Backtest - Glassnode - Tier 3 - BTC - Options 25 Delta Skew (1 Month)
Options 25 Delta Skew : Skew is the relative richness of put vs call options, expressed in terms of Implied Volatility (IV). For options with a specific expiry, 25 Delta Skew refers to puts with a delta of -25% and calls with a delta of 25% to demonstrate this difference in the market’s perception of implied volatility. 25 Delta Skew is calculated as the difference between a 25-delta put’s implied volatility and a 25-delta call’s implied volatility, normalized by the ATM Implied Volatility. This metrics focuses on option contracts expiring in 1 month. Backtest Best Result : bband_d1_ls_rs_heatmap : bband_ls_rs_heatmap : 根據回測結果顯示，此Factor Mean Reversion有所表現。可以見到高達1.9或以上的Sharpe，年回報亦都高達接近100%以上，而且根據不同熱力圖顯示，基本用任何數據都可以得到正回報。但目前可能我是英文有限公司，未能參透究竟此數據有何意義。我只能充其量參看完回測結果及熱力圖後，嘗試為其進行Forward test。 以下為Forward Test 參數： 用近9個月的數據得出令人不如意的結果，可說是全軍覆沒。到底為什麼近九個月的數據出現了怎樣的變化，因而出現失效的場面。 Equity Curve from the result :