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Filter Exchange · Prodigio TOS Platform
fortyfour
msg #104028
12/28/2011 1:57:30 PM

Thanks for the heads up.....
Will definitely check this out....


Filter Exchange · Early Stage Automated Trading Development with IB Excel DDE
fortyfour
msg #103997
modified
12/25/2011 7:40:58 PM

There appears to be recent high correlation with Europe and US stock markets.
The e-mini Sp500 (ES) wakes up with decent volume at about 2AM and by 8AM and of course by 9:30 AM there
recently has been some nice gains.
I have begun to work with Interactive Brokers API ( my choice has to be Excel DDE protocol using
Visual Basic Applications)...as Java and C++ not a thing of mine(VBA barely is).
Anyway, my thinking is to call the "Request Historical Market Data" code ,looking back 6 hours on ES
at about 3AM(an hour or so after EU countries begin to open) ,and, calculate trends in a couple of time frames on this( maybe 1 hour and 4 hour) to get a go/nogo decision on the market(ES).
If it is a GO then use a simple overbought/oversold , entry/exit calculations (williams%r...moving average etc..) to auto trade
only on strong bullish/bearish early mornings.

Has anyone out there used IB's Excel DDE interface using VBA to do auto trading ?
Does it work? ...Is it stable? (assuming solid code)..
Anyone have experience in methods such as "store the real time tick data for calculations rather than use
the unreliable historical call" so I dont have to scrap and re-do code.

Of course I will work/test on the demo account and this will take much time but...that is fine...

Thanks.

Filter Exchange · RSI(3) QQQ Trade System
fortyfour
msg #103618
modified
12/5/2011 1:35:50 AM

The logic of what Ive read of this method is to get good delta and leverage for cheap...I maybe would adjust this spread to the 57/59 and only pay $2790 reducing the total cost of the spread + short put to $1110 or approx 90-1 leverage with a delta > 43%.
Now profit drops to max 2k + and little more profit to buy back the now cheaper put.
I may actully look to decrease the cost of the spread further via another sold put but yes.... I would need to
maintain the puts strike price in my account...It needs to be an unlikely way OTM...delta 10% or less put that is sold.....Maybe also sell the Dec17 IBM 175 put for $420 reducing cost of spread to $690 for a QQQ 57-59 call on 100k of the underlying...and have a 65% chance to make max $2000 (approx 300%) in a few/several days.....now approx 54k locked up in the short puts(AAPL and IBM) both with deltas of approx 10% .... Sell puts on a "great" stocks....low probability of assignment .....like a standing limit order to buy AAPL at 360(not better) which is now approx 390
What I need to focus on here is being prepared for early covering/closing costs when QQQ goes down vs. abandonong the spread and risking the assignments .......


PS:
Choosing the 59 leg to sell and cap profit, corresponds to a 4.5% increase in QQQ....this appears to be a little too high.
Max Fovorable doesnt get there about 50% of the time.
2.5% would be much better...maybe a 57/58 spread...Still selling the same puts now turns this into a credit spread
+450 and max $1000 profit on the spread for $1450 total max profit and a higher probability of acheiving this.
And ,abandoning the call spread isnt an issue anymore....This is begining to masqurade a naked put writing strategy.
Anyway...will also look at the setups boston mentions...soon.





Filter Exchange · RSI(3) QQQ Trade System
fortyfour
msg #103614
modified
12/4/2011 8:45:39 PM

I tested your entry and exit rsi(3) < 15/rsi(3) > 60 for 1/1/2004 to 3/1/2011( when qqqq changed to qqq).
58 trades total, anual return of 12.4%, 100k equity (1 position) ended at 188k, 72% profitable, avg win 2.9k,
avg loss 2.5k, 8.6% max drawdown, sharpe ratio = .25 , 2.8 profit factor, 4 day hold for winners, 9 day hold for losers

Max adverse move show 4 trades > -10% so a market health test and 5% stop reduced drawdown, num of trades to 48 ,
increased profitable to 76% reduced days to hold losers to 6 but reduced anual return to 9% (fewer trades)
*****************************
Better results cluster around rsi(3) crossing ABOVE 30-40 range for entry and rsi(3) crossing BELOW the 70-60 range
for exit.
For a 100k account and allocating ALL ( 1 position) you end with about 300-340k with an anual return of 30% (compound 17%) and around around 110 trades, 15 trades a year average...sharpe ratios around .4 to .5 for the stated ranges, max drawdowns of 4-5%....average days held, 7day hold for winners, 4 day hold for losers, 4k avg win, 2.5k avg loss, about 65% profitable.

