We are in the middle of a quixotic quest to build a profitable strategy based on skew (parts 1 & 2).

Today, I added a horizon feature to the code, so now we can trade monthly; which matches the 30 day forecast the skew index gives us.

Will we finally strike gold?

The monthly Sharpe ratio has now nudged up a little to 0.28; putting it another way, our strategy has a lower (but not very low) 8% chance of being jibberish.

I need to take a cold hard look at the relationship between the S&P 500 and the implied skew index.

Also, our strategy shorts the S&P 500 at the smallest sign of trouble; when most of the time it would be better to hunker down and increase our cash holding.