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End of week update. Been having good success with a 0dte strategy that I developed. I haven't modeled it as it's purely discretion on a single setup that I have been noticing. Admittedly, 0dte is not for the faint at heart but the R/R is mind blowing. Swing trading is great when you wake up...

Midweek update. Putting this thread on hold due to lack of interest, I will report back from time to time. GLTA

I keep a watch list of liquid etf's in different sectors. If sector doesn't have a liquid etf then I will look a individual stocks. I do this with a general guess that they aren't too correlated. Next I will take a trend strategy with limited variable/s and see how it performed. This...

End of week update. I added a few strategies for a total of 12 as of this writing. Trades for the week were in the following, AAPL,TSLA,SPY,FXI,GDX,XLE,QQQ. All are closed out except for 2. QQQ is the longer term trend strategy long via calls and added puts to capitalize if I'm wrong...

Midweek update.. I added new column to reflect "Option Payoff" vs. what was tested in the underlyings.

Just saw this headline today. Generally I don't believe anything that the Vampire Squid says to the public, however I am now seeing my trend based strategy QQQ (Long) now outperforming on Put side (hedge) vs. the current Call position. I haven't been active here as my goal is not to win a...

I have a bunch of strategies in the "Bullpen" file and could trade 5 or so uncorrelated SPY strategies, mean reversion, trend, daytrade, swing, long only, short only etc. but there would be periods where these clusters would occur. For now my plan would be to get smaller if clustering occurs...

Thanks for your support. Position size: When I find a strategy that is uncorrelated, I look at the monthly avg max and min pnl and determine how much it fluctuates from the existing portfolio. So if existing strategies A-E returns $100 (1 unit) per mo avg and new strategy F returns $200 (1...

Interesting how on friday's expiration "Max pain" can often act like a magnet. Maybe there is an edge to that?

Interesting, but wouldn't a 1/2/1 fly cap your upside/ downside profit potential? I could see the benefits here by holding the underlying and not realizing taxes, collecting dividends and you can't lose. Iv'e never done a butterfly so please excuse me if i'm wrong here. Thanks

I encourage everyone to look at your strategies, google strategies posted lately and a long time ago. Get creative and test them, more than likely these strategies no longer work. A good example is Bollinger Bands. BB's were initially created as a tool for breakout trading. Someone at some point...

I am using marked PnL on the directional option call or put. When pnl exceeds the cost of adding an ATM hedge I will look to add 2nd leg/hedge. But I am only experimenting with longer term strategy. Ideally I go out a couple of weeks on leg1 and I try to pay no more than 1%-2% of time value...

In some sense yes, if you take a long only strategy thinking that over time the market goes higher, you'd be correct. But if your start date is at the peak of a rally, then your performance would be red out of the gate. 95% price based on daily bars, for day, swing and trend strategies. I...

All strategies were backtested on underlying shares NOT options. All entries and exits were based on the 2 most accurate data points, the open and close of the day. Real time results are ONLY options and I always bid or offer mid point, then i cancel if not filled > then midpoint with less...

Today is a good wake-up call as we see several outside reversal bars in market leaders QQQ,SPY, NVDA, TSLA etc. I mentioned earlier that in my longer term strategy QQQ, that I wanted to buy an insurance policy for my long position via Puts. It made sense in my head and on paper, that if I was...

The 2.3 Mod Sharpe was an average of 10,15,20 month periods. I expanded this out to 40 months and got an avg. 2.18 Mod Sharpe. Most of the strategies are negatively skewed due to mean reversion in the short term - medium term. Screenshot above "QQQ" is a trend system that balances out...

Yes, everything presented on this thread is directional "Long Only" option trades. 1 strategy is longer term, trend based on "QQQ". Here, the strategy entered a long in January 2023. I manually entered 2 weeks ago with a call position. After a few days the call was 169% in profit, so I added and...

Current real time results of 10 strategies.

I chose the period of 2019- present to test my strategies using Amibroker. The period was sufficient enough for me with trades mostly exceeding 100. Some think that more data is better, some think that more weight/data should be inflationary years (ie 1970's). It could be argued that the 2008 to...

This thread is about strategy development with the most liquid markets (ETF's and Stocks), for now. I have not posted here in a decade. Now in my 50's iv'e decided to go full "Grey-box" with a mix of uncorrelated strategies. The strategies outlined have been thouroughly backtested and forwrad...