You get more trades due to entries when market is rising( rsi(3) < 15 more rare). holds longer and wins bigger..no stops
Adverse max excursion is better..here is a sample of 1 run below...import to excel...plot etc...


The best parameters I can come up with are...where rvi is a good/bad market health check
*********ENTRY*************
crossabove(rsi(3),39) and
sector("nas100", rvi(20) )> 45
*****EXIT************************
crossbelow(rsi(3),62)
********************************

I cant post this stuff as Kevin so... thats about it !





I am working/ studying setups described below and would use a system very similar ( maybe identical)
to the one above. The example below is using todays numbers so is not a good setup...only an example... (rsi(3) is very high so it is only an example setup).
I am looking for systems with good Max adverse excursions for option trades like those below..
Any comments.. welcome........

*********************BULL CALL SPREAD WITH NAKED PUT ON DESIRABLE STOCK WAY OTM*************

QQQ ITM (.6 delta) 56 dec17 call is 1.49...to buy 1800 deltas or equiv 100k of qqq need 30 of these calls for total
value of $4470....profit target is 3% of 100k or $3000. the call needs to increase from 1.49 to 2.33 or 84 cents.
I dont have an option calculator but I expect qqq needs to rise from 56.62 to about 58.20 (3%) in a few days.

To offset this cost...sell the qqq dec 17 59 call for $630 56/59 bull call spread

To further offset cost sell naked AAPL dec 17th 360 put for $1050

Total cost now 4470-1050-630 = $2730 (+commissions etc...) ( I would love to own AAPL at 360)
I would need to lock $36k until cover or exercise of this naked put in my account.

Ideally you own a a call that may return $2500-3000 for a cost of $2730 and risk of owning AAPL at $360 (or covering before
for additional loss to the $2730)

********************************

Here is a table of typical system results described above..




