Search results

ES (ask) price at the end of the week is 3993.25. A bit lower than where we left it last week Friday (4043). The PNL, however, has improved, because in any case decay inesorably adds up. We end the week with a PNL of 167.4K after some roller coaster moves: When the ES price moves enough, we...

Weekly update. This week we have actually reached a new record PNL of 196K, but we suffered a significant DD on Friday evening, with the S&P going down quite sharply: https://www.wsj.com/livecoverage/stock-market-news-today-08-26-2022 ES FUT 20220617 GLOBEX 50 → ES FUT 20220916 GLOBEX 50...

Sunday update. We left ES at 4281 (ask) and last recorded value is 4228.5, a 1.2% decline: correspondingly, our PNL also declined a bit, to 181K: The DD of ES FOP 20230131 3500 P GLOBEX 50 E-mini S&P 500 [EWF3 P3500, 577410041, mult: 50] belonging to the "protective structure" we defined...

End of the week. It looks like some of the concerns about IV did not materialize. On the opposite the mkt popped up: About Wednesday's CPI there are a few discussions. For instance this one on ET. Anyway, it does not really matter in our approach, because it is not based on any prediction...

Following the concern from Overnight, I have defined the following structure (the last 4 options in the FOPs list): The 3000 (short) and 3500 (long) have respectively ν = 3.44 and 7.06.

You sure are! :)

lol, sure will do and discuss here the details :-)

Ok, thanks Overnight. In that case, we might create a new "protective" spread before Wed and leave it in place this time. Possibly "closer" than last time. Then, if there is a significant rise in volatility, we might also additionally short some "far away" (say "on the left" of the spread)...

> Above you said it works only with future options, but the title of your journal You are right. When I started the thread, I was still exploring also other instruments to apply the strategy and the scalping engine. In fact, I also tested SPX among the others, as you noted. So the title of the...

Yes earth_imperator, unfortunately, undercapitalization is a common problem. These are big instruments and some "space" and margin to maneuver and ride corrections (and consequent DD) is needed. It may be possible in some conditions to work with less capital, but it becomes increasingly...

>this strategy indeed looks promising Yes. It is not just promising. It works. At least, so far I could not find much better. It is also easy to grasp conceptually and why it should work, as well as lend itself to a clear understanding of what are the situations which could give DD problems...

Hmm, Overnight can you elaborate a bit on what you are suggesting?

End of the week. ES rose just a little bit. We left it at 4132 last Saturday and the situation today is (4142): The current PNL situation (185,2K, with 15.7K commissions, 187 days elapsed so far, current fund usage of 37.9%): So far we have been working mostly scalping and rolling options...

Another week has gone and this time we end up with some extra profits, as ES reached 4132: Our profit has a new record at 181.6K (179.8 days elapsed so far). Commissions 15K. Avg daily profit is around 1K: All layers (50 currently active, including all rollovers) are now in profit...

For me gymnastics and piano. After so many years of crazy work and research (still crazy today, anyway), I could finally devote some time and resources to something that somehow was always dormant in the back of my mind. I even learned (with a lot of effort) how to backflip at age of 58, and all...

This week I have been doing fewer updates to the public illustration, as I have been quite busy trading. Anyway, not much is happening. ES closing at 3963, just a bit higher than Tuesday picture (3945): ES FUT 20220617 GLOBEX 50 → ES FUT 20220916 GLOBEX 50 I have active 50 "layers" at the...

lol at that point not even the lifetimes of all multiverses :-) The strategy must make sense conceptually, in the first place :-) all the rest is usually curve fitting :-) There is no profit without (non-lunatic) reasons for it :-)

Today we reached a new PNL high, while the mkt raised a bit (3945): our PNL touched 148K, while currently, it's 146.5K. 169 days elapsed so far since we started. 13.6K gone in commissions. Current Fund usage: 50.8%. Current folio situation:

Another week has gone. Let's see the situation. ES closed a bit lower than last week: ES FUT 20220617 GLOBEX 50 → ES FUT 20220916 GLOBEX 50 Our PNL is a bit higher due to the extra decay we have been grabbing. Currently 142.3K, with 13.2K in commissions, 165 days elapsed. Funds currently...

We ended week 23 of trading in our "public illustration" at 138.1K profit and 12.9K commissions. Current fund usage 49.5%: A few layers still need to become positive. So far we have been trading S&P options, mechanically scalping in full automation against the decay and gradually recovering...