategy with multi-period validation (1-year and 3-month independent tests). Achieved consistent 60%+ win rate through rigorous statistical validation and realistic execution modeling.
Phase 0: Foundation - Documentation, three-tier architecture design (backtest/paper/live)
Phase 1: ThetaData Setup - Auto-start terminal, API connectivity validation
Phase 2: Historical Data - SPXW options chain fetcher, smart DTE calculation, data validation
Phase 3: Strategy Logic - Strike selection algorithm, 4-leg iron condor construction, VIX filtering
Phase 4: Backtest Engine - Intraday monitoring, overnight gap modeling, realistic P&L calculation
Phase 5: Results Analysis - Metrics calculation, Option Omega benchmark comparison
Phase 6: Multi-Period Validation - 1-year and 3-month independent validation, IBKR conversion assessment
Transferable skills and capabilities beyond the technical implementation
Validated across TWO independent time periods (1-year: 65.8% WR, 3-month: 61.2% WR). Win rate stable across both periods proves robust edge, not luck. 155+ trades for statistical significance.
Discovered SPX (AM-settled) vs SPXW (PM-settled) difference before implementation. Researched infrastructure constraints saved weeks of potential rework. Settlement timing critical for options strategies.
Stop losses triggered at -$255 avg vs -$38 expected (6.7x worse) due to overnight gaps. Tested NO STOPS: 87.1% WR vs 58.6% with stops. Data-driven approach revealed non-obvious optimization.
Backtest: +32.43%. Estimated slippage/commissions: -15%. Projected live: +21.9% annually (still profitable with margin of safety). Honest cost modeling prevents surprises.