Product,Symbol,L/S,EntryDate,EntryPrice,ExitDate,ExitPrice,Gain/Loss,DaysHeld,TradeAmt,EntryComm,ExitComm,Shares,PointVal,Margin,MinTick,LotSize,EntryRate,ExitRate
Stock,QQQQ,Long,1/27/2004,37.11,1/28/2004,36.56,-1.48%,1,100071.24,0,0,2696.6112,,,,,,
Stock,QQQQ,Long,2/9/2004,35.98,2/13/2004,36.03,0.14%,4,98620.5,0,0,2740.9812,,,,,,
Stock,QQQQ,Long,2/18/2004,36.15,2/20/2004,35.65,-1.38%,2,98771.1,0,0,2732.2573,,,,,,
Stock,QQQQ,Long,2/26/2004,35.15,3/3/2004,35.19,0.11%,4,97420.99,0,0,2771.5788,,,,,,
Stock,QQQQ,Long,3/5/2004,35.1,3/19/2004,34,-3.13%,10,97537.2,0,0,2778.8375,,,,,,
Stock,QQQQ,Long,3/25/2004,33.39,4/8/2004,36,7.82%,10,94496.02,0,0,2830.0694,,,,,,
Stock,QQQQ,Long,4/15/2004,35.42,4/27/2004,35.61,0.54%,8,101902.03,0,0,2876.9629,,,,,,
Stock,QQQQ,Long,5/6/2004,33.95,6/4/2004,35.02,3.15%,20,102473.94,0,0,3018.3782,,,,,,
Stock,QQQQ,Long,6/7/2004,35.11,6/10/2004,35.36,0.71%,3,105712.3,0,0,3010.8888,,,,,,
Stock,QQQQ,Long,6/16/2004,35.44,6/29/2004,35.75,0.87%,9,106482.55,0,0,3004.5865,,,,,,
Stock,QQQQ,Long,8/11/2004,31.65,8/31/2004,32.78,3.57%,14,107540.55,0,0,3397.8057,,,,,,
Stock,QQQQ,Long,9/2/2004,32.94,9/7/2004,33.15,0.64%,2,111386.17,0,0,3381.4866,,,,,,
Stock,QQQQ,Long,9/30/2004,33.74,10/8/2004,34.77,3.05%,6,112166.89,0,0,3324.4485,,,,,,
Stock,QQQQ,Long,10/12/2004,34.14,10/20/2004,34.53,1.14%,6,115603.75,0,0,3386.1673,,,,,,
Stock,QQQQ,Long,10/27/2004,34.54,11/11/2004,36.53,5.76%,11,116946.76,0,0,3385.8355,,,,,,
Stock,QQQQ,Long,12/9/2004,38.06,12/13/2004,38.77,1.87%,2,123779.49,0,0,3252.2199,,,,,,
Stock,QQQQ,Long,12/22/2004,38.47,12/28/2004,38.6,0.34%,3,126119.65,0,0,3278.3896,,,,,,
Stock,QQQQ,Long,1/13/2005,37.54,1/20/2005,36.63,-2.42%,4,126601.36,0,0,3372.4389,,,,,,
Stock,QQQQ,Long,1/27/2005,36.08,2/4/2005,36.15,0.19%,6,123556.11,0,0,3424.5041,,,,,,
Stock,QQQQ,Long,2/7/2005,36.78,2/10/2005,36.25,-1.44%,3,123805.99,0,0,3366.1227,,,,,,
Stock,QQQQ,Long,2/14/2005,36.67,2/18/2005,36.47,-0.55%,4,122035.31,0,0,3327.9332,,,,,,
Stock,QQQQ,Long,2/25/2005,36.37,3/1/2005,36.36,-0.03%,2,121393.03,0,0,3337.7243,,,,,,
Stock,QQQQ,Long,3/7/2005,36.58,3/9/2005,36.65,0.19%,2,121379.62,0,0,3318.1964,,,,,,
Stock,QQQQ,Long,3/15/2005,36.41,4/1/2005,35.82,-1.62%,12,121631.88,0,0,3340.6174,,,,,,
Stock,QQQQ,Long,4/5/2005,35.5,4/11/2005,35.75,0.70%,4,119674.03,0,0,3371.0996,,,,,,
Stock,QQQQ,Long,4/22/2005,34.5,4/25/2005,34.34,-0.46%,1,120553.11,0,0,3494.293,,,,,,
Stock,QQQQ,Long,5/2/2005,34.15,5/11/2005,34.85,2.05%,7,120017.05,0,0,3514.4086,,,,,,
Stock,QQQQ,Long,6/10/2005,36.87,6/22/2005,37.01,0.38%,8,122577.94,0,0,3324.5983,,,,,,
Stock,QQQQ,Long,6/29/2005,36.28,7/7/2005,35.62,-1.82%,5,123066.97,0,0,3392.1437,,,,,,
