Origin
Motivation
After trading SPX index options for a long time, it becomes clear that certain strategies are working better or worse depending on certain selectors, like VIX. This makes sense since indices like VIX or shorter duration versions derive their values from options price data.
Maybe you find yourself with a tried and tested strategy at hand that worked for a long time. Now however, it is struggling and you wonder why. It might just be that the environment changed and another startegy works much better now.
...or you want to know which strategy works best to take advantage of steeply elevated market volatilty, without backtesting them all.
...or you have a strategy that is performing well but you think there might just be more to it if you avoided a couple days of trading.
FireForge allows you to view the performance of you strategies depending on those parameters as well as just finding outright which strategy works best for your objective, eliminating the need to manually tweak and backtest every strategy with every set of parameters - let computers do that work.
Expirations
The expirations available follow two principles:
maximising capital utilisation
maximising number of trades
By combining 0 DTE, overnight and weekend strategies, you can create full utilisation of your capital, so that there is no downtime and your money is always working for you.
This allows you to pick a strategy for each of these time slots, e.g. depending on the volatility environment you find yourself in:
Low VIX
Average VIX
High VIX
In order to compare how option's runtime effects performance and sensitivity to the selectors, we also included 7 DTE as expiration.
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