bln's playground

I'm back at it again. Dig myself down researching high probability statistical models for S&P 500. Will trade SPX/XSP verticals. Models predict close price to ~75-85% accuracy so the models should be able to make some dough if the backtested stats hold up.
 
Did a vertical on trade setup on thursday previous week XSP C Nov04 +326/-327. Disappointed with shitty RR due to lousy entry. Spread cost me $60.60 per contract and paid out $39.40 net profit post comm. Believe a fly or ratio spread could improve RR.
 
Closing the book for Q1. Quarter performance was in line with statistical expectations for outcome.

Jan 27, 2021 - SPX 03feb21 +3745C/-3750C - $200 win
Mar 23, 2021 - SPX 29mar21 +3905C/-3910C - $200 win

have-fun-with-insane-risk account (~50% expected mdd)

Starting eq: $1200
Ending eq: $1800
Return: +33.33%
 
Another digital Bull Call spread in the bag.

Jun 17, 2021 - SPX 23jun21 +4215C/-4220C - $200 win (x3 contracts)

Starting eq: $1200
Ending eq: $2400
Return: +100.00%

The raw power of an quantitative-statistical strategy. Over a longer term you are guaranteed to win as long as the alpha component stays stable.

Number of trade setups has been lower than expected for 2021. Expected: average 1.5 trades/month, reality: 0.5 trades/month. Still racking up good gains and keeping the profit cash flow going.
 
Corrected an typo in previous journal entry.

Starting eq: $1200

Jan 27, 2021 , SPX 03feb21 +3745C/-3750C , 1 , +$200 , $1400
Mar 23, 2021 , SPX 29mar21 +3905C/-3910C , 1 , +$200 , $1600
Jul 19, 2021 , SPX 23jul21 +4250C/-4255C , 1 , +$200 , $1800

Annualized Return 2021: +50%
 
Another Bull Call spread trade for the books:

Aug 19, 2021, SPX 25aug21 +4400C/-4405C, 1, +180, $1980

Annualized Return 2021: +65%
 
In my real-money account I target 50% annualized return for a -25% MDD risk.

Not quite as aggressive as the journal model account which guns for 100% annual return for an 50% MDD.
 
Starting eq: $1200

trade date , bull call spread , contracts , entry price , exit price , pl , equity
Jan 27, 2021 , SPX 03feb21 +3745C/-3750C , 1 , 3.0 , 5.0 , +$200 , $1400
Mar 23, 2021 , SPX 29mar21 +3905C/-3910C , 1 , 3.0, 5.0 , +$200 , $1600
Jul 19, 2021 , SPX 23jul21 +4250C/-4255C , 1 , 3.0 , 5.0 , +$200 , $1800
Aug 19, 2021 , SPX 25aug21 +4400C/-4405C , 1 , 3.2 , 5.0 , +$180 , $1980
Sep 10, 2021 , SPX 17sep21 +4450C/-4455C , 1 , 3.4 , 4.1 , +$70 , $2050

Annualized Return 2021: +71%
 
Another signal and executed trade from my quantitative statistical trading model.

Sep 30, 2021, SPX 6oct21, +4300C/-4305C, 1, 3.1, 5.0, +$190, $2430

Annualized Return 2021: +102.50%

This is non-compounded linear return. If scaling up number of contracts the return is higher.
 
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