Stock,QQQQ,Long,8/10/2005,38.52,8/31/2005,37.63,-2.31%,15,120940.7,0,0,3139.6858,,,,,,
Stock,QQQQ,Long,9/19/2005,38.29,10/5/2005,38.28,-0.03%,12,118207.94,0,0,3087.1752,,,,,,
Stock,QQQQ,Long,10/31/2005,37.44,11/16/2005,39.56,5.66%,12,118261.31,0,0,3158.6887,,,,,,
Stock,QQQQ,Long,12/2/2005,40.84,12/6/2005,40.93,0.22%,2,125012.45,0,0,3061.0295,,,,,,
Stock,QQQQ,Long,12/12/2005,40.77,12/15/2005,40.9,0.32%,3,125308.52,0,0,3073.5472,,,,,,
Stock,QQQQ,Long,12/22/2005,40.13,1/18/2006,41.02,2.22%,16,125732.16,0,0,3133.1213,,,,,,
Stock,QQQQ,Long,1/20/2006,41.45,2/1/2006,40.74,-1.71%,8,128527.68,0,0,3100.7884,,,,,,
Stock,QQQQ,Long,2/9/2006,40.23,2/21/2006,40.23,0.00%,7,126353.8,0,0,3140.7854,,,,,,
Stock,QQQQ,Long,2/23/2006,40.21,3/1/2006,40.25,0.10%,4,126360.72,0,0,3142.5197,,,,,,
Stock,QQQQ,Long,3/14/2006,39.67,3/17/2006,40.38,1.79%,3,126531.53,0,0,3189.6024,,,,,,
Stock,QQQQ,Long,3/23/2006,40.14,4/10/2006,41.42,3.19%,12,128817.33,0,0,3209.2009,,,,,,
Stock,QQQQ,Long,4/17/2006,41.07,4/24/2006,40.98,-0.22%,5,132950.58,0,0,3237.1703,,,,,,
Stock,QQQQ,Long,4/28/2006,41.03,5/1/2006,40.95,-0.19%,1,132673.76,0,0,3233.5793,,,,,,
Stock,QQQQ,Long,5/5/2006,41.12,5/10/2006,40.95,-0.41%,3,132429.59,0,0,3220.564,,,,,,
Stock,QQQQ,Long,8/3/2006,35.69,8/7/2006,36.08,1.09%,2,132189.61,0,0,3703.8276,,,,,,
Stock,QQQQ,Long,8/11/2006,35.83,8/22/2006,37.5,4.66%,7,133648.74,0,0,3730.0792,,,,,,
Stock,QQQQ,Long,9/11/2006,37.54,9/20/2006,39.32,4.74%,7,139954.57,0,0,3728.1452,,,,,,
Stock,QQQQ,Long,9/26/2006,39.64,10/2/2006,39.71,0.18%,4,146614.79,0,0,3698.6576,,,,,,
Stock,QQQQ,Long,10/4/2006,39.35,10/18/2006,41.29,4.93%,10,146881.74,0,0,3732.6997,,,,,,
Stock,QQQQ,Long,10/20/2006,41.12,10/25/2006,41.24,0.29%,3,154131.61,0,0,3748.3369,,,,,,
Stock,QQQQ,Long,11/7/2006,41.61,11/10/2006,41.9,0.70%,3,154636.53,0,0,3716.331,,,,,,
Stock,QQQQ,Long,11/30/2006,43.08,12/7/2006,43.37,0.67%,5,155799.67,0,0,3616.5197,,,,,,
Stock,QQQQ,Long,12/11/2006,42.87,12/19/2006,42.74,-0.30%,6,156865.66,0,0,3659.101,,,,,,
Stock,QQQQ,Long,12/28/2006,42.31,1/18/2007,43.87,3.69%,12,156428.56,0,0,3697.2006,,,,,,
Stock,QQQQ,Long,1/25/2007,43.44,2/7/2007,43.36,-0.18%,9,162227.27,0,0,3734.5136,,,,,,
Stock,QQQQ,Long,2/14/2007,43.12,2/27/2007,43.44,0.74%,8,161959.59,0,0,3756.0201,,,,,,
Stock,QQQQ,Long,3/7/2007,41.97,3/14/2007,41.55,-1.00%,5,163197.27,0,0,3888.4269,,,,,,
Stock,QQQQ,Long,3/15/2007,42.01,3/28/2007,42.91,2.14%,9,161568.57,0,0,3845.9549,,,,,,
Stock,QQQQ,Long,4/3/2007,42.94,4/12/2007,43.25,0.72%,6,165057.05,0,0,3843.8995,,,,,,
Stock,QQQQ,Long,5/14/2007,45.82,5/24/2007,45.92,0.22%,8,166394.55,0,0,3631.4831,,,,,,
