StockFetcher Forums · Filter Exchange · Diagonal call spread candidate filter<< 1 2 3 >>Post Follow-up
825 posts
msg #147346
Ignore graftonian
4/13/2019 10:00:44 AM

An attempt at a Short side filter:
/* Diagonal Put Spread Finder modified 4/12/19 */
chart-time is 1 year
chart-type is line
Average Volume(30) > 5000000
set{ROC30, roc(30,1)}
/*ROC30 average */
set{slow1, cwma(ROC30, 15)}
set{slow2, 2 * slow1}
set{slow3, cwma(ROC30, 30)}
set{valslow, slow2 - slow3}
set{ROC30AVG, cwma(valslow, 5)}
draw ROC30AVG
draw ROC30AVG line at 0
draw ROC30AVG line at -5
add column ROC30AVG
ROC30AVG between -5 and 0
set{closingprice, close}
draw price line at closingprice
sort on column 5 ascending
set{sd_roc30avg, cstddev(ROC30AVG, 63)}
draw sd_roc30avg
draw sd_roc30avg line at 5
add column sd_roc30avg
sd_roc30avg < 5

/* Where to place the Short put? */
set{strikespread1, close - close 21 days ago}
set{strikespread, abs(strikespread1) + 1}
set{short_put1, close - strikespread}
set{short_put, round(short_put1)}
draw price line at short_put
add column short_put
add column strikespread

/*Hull 200 moving average */
set{slow1a, cwma(close, 100)}
set{slow2a, 2 * slow1a}
set{slow3a, cwma(close, 200)}
set{valslowA, slow2a - slow3a}
set{HULL200AVG, cwma(valslowA, 14)}
draw HULL200AVG on plot price

slope of HULL200AVG < 0
do not draw 2 day slope of HULL200AVG

825 posts
msg #147347
Ignore graftonian
4/13/2019 10:17:05 AM

Ed S.,
I like your ideas here. Going to mess with your proposal a bit, thinking that drawing all the slopes might create a big arrow pointing to future prices
Have a great weekend. Here in Grafton the flood waters are going down and the sun is shining

108 posts
msg #147352
Ignore dtatu
4/13/2019 2:31:46 PM

Hello, Graft,
Could you,please, better define what kind of Diagonal spreads you would apply to this Filter?
I"m looking , for about 6 months now, at Ryan Jones diagonals( mostly bearish) and could send some links to some presentations:some interesting statistics seem to apply to them.
Last fall I did some real trading on them, doubling an account in 3 months, but then, of course, Overtrading and a V shape recovery in SPY took all the profit away.(when will I learn to pace myself??)

825 posts
msg #147353
Ignore graftonian
4/13/2019 3:41:46 PM

Dtatu, I prefer to trade iron condors when IVR is high, and Diagonals (either call or put), and calendars when IV is low. To get my blood flowing I try to pick a stock before open and by a ATM call (cheaper than going to the casino. I try to get long calls about 100 days out and short calls around 25 days out. Just cookbook trading. Right now I have positions in SBUX, PG, USO, XLU, et al.
I'll look into the Ryan Jones website and see what he has to offer.

108 posts
msg #147360
Ignore dtatu
4/13/2019 6:14:46 PM

So, you open calendar spreads( you use the same stike price?) or Diagonals( different strike prices)?

108 posts
msg #147369
Ignore dtatu
4/13/2019 10:28:36 PM

...maybe , start with this

-then look for the notion of PPD

-then for 1- 2 punch
and 27% put diag spread

825 posts
msg #147393
Ignore graftonian
4/15/2019 12:42:14 PM

A new and improved diagonal/calendar spread finder. Each day I will attempt to open a position utilizing this filter. If the slope is positive, I'll try calls and etc. if the slope is near 0 it will be calendar spreads.

The usual "rules" for diagonal/calendar spreads will be followed, low IVR, a reasonable credit for the front month, back month out 100 days, front month, 20-30 days. Primary exit is to let the front month expire worthless and close or set another short position. Maybe some of you options geniuses out there could offer some advice as to actions when the trade goes south.

So far I have open positions in KO, PG, SLV (traded calls instead of puts, dumb shit), SBUX and XLU. All but SLV are in the green, but it's early.

