My goal is to make at least 30% per month

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marsman said:
Did all these catastrophes happen in the same week? Nope.
Can you calculate the probability of such an event happening to your weekly holdings?...
(hint: there are about 500 weeklys, 4000 monthlys, 50 biz-weeks in year, using about 5 underlyings per week, expiration 1 to 2 weeks, ...)

...I'm not afraid of any ghost :)
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No, but if you sell a series of strangles in the same underlying you only need one of those to happen... as I said, your program looks at high vol stocks which are prone to big moves (hence high IV, duh).
So you can go okay for a while untill you hit the wrong one... Murphy's Law...

What's your risk exposure... 30% and 50%? What's your drawdown? I'm just trying to help you see the risk.... have a look in Risk Navigator.
 
JackRab said:
No, but if you sell a series of strangles in the same underlying you only need one of those to happen... as I said, your program looks at high vol stocks which are prone to big moves (hence high IV, duh).
So you can go okay for a while untill you hit the wrong one... Murphy's Law...

What's your risk exposure... 30% and 50%? What's your drawdown? I'm just trying to help you see the risk.... have a look in Risk Navigator.
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I'm using my own risk metrics. And there everything is in the greens :)
DD of some single positions was about 10%. That's ok for my taste. And it's easy to fix: just increase the pos, ie. averaging... :)

Here's the latest account summary:
cur_hold.png
 
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marsman said:
I'm using my own risk metrics. And there everything is in the greens :)
DD of some single positions was about 10%. That's ok for my taste. And it's easy to fix: just increase the pos, ie. averaging... :)
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So when you do a simulation of 50% up or down you have no drawdown, or nothing to upsetting? How much is it in dollar terms?
 
JackRab said:
So when you do a simulation of 50% up or down you have no drawdown, or nothing to upsetting? How much is it in dollar terms?
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Sure then of course some losses are unavoidable. But the probability for such a black swan is minuscule.
I'm simulating trading play money that one can afford, not trading life-savings. Ie. I'm a risk taker.
 
Sounds good then. My only recommendation would be to stress test the system and try to break it. Throw a few black swans into the equation and see if the risk/drawdown is within your expectations.

Know your forward testing right now and I know that historical option data is not easy to come by as I've seen lots of threads on the topic and doesn't appear like theirs anything close to affordable for retail. Since the system seems to me like you have it all rule based, perhaps something like ToS thinkback would allow this.

Take something like Aug 24th and see what the effects are and know if/when IB might margin call or perhaps just start liquidating. Brexit would be another one although one could argue that it was a well known event and everyone knew when to expect the volatility to pick up.

Perhaps someone could throw out some more one off market events that could stress test. Perhaps the flash crash of 2010. Try a few suprise gaps against your positions to make sure your okay with the possible risks. Reducing leverage/hedging to reduce drawdown size at the cost of returns to myself is a legitimate reason to do so.

Here's a good documentary I watched on the Black Scholes model and from what I remember, was a good reminder of the dangers of building models on perfect times without expectation of "black swans".

Thats how I try to build confidence on a model or system I'm working on, " How far can I push/stress this system before it no longer becomes viable".
 
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Metamega said:
Sounds good then. My only recommendation would be to stress test the system and try to break it.
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It is not a fully mechanical system yet. I'm applying it mostly manually. But I'm working on the automation of it using the IB API.
 
marsman said:
Sure then of course some losses are unavoidable. But the probability for such a black swan is minuscule.
I'm simulating trading play money that one can afford, not trading life-savings. Ie. I'm a risk taker.
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It's fine to be a risk taker... no-one makes good money by not taking risks. But I can guarantee you, your backer..., or if you would be a MM your clearing firm, would look at those numbers and they will be on the phone the day you make those trades to close the positions. That's a real life trading fact. And I dare to say even IB will have a look at those positions and will have issues with the risk involved...

But as I said, I think you can make your claimed gains, but I doubt your backers will be happy with the risk involved... especially if they know what they are talking about. Hope you'll do well when you start the active account. Keep me updated.
 
marsman said:
As you might know, one deposits a margin as security... So far everything is in the green zone.
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The fact you can post margin doesn't matter if the overall risk means your clearing firm/broker/backer can lose multiple your account size. And they will make you close your positions because they don't want that.... but you won't run into that issue in a paper trading situation.

[edit] especially in illiquid options on illiquid underlyings
 
Pekelo said:
I kind of like to understand people or anything in general. Since your journal didn't make sense (why you are doing it) I suspected that you want capital/backing, thus I wanted to post a prediction, that a sales pitch was coming. Then I went to read some of your posts and I found this gem from June 21st:



So THAT is the real reason for this journal. You sim trade it for 2 months, then generously offer it for sale or ask for backing. That is why you are so jumpy when people tell you that your little sim strategy doesn't work in real life.

As other posts of yours show, you are quite newbie in option land (nothing wrong with that) but trying to sell a 20-30% monthly profit system/program with no real trades to back it up takes some nerve , man!

But I congratulate you for updating your expected returns from 20% to 30% in just a month! :)

OK, people, nothing else to see here, just a non-paying vendor trying to sell his dream system what this journal is all about...
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The reason for this was already given in this posting here:
https://www.elitetrader.com/et/thre...least-30-per-month.301450/page-3#post-4308383

Yes, I looked for funding. But that is over. I already have a partner and we will shortly go live. He is transferring his funds from TD Ameritrade to IB, ie. we are opening a new account at IB as a joint account. We are still in the paperworks.

I don't need to sell anything, I just looked for a possible partnership, but nobody was interessted. So be it. Forget such losers...

I just wonder who would sell a system that makes 20 to 30% per month... Illogical your unsubstantiated accusation.
 
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