Stock,QQQQ,Long,5/29/2007,45.57,6/7/2007,45.97,0.88%,7,166780.55,0,0,3659.8761,,,,,,
Stock,QQQQ,Long,6/11/2007,45.94,6/21/2007,46.38,0.96%,8,168262.94,0,0,3662.6674,,,,,,
Stock,QQQQ,Long,6/22/2007,46.71,6/25/2007,46.39,-0.69%,1,169879.17,0,0,3636.8907,,,,,,
Stock,QQQQ,Long,6/28/2007,46.6,7/11/2007,47.43,1.78%,8,168729.22,0,0,3620.7987,,,,,,
Stock,QQQQ,Long,8/3/2007,47.31,8/10/2007,46.28,-2.18%,5,171842.81,0,0,3632.2725,,,,,,
Stock,QQQQ,Long,8/30/2007,46.9,9/7/2007,47.59,1.47%,5,168193.77,0,0,3586.2212,,,,,,
Stock,QQQQ,Long,9/12/2007,47.89,9/18/2007,48.14,0.52%,4,170691.67,0,0,3564.2444,,,,,,
Stock,QQQQ,Long,10/23/2007,52.6,10/25/2007,52.87,0.51%,2,171747.26,0,0,3265.157,,,,,,
Stock,QQQQ,Long,11/14/2007,50.43,12/4/2007,49.53,-1.78%,13,172723.45,0,0,3425.0139,,,,,,
Stock,QQQQ,Long,12/13/2007,50.36,12/28/2007,51.12,1.51%,10,169682.79,0,0,3369.3961,,,,,,
Stock,QQQQ,Long,2/25/2008,42.85,2/29/2008,42.87,0.05%,4,172522.13,0,0,4026.1874,,,,,,
Stock,QQQQ,Long,3/6/2008,42.32,3/13/2008,41.47,-2.01%,5,172631.03,0,0,4079.1832,,,,,,
Stock,QQQQ,Long,4/11/2008,44.25,4/23/2008,45.88,3.68%,8,169298.26,0,0,3825.9493,,,,,,
Stock,QQQQ,Long,5/9/2008,47.22,5/20/2008,48.63,2.99%,7,175611.51,0,0,3719.0071,,,,,,
Stock,QQQQ,Long,5/28/2008,48.44,6/3/2008,48.74,0.62%,4,180894.98,0,0,3734.4134,,,,,,
Stock,QQQQ,Long,6/5/2008,49.04,6/9/2008,48.29,-1.53%,2,182025.29,0,0,3711.7718,,,,,,
Stock,QQQQ,Long,6/16/2008,47.3,6/18/2008,47.44,0.30%,2,179275.83,0,0,3790.1867,,,,,,
Stock,QQQQ,Long,6/20/2008,47.54,6/23/2008,46.83,-1.49%,1,179816.31,0,0,3782.4214,,,,,,
Stock,QQQQ,Long,6/26/2008,45.92,7/10/2008,44.09,-3.99%,9,177145.35,0,0,3857.6948,,,,,,
Stock,QQQQ,Long,7/22/2008,43.31,7/25/2008,44.24,2.15%,3,170141.68,0,0,3928.4619,,,,,,
Stock,QQQQ,Long,8/25/2008,46.39,9/2/2008,46.1,-0.63%,5,173942.75,0,0,3749.5743,,,,,,
Stock,QQQQ,Long,12/31/2008,29.04,1/8/2009,29.95,3.13%,5,173424.66,0,0,5971.9235,,,,,,
Stock,QQQQ,Long,1/20/2009,28.88,1/30/2009,29.37,1.70%,8,178917.91,0,0,6195.2184,,,,,,
Stock,QQQQ,Long,4/1/2009,29.56,4/8/2009,31.33,5.99%,5,182257.95,0,0,6165.6953,,,,,,
Stock,QQQQ,Long,4/22/2009,32.08,4/29/2009,33.32,3.87%,5,193245.3,0,0,6023.8558,,,,,,
Stock,QQQQ,Long,5/12/2009,33.98,5/22/2009,33.36,-1.82%,8,200786.38,0,0,5908.9575,,,,,,
Stock,QQQQ,Long,5/27/2009,34.25,6/15/2009,35.84,4.64%,13,197149.82,0,0,5756.1992,,,,,,
Stock,QQQQ,Long,6/22/2009,35.42,6/23/2009,34.78,-1.81%,1,206341.73,0,0,5825.5711,,,,,,
Stock,QQQQ,Long,6/25/2009,34.95,7/6/2009,34.97,0.06%,6,202624.46,0,0,5797.5526,,,,,,
Stock,QQQQ,Long,7/13/2009,34.55,8/6/2009,39.36,13.92%,18,202779.3,0,0,5869.1547,,,,,,
Stock,QQQQ,Long,8/10/2009,39.29,8/11/2009,39.02,-0.69%,1,231035.25,0,0,5880.2558,,,,,,
