Most of you know I've been buried in SPX tick data for a while now. Here's what came out of it.
I've spent the last two months working through more than 71 billion SPX 0DTE option tick quotes — over a thousand trading days — looking specifically at MEIC entries, adjustments, and exits. I wasn't hunting for the perfect backtest — a single lucky setting is worth nothing. I was looking for ranges of settings that behave alike. I wanted to understand where the risk actually comes from, because MEIC's profit was never the problem. The drawdowns are.
What I found led me to a variation that, in a four-year backtest, keeps comparable profit and cuts the risk substantially. I'm calling it Talon — after the T-38 Talon I instructed in as an Air Force pilot. Favorite airplane I ever flew.
I'm walking through all of it Tuesday, August 11 at 1:00 PM ET. What I changed, why I changed it, and what the testing shows — against a standard MEIC benchmark run through the identical engine, same days, same data, same fill rules. Including the parts that don't flatter me.
Free, and I'll send the replay to everyone who registers.
[Register for the Round Table webinar here]
If you'd rather just read the numbers, the full case is at aeromir.com/talon and the live day-by-day record is at aeromir.com/talonResults.
I've spent the last two months working through more than 71 billion SPX 0DTE option tick quotes — over a thousand trading days — looking specifically at MEIC entries, adjustments, and exits. I wasn't hunting for the perfect backtest — a single lucky setting is worth nothing. I was looking for ranges of settings that behave alike. I wanted to understand where the risk actually comes from, because MEIC's profit was never the problem. The drawdowns are.
What I found led me to a variation that, in a four-year backtest, keeps comparable profit and cuts the risk substantially. I'm calling it Talon — after the T-38 Talon I instructed in as an Air Force pilot. Favorite airplane I ever flew.
I'm walking through all of it Tuesday, August 11 at 1:00 PM ET. What I changed, why I changed it, and what the testing shows — against a standard MEIC benchmark run through the identical engine, same days, same data, same fill rules. Including the parts that don't flatter me.
Free, and I'll send the replay to everyone who registers.
[Register for the Round Table webinar here]
If you'd rather just read the numbers, the full case is at aeromir.com/talon and the live day-by-day record is at aeromir.com/talonResults.