Recent content by amooseman

According to the CBOE, a simple put writing strategy that sold ATM puts on the S&P 500 each month and held to expiration outperformed a buy and hold S&P 500 strategy with less volatility. 1986-2016 annualized returns were 9.9% for the PutWrite index and 9.5% for the S&P 500, annualized...

I'd look into strategies that have different payoff structures than your current strategy. If your current strategy is just long stock, maybe look to add other asset classes or do market neutral type trades. Add a strategy that is strong in a market environment where your current strategy is...

Awesome study! I had no idea there were so many covered call indexes. I'm glad to combine uncorrelated components into a strategy to further reduce volatility and drawdown. Of course, as you warn, a far left tail move wipes out most of the benefits. The leaps/diagnol strategy is the best I've...

That's an interesting idea. Thanks for the study Reformed Trader. Here's another variant of the trend following strategy I'm playing with: - Each month, short 1 at-the-money to 1% in the money SPY put if it's above the 200 dma - Hedge with the SPY put leap and sell 1 SPY put 10% below the leap...

Thanks. The trend following part of the system is to be long SPY above the 200 dma and in bonds below the 200 dma, checking on a monthly basis. The put spread is the hedge to that system in case the break below the 200 dma is very severe before the system exits the long SPY position. I have...

I'd like to hedge a simple trend following strategy that goes long the market when it's above the 200 daily moving average, trading once per month. Basically, I am comfortable using some leverage and taking a loss on the first few points down but don't want to risk a 1987 style gap down before...