Stock,QQQQ,Long,8/13/2009,39.65,8/17/2009,38.51,-2.88%,2,229460.16,0,0,5787.1415,,,,,,
Stock,QQQQ,Long,8/19/2009,38.13,9/1/2009,39.43,3.41%,9,222875.04,0,0,5845.1361,,,,,,
Stock,QQQQ,Long,9/4/2009,39.13,9/24/2009,42.17,7.77%,13,230492.65,0,0,5890.4331,,,,,,
Stock,QQQQ,Long,9/29/2009,41.97,9/30/2009,41.95,-0.05%,1,248433.61,0,0,5919.3141,,,,,,
Stock,QQQQ,Long,10/7/2009,41.45,10/19/2009,42.37,2.22%,8,248362.83,0,0,5991.8655,,,,,,
Stock,QQQQ,Long,10/30/2009,41.62,11/20/2009,42.97,3.24%,15,253951.9,0,0,6101.6795,,,,,,
Stock,QQQQ,Long,11/24/2009,43.66,11/30/2009,42.95,-1.63%,3,262217.89,0,0,6005.9068,,,,,,
Stock,QQQQ,Long,12/2/2009,43.7,12/4/2009,43.99,0.66%,2,257967.84,0,0,5903.1541,,,,,,
Stock,QQQQ,Long,12/10/2009,43.81,12/14/2009,43.96,0.34%,2,259722.44,0,0,5928.3826,,,,,,
Stock,QQQQ,Long,12/21/2009,44.3,1/4/2010,45.93,3.68%,8,260661.68,0,0,5884.0108,,,,,,
Stock,QQQQ,Long,1/14/2010,45.88,1/21/2010,45.65,-0.50%,4,270326.67,0,0,5892.0372,,,,,,
Stock,QQQQ,Long,1/28/2010,44.01,2/24/2010,44,-0.02%,18,269023.09,0,0,6112.7718,,,,,,
Stock,QQQQ,Long,2/25/2010,43.75,3/22/2010,46.93,7.27%,17,268969.33,0,0,6147.8704,,,,,,
Stock,QQQQ,Long,4/30/2010,49.82,5/3/2010,49.07,-1.51%,1,288828.03,0,0,5797.4313,,,,,,
Stock,QQQQ,Long,5/4/2010,48.94,5/14/2010,47.13,-3.70%,8,284487.74,0,0,5812.9903,,,,,,
Stock,QQQQ,Long,5/28/2010,45.6,6/1/2010,45.08,-1.14%,1,274071.37,0,0,6010.3371,,,,,,
Stock,QQQQ,Long,6/11/2010,44.27,6/22/2010,46.45,4.92%,7,271020.21,0,0,6121.9834,,,,,,
Stock,QQQQ,Long,7/8/2010,44.06,7/19/2010,44.21,0.34%,7,284490.77,0,0,6456.8945,,,,,,
Stock,QQQQ,Long,7/20/2010,43.75,7/22/2010,45.01,2.88%,2,285467.12,0,0,6524.9628,,,,,,
Stock,QQQQ,Long,8/2/2010,46.12,8/9/2010,46.73,1.32%,5,293777.13,0,0,6369.8423,,,,,,
Stock,QQQQ,Long,8/18/2010,45.02,8/20/2010,44.53,-1.09%,2,297736.17,0,0,6613.4201,,,,,,
Stock,QQQQ,Long,8/30/2010,43.61,9/30/2010,49.39,13.25%,22,294576.3,0,0,6754.7878,,,,,,
Stock,QQQQ,Long,10/6/2010,49.43,10/7/2010,49.34,-0.18%,1,333673.81,0,0,6750.4311,,,,,,
Stock,QQQQ,Long,11/19/2010,52.18,11/24/2010,52.4,0.42%,3,333458.89,0,0,6390.5498,,,,,,
Stock,QQQQ,Long,11/26/2010,52.6,11/29/2010,52.52,-0.15%,1,334883.15,0,0,6366.5998,,,,,,
Stock,QQQQ,Long,12/2/2010,53.09,12/16/2010,54.03,1.77%,10,334401.3,0,0,6298.7625,,,,,,
Stock,QQQQ,Long,1/4/2011,55.43,1/20/2011,56.19,1.37%,11,340499.36,0,0,6142.8714,,,,,,
Stock,QQQQ,Long,1/25/2011,56.09,1/31/2011,55.73,-0.64%,4,345215.24,0,0,6154.6665,,,,,,
Stock,QQQQ,Long,2/1/2011,56.34,2/23/2011,56.95,1.08%,15,343008.96,0,0,6088.196,,,,,,
Stock,QQQQ,Long,2/28/2011,57.8,3/1/2011,56.76,-1.80%,1,346770.26,0,0,5999.4855,,,,,,


