Hypotheses
SPY volatility-scaled pullback entry
A single-instrument, long-only SPY.USEQ strategy on daily bars. Adapt the source's volatility-scaled put-strike formula into a cash-equity entry threshold. This buys SPY shares; it does not earn option premium. Use…
Hypothesis
A single-instrument, long-only SPY.USEQ strategy on daily bars. Adapt the source's volatility-scaled put-strike formula into a cash-equity entry threshold. This buys SPY shares; it does not earn option premium. Use completed daily bars and a 20-session volatility estimate. SPY has decades of daily data, though dividends are excluded from backtest PnL.
Analysis
Selecting strike prices for put-writing strategy based on Z-scores
Backtest and paper results are hypothetical. Trading involves risk of loss.