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HowardCohodas Index Options Credit Spread Trading Journal
- Thread starter HowardCohodas
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There were some periods where my entry criteria were not met. I did not force it. I stood on the sidelines. Of course, this was back testing so you may choose to dismiss it.Quote from atticus:
These statements are bullshit unless he (sic) went to cash for the 20 months from July 07 to March 09. In 2009 most call verticals would've blown out as well.
Quote from HowardCohodas:
There were some periods where my entry criteria were not met. I did not force it. I stood on the sidelines. Of course, this was back testing so you may choose to dismiss it.
Yeah, it's called a hindsight bias. Of course your entry criteria weren't met... the SPX dropped 250.
Scam.
There are some well respected members of Trade2Win who share your skepticism of the strategy. However they feel that my back testing methodology is one of the most robust they have ever encountered.Quote from atticus:
Yeah, it's called a hindsight bias. Of course your entry criteria weren't met... the SPX dropped 250.
Scam.
If you are not familiar with what I do, you are incompetent to make that judgment.
Well Howards strategy is fairly straight forward and simple. Many people have done it similarly over the decades. I think if I was to use it, i would tweak it a little.
For example: I could see where he would get wiped out whenever the VIX moves between 20 and 30, using two month out options. I would set some extra rules than those he has mentioned here. Certainly Two month out, Bull put credit spreads would have difficulty in a VIX 20 to 30 environment. When VIX starts having VIX 60, 80, 120 or even 160 days, as I´ve seen, the Bull Put Credit Spreads would not survive, nor the account.
So a rule that you quit Bull Put Credit Spreads after VIX touches 20 would be a good one. Indeed, I would further refine such a rule that Bull Put Credit Spreads would not be put on after VIX touches 18, on the second month out, as in a rollover situation. Might be chancy, and might work on the first month.
Most of Howard´s testing period both funny money and particularly cash has been below VIX 25, and even I dare say, below VIX 20. I believe right now we are at VIX 19 thereabouts.
Mind you, as the VIX rises, the Bear Call Credit Spreads become more attractive. The problem is with those two month out credit spreads. An environment of VIX 20 to 30 usually lasts 3 to 4 weeks. Above VIX 25 you should have completely shifted to Bear Call Spreads. I can see using the appropriate rollover credit spread, into the next month, provided you stick to the VIX trading rules.
The only idea of a second month as far as I can see, is to gain extra premium in a rollover, or new trade. I have a vague idea I would close out all Bull Put Credit Spreads whenever VIX hits 18. Below that is fine.
For example: I could see where he would get wiped out whenever the VIX moves between 20 and 30, using two month out options. I would set some extra rules than those he has mentioned here. Certainly Two month out, Bull put credit spreads would have difficulty in a VIX 20 to 30 environment. When VIX starts having VIX 60, 80, 120 or even 160 days, as I´ve seen, the Bull Put Credit Spreads would not survive, nor the account.
So a rule that you quit Bull Put Credit Spreads after VIX touches 20 would be a good one. Indeed, I would further refine such a rule that Bull Put Credit Spreads would not be put on after VIX touches 18, on the second month out, as in a rollover situation. Might be chancy, and might work on the first month.
Most of Howard´s testing period both funny money and particularly cash has been below VIX 25, and even I dare say, below VIX 20. I believe right now we are at VIX 19 thereabouts.
Mind you, as the VIX rises, the Bear Call Credit Spreads become more attractive. The problem is with those two month out credit spreads. An environment of VIX 20 to 30 usually lasts 3 to 4 weeks. Above VIX 25 you should have completely shifted to Bear Call Spreads. I can see using the appropriate rollover credit spread, into the next month, provided you stick to the VIX trading rules.
The only idea of a second month as far as I can see, is to gain extra premium in a rollover, or new trade. I have a vague idea I would close out all Bull Put Credit Spreads whenever VIX hits 18. Below that is fine.
Atticus
I´ve been reading a slight bit on your comment to sell the body at the ATM and buy the wings. Which if I understand it properly is the Butterfly Spread. I see there are both CALL and PUT butterfly spreads. Never tried either one.
Rather than get too technical, I wonder if you could explain the SETUP environment for me, when you would apply either? I presume either a market signal that is going to drop, or rise? What do you look for in a setup to do this butterfly spread.
I´ve been reading a slight bit on your comment to sell the body at the ATM and buy the wings. Which if I understand it properly is the Butterfly Spread. I see there are both CALL and PUT butterfly spreads. Never tried either one.
Rather than get too technical, I wonder if you could explain the SETUP environment for me, when you would apply either? I presume either a market signal that is going to drop, or rise? What do you look for in a setup to do this butterfly spread.
I don't really want to join the discussion here, since it covers the same ground as the T2W one. However, as a (somewhat active) participant of the T2W thread, I am curious who the "respected members" you're referring to are, Howard?Quote from HowardCohodas:
There are some well respected members of Trade2Win who share your skepticism of the strategy. However they feel that my back testing methodology is one of the most robust they have ever encountered.
Quote from falconview:
Atticus
I´ve been reading a slight bit on your comment to sell the body at the ATM and buy the wings. Which if I understand it properly is the Butterfly Spread. I see there are both CALL and PUT butterfly spreads. Never tried either one.
Rather than get too technical, I wonder if you could explain the SETUP environment for me, when you would apply either? I presume either a market signal that is going to drop, or rise? What do you look for in a setup to do this butterfly spread.
It's an outlook on volatility as much/more than direction. I'm not terribly willing to get into it here.
Quote from falconview:
Most of Howard´s testing period both funny money and particularly cash has been below VIX 25, and even I dare say, below VIX 20. I believe right now we are at VIX 19 thereabouts.
The mid 2007 through all of 2008 period would've wiped out any dotm credit spreads. Howard states that he never had a month during this (or any other) period worse than +3.5%, backtest and real-money, and has not shown any gaps in trading during his real-money activity.
Obviously his backtest avoids any volatility threshold he defines in hindsight and therefore involves large gaps where his system was inactive. Anyone can look at the chart and avoid a period in question and simply adjust the backtest parameters to to avoid such known "high volatility" outcomes.
This makes Howard a fraud with respect to this BS backtest.
Quote from atticus:
The mid 2007 through all of 2008 period would've wiped out any dotm credit spreads. Howard states that he never had a month during this (or any other) period worse than +3.5%, backtest and real-money, and has not shown any gaps in trading during his real-money activity.
Obviously his backtest avoids any volatility threshold he defines in hindsight and therefore involves large gaps where his system was inactive. Anyone can look at the chart and avoid a period in question and simply adjust the backtest parameters to to avoid such known "high volatility" outcomes.
This makes Howard a fraud with respect to this BS backtest.
It is DEFINITELY the gap in VOL that makes it impossible to sometimes get out safely and intact of a dotm and while u may have a "rule" that says I'll close when loss is 20%...you can wake up one morning with the VOL gapped up 300 basis pts and the loss you had last nite of %10 is now 80%...sure the other side of the IC will have a (small) gain but the vol changes that as well. Getting out of these when shit hits the fan is the problem....what if your on vacation or taking the day off or in a place when you can't easily trade (as I was in the last big drop)?
Basically you have to have a ton of money and willingness to lose a ton to trade these and they are NOT the best option to trade by most definitions. Granted it is HOW the trade is managed and the "luck" of the person managing the trade. Managing a trade in my very humble opinion is just not teachable and to think you can "lecture" or teach someone else (and charge money to do so)..you are deluding yourself and everyone else.
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