Filter Exchange · RSI(3) QQQ Trade System
fortyfour
msg #103610
12/4/2011 2:47:13 PM

gmg733,

I will use Stratasearch and keep it simple by still using QQQ and RSI(3) and allow
optimization for entry and exit values...... and..... allow index "SPX" breadth/volatility to be considered.
I will get back to you on this. I will set for yaers 2009-2011 initially.
If you have any requests regarding parameters let me know.

General Discussion · Deep in the money Options
fortyfour
msg #103361
modified
11/15/2011 5:40:46 PM

gmg733,

Id like to throw this hypothetical( I dndnt take it) trade out there.....

Yesterday AAPL, very oversold in the bol bands,low zscore16, low rsi(2) etc....
Assume 10 contracts...commish about $10 with IB

Yesterday sell to open AAPL dec 375 put 12.63
buy to open AAPL dec 370 put 10.67
Credit of $196 per contract
Risk or ( 5 - 1.96) = $304 per contract.
Seems to me good risk reward ratio ?


AAPL Dec16 375 put yesterday was 12.63 today it is 8.40 down -4.13
AAPL Dec16 370 put yesterday was 10.67 today it is 7.05 down -3.62

Today buy to close 375 put for 8.40 (+ $413)
sell to close 370 put for 7.07( - $362) for a net of $51 per contract

10 contracts would be profit $510
Risk capital maintained in account is $304*10 = ($3040) until position closed.

At this time of day I cant compare yesterrday to todays greeks but would guess
IV (has to be down.....as underlying up....very good for option sellers)
Theta( low roc change at this time value of about .3 )
delta( yesterday probable around .35...maybe to high/risky on the
370 strike....maybe 365/360 better or lower?
gamma( low roc at this far out)
vega( about .40 cents on a 1% change in IV)

Anyway $510/$3040 or 16.7% return on capital seems good to me...of course this is a nice one.

I am reading Lee Lowells "Get Rich with Options" (terrible title...easy read) and he, like yourself is a big advocate of
selling options...His spread are deeper OTM with higher probability...less credit ....

Anyway, if you dont mind talking "shop" , as your posts are helpful, .....How might you deal/have dealt with this AAPL trade?

As of now the same AAPL 375/370 is 4.13-3.62 for a .51 credit... (5-.51) = 3.99*100 = $510/ $3999 or 12.75% max.
Much higher probability than yesterdays trade .
Thanks.



