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Trade SPY on options expiration date

strategy came from this AQR paper...

https://www.aqr.com/library/aqr-publications/putwrite-versus-buywrite-yes-put-call-parity-holds-here-too

short SPY at the open on the 3rd friday of every month (expiration day for index options) and cover the short in the early afternoon (this algo covers at noon but it looks like the AQR paper says 1pm?). l used 3x leverage

I'm relatively new to python so I'm not 100% sure if it only trades on that 3rd Friday (also, if a holiday falls on the third friday then opex happens the day before... not sure how to code that). Returns slowed down in past 3 years but pretty decent returns overall for only having exposure to the market for 2.5 hours every month

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 599da8b08f16c3560ac109d4
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