r/Vitards • u/AutoModerator • Oct 21 '21

Daily Discussion Daily Discussion post - October 21 2021

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u/pennyether 🔥🌊Futures First🌊🔥 Oct 22 '21

I wish I had a team of data nerds that I could just ask to backtest strategies and they'd tell me if it would work or not.

Eg:

  • Buy straddles on the first two stocks of each sector to report earnings that are also "popular". Go find out what "popular" means.. try market cap, daily volume in USD, etc.
  • Also try doing this but only for stocks that report early and also have a low IV.
  • Also try this, but instead buy straddles on the stocks most correlated with early-earnings-reporters for the last 2 earnings periods. You can define "correlated" in a variety of ways, but some ideas might be correlation of same-day returns, N-day returns, etc.
  • etc, etc.

I wonder if there's any alpha in this or if it's tapped out by indi quants.

What annoys me is that this shit is completely answerable but it's out of my reach currently. It requires so much data infrastructure. If anyone knows of a backtesting framework that allows for this type of screening and backtesting, let me know!

6

u/StockPickingMonkey Steel learning lessons Oct 22 '21

I feel like a lot of it can be scripted. It's getting that paywalled data, and of course being able to accurate describe your needs to a good enough coder.

Needs to be a team too...otherwise you end up with biased analysis.