General Discussion · Deep in the money Options
fortyfour
msg #103327
modified
11/13/2011 4:36:29 PM

Indeed liquidity and open interest seem to be a detriment with deep in the money calls

MCD.... not to sexy...has been on a nice uptrend lately
The 90, 87.5 and 85 calls are deep in the money to various degrees.
http://www.optionistics.com/f/option_prices

It goes without saying you must be right on any directional bet.....and that is worth repeating..
MCD the underlying stock may not even be on a swing traders list due to its low volatility etc..
However , the in the money calls that I mention provide 10X to 15X leverage and are a reasonable
proxy for the stock as delta ranges from approx .8 to .95 among these calls with very low gamma and vega.
My method will be to use our typical oversold methods zscore16, rsi(2) etc and buy these calls
when it is actually the better time to sell the put( which I cant do) as IV will be crushed if a reversal occurrs.
The ATM will get a better bang if the move is large enough but, it may not be,..... to overcome the offsetting greeks
of the ATM..
Anyway, swing trading these deep in the moneys on SP500 stocks is something I am considering
but unfortunatalty the IO/volume aint good...switching to less deep in the money option is an option due to when
these go "too" deep in the money they really die.

Thanks for your input Gmg733 and please fell free to comment futher...thanks.




General Discussion · Deep in the money Options
fortyfour
msg #103321
11/12/2011 11:48:29 PM

Even with SP500 large cap stocks such as PG, GE etc.. the daily volume on the deep in the money nearest month options is very low...say 200 contracts for some of these.
My desire to use these options is a leveraged proxy for the stock ..approx .90-1.0 delta ,with virtually no gamma or vega.
I am not at all sure how troublesome it will be to exit these.
I have read that during these low activity ( 0 shares trading) times that market makers bid/ask is
determined by option pricing algorithms that maintain "parity" with the underlying stock.
Is this true?

It seems to be that the best way to exit these illiquid options may be a sell stop and giving up the spread on the ask( a dime or whatever it is at the time)....For me, this would be ok ( the cost of using these). Rather than chasing a limit order down...
and being charged for each changed order.

My question is simply.....how bad can you be screwed on exiting these options?......is resonable parity to the underlying stock maintained?

I have also read that option market makers purchase directional neutrality so they can always provide liquidity.

I will find out on my own with small money but the experience of others... a voice of experience is always helpful. Thanks.




Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
fortyfour
msg #103254
11/7/2011 6:44:00 PM

http://www.optionistics.com/f/option_prices

Is my source of "approx" data from the past month.

I have to say I am surprised and disapointed with the thin volume
on large cap stock options. "GLD" is on a tear now and the ATM call
trades approx 1000 to 2000 contracts/day.

I have read your posts...sounds like youre enjoying it....
Thanks and good luck.


Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
fortyfour
msg #103240
11/6/2011 6:09:44 PM

Any words from option experienced people on using results of Kevins filter to put on "bull put spreads" in general?

Cherry picking AMZN, the day it fell to $200....
Sell to open $200 put for approx $9.60 ( iv high and falling...good for put seller)
Buy to open $190 put for approx $5.60
Net (max profit) credit approx $400 / contract.

Obviously this spread has worked and could be held or closed
today as...

Buy to close $200 put for $ 1.70 ( $7.90 profit)
Sell to close $190 put for $ $.80 (loss of $4.70)
Profit of $320/contract

Downside protection is (strike diff - credit) or $600/contract when AMZN is below $190
Breakeven = 200 strike - 4 credit = AMZN price of $196

The best exit level of Zscore = -1 in Kevins strategy I would say is moderately bullish as is the bull put spread concept .
The infrequent large outlier losses when 15 or 20 days when owning the stock ( of course 10%$ stops etc could be used to somewhat of a detriment to long term results) is managed by the put spread

For option experience people ( of which I am not)....How would you construct the AMZN bull put spread?
For example...go for a better ratio of spread/credit ?...... Credit/Max loss?







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