/* Standarard deviation of slopes version 2*/
close > 10
Average Volume(30) > 5000000
chart-time is 90 days
chart-type is line
draw 10 day slope of close
draw 20 day slope of close
draw 30 day slope of close
draw 40 day slope of close
draw 50 day slope of close
draw 60 day slope of close
draw 70 day slope of close

set{10slope, 10 day slope of the close}
set{20slope, 20 day slope of the close}
set{30slope, 30 day slope of the close}
set{40slope, 40 day slope of the close}
set{50slope, 50 day slope of the close}
set{60slope, 60 day slope of the close}
set{70slope, 70 day slope of the close}

draw 10slope
draw 70slope on plot 10slope

/*Find Std Dev of Slopes, the smaller the better */
set{mean1, 10slope + 20slope}
set{mean2, mean1 + 30slope}
set{mean3, mean2 + 40slope}
set{mean4, mean3 + 50slope}
set{mean5, mean4 + 60slope}
set{mean6, mean5 + 70slope}
set{slopemean, mean6 / 7}

/*for each number: subtract the Mean and square the result, call them x */
set{x10a, 10slope - slopemean}
set{x10, pow(x10a, 2)}
set{x20a, 20slope - slopemean}
set{x20, pow(x20a, 2)}
set{x30a, 30slope - slopemean}
set{x30, pow(x30a, 2)}
set{x40a, 40slope - slopemean}
set{x40, pow(x40a, 2)}
set{x50a, 50slope - slopemean}
set{x50, pow(x50a, 2)}
set{x60a, 60slope - slopemean}
set{x60, pow(x60a, 2)}
set{x70a, 70slope - slopemean}
set{x70, pow(x70a, 2)}

set{sum1, x10 + x20}
set{sum2, sum1 + x30}
set{sum3, sum2 + x40}
set{sum4, sum3 + x50}
set{sum5, sum4 + x60}
set{sum6, sum5 + x70}
set{standev, pow(sum6, 0.5)}
add column standev
/* draw standev */
add column slopemean and draw slopemean on plot 10slope
sort on column 5 ascending
/* Knowing the mean (or average) slope and the slopes are in a tight range (std dev), we should be able to predict the strike of the short call or put
let us assume the short position is 25 days out */
set{shortpos1, slopemean * 25}
set{shortpos, close + shortpos1}
draw price line at shortpos
set{delta, shortpos * standev}
set{upperlim, shortpos + delta}
set{lowerlim, shortpos - delta}
draw price line at upperlim
draw price line at lowerlim
add column upperlim
add column shortpos{short position}
add column lowerlim

108 posts
msg #147418
Ignore dtatu
4/16/2019 3:47:23 PM

That's a Looong list of candidates.
Is there a way to narrow it down to the best?

825 posts
msg #147420
Ignore graftonian
4/16/2019 5:57:21 PM

Shorten the list? I"m not sure how, but am working on it. Since the point of the exercise is to find smoothness and consistency, "standev < .03" would work or increase avg vol to 10 or 15 M.
Last night I started at the top and worked my way down and could not find a candidate for a variety of reasons: bid/ask spread too wide, not enough credit for the front month, no options available, etc.
Finally settled on VEA but could not get a fill.
As a paper trading aside, looking at buying a 1 month out call or put at the "short position" strike. It is my belief this would take low "standev" and high "slopemean".
Due to the confusion, will rename "short position" to "front month strike".

108 posts
msg #147421
Ignore dtatu
4/16/2019 10:16:49 PM

The problem I see: if you look too much for -too smooth, you will get the equivalent of a Bollinger band squeeze, which, usually is a precursor of explosive moves , either way?
Then , playing one direction with a Debit Spread (short near expiration/long later expiration) on only calls or puts, exposes one to a loss on the other direction.
This means playing double calendar or double diagonals would be a better way?
I prefer doing this on liquid weekly expiration short calls and puts( Mostly SPY,DIA,QQQ, IWM) which I replace every week , against 6-8 weeks expiration long calls /puts.
Double Calendar spreads 2 by 3 each way , or
Double Diagonals 2 by 2 each way .
* But, if it moves too quickly in one direction without coming back, , you'll take a loss.
There 's no risk free way out.

StockFetcher Forums · Filter Exchange · Diagonal call spread candidate filter<< 1 2 3 >>Post Follow-up

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