Karen the Supertrader - TastyTrade Hybrid Experiment

[NPTrader]

I am super happy with my returns. First I do not mind draw downs of any size because my horizon is infinite combined with a 100 percent confidence that my adjustments dig me out of any hole after 3-5 months.

Right now after all of my averaging out I am showing a compounded average rate of return of 24 percent. And I expect with the mods to the strategy that I now employ it should be closer to 26-30 going forward.

I track sharpe ratios of my strategy on a weekly basis compared to sp 500 total return and right now it says that my strategy is about 25 percent better than just buy and hold sp total return and the long term results should be twice the return.

After ten years of awful returns by investing with a financial advisor these results are stunning for me and I have confidence I will do it for the rest of my life.

 

[Sweet Bobby]

I'm still enjoying my family vacation. I had four of my GTC orders to close 4 positions at 50% profit.

I keep chipping away to get my Greeks somewhat back in line.

I placed one opening trade today. I sold the ES AUG 16 (WK3) 2180C(1).

Theta is 104, delta is -73, vega is -499, and gamma is -16.

I would like to see the market go up a little more tomorrow so that I can add some negative delta to the experiment.

The net liq is now up a total of about $3,300 since I started on April 5. Interestingly, the closed, realized positions show a profit of about $3,400 as well.

Happy trading!

Bobby

 

[Niten Doraku]

I understand now, Sweet Bobby. You're not trading volatility, you're trying to stay on the right side of theta decay.

Sincerely good luck with that. The market is too efficient for that theta to be any kind of "edge."

You're accepting a risk you're not fully appreciating. A risk even I don't fully appreciate and I am further along than you in traversing the markets.

Good luck, my friend. All the best.

 

[F_488]

Bobby say for example in the future France was going to have a vote about exiting the European Union what would you do differently next time?

 

[LoneHand]

Bobby:

So what I do now:
...
5. By Wed or Friday, some positions are ITM - it always happens. That is when things are bad, so they are always bad. I then have adjustment activities. Essentially I roll the ITM side to the next expiration. I then open up the OTM side full allotment at the right location. This will generate anywhere from 1-2.5% in cash. If my target is .4% (more like .6% in a single week these days), I can use the extra cash generated to move ITM calls / puts to be in their ATM posture, ultimately increasing their theta...

NPTrader,

Great post and thanks for sharing! I have a question regarding this "
I then open up the OTM side full allotment at the right location.",

what you mean by 'right location'? lets say, your put is at 2100 from last week, ITM (say SPX is at 2070) and you roll out your put to next week, where do you open your OTM side (in this case, your call side) for next week? above 2100? or above 2070 or anywhere else?

TIA

 

[NPTrader]

My calls will be opened either right ATM or slightly OTM. They will be opened in a way and in a design to get maximum anticipated theta. If the market has been very stable with little price action, I may go OTM anticipating the market to be more volatile. If the market has been violently trending, then I tend to go right ATM to counteract the trend.

 

[LoneHand]

My calls will be opened either right ATM or slightly OTM. They will be opened in a way and in a design to get maximum anticipated theta. If the market has been very stable with little price action, I may go OTM anticipating the market to be more volatile. If the market has been violently trending, then I tend to go right ATM to counteract the trend.

Thanks for the quick reply! so sometimes your call/put will be 'crossed' like call spread below put spread and you wait till the mkt stopped in the middle between call and put at expiry to close both or you prefer mkt outside either one so you collect the other side(OTM) premium and roll the ITM again?

I read your original post while ago and I am a fan

 

[NPTrader]

I never really close positions, whether they are winning or losing. I don't believe in any of the thinking that says you should close your winners and losers quickly. I do not believe that I can anticipate market reversals - so I will lose money if I remove any position. I just let things go ITM and then adjust out of it, by making a lot of money on stuff that is ATM and then using extra cash to move deep ITM stuff to be ATM for more theta.

 

[LoneHand]

I never really close positions, whether they are winning or losing. I don't believe in any of the thinking that says you should close your winners and losers quickly. I do not believe that I can anticipate market reversals - so I will lose money if I remove any position. I just let things go ITM and then adjust out of it, by making a lot of money on stuff that is ATM and then using extra cash to move deep ITM stuff to be ATM for more theta.

Got it, thanks a lot!

 

[Sweet Bobby]

Bobby say for example in the future France was going to have a vote about exiting the European Union what would you do differently next time?

I really don't believe that I would do anything differently. For my parameters, I was perfectly situated going into the event. My account experienced some stress, but everything was well within my tolerance levels.

Perhaps I would have rolled some of my calls downward to adjust my delta, but since I am on vacation I didn't really have the time available to devote to that. I'm not a big fan of rolling positions anyway.

All in all, I have determined that my strategy was successful during the Brexit event. As I say this, I fully expect the "what if's" to pop up and try to break me down. That's okay, I'm a big boy.

Bobby