Purely Mechanical Option Trading Part 2

Here's the stats since beginning this thread.
October 2012 Completed:
6 wins at +246% option gains
2 losers at -64% option losses
1 breakeven 0%
+182% option gains
net account gain: +17.7% (10% invested per trade)
(best month on record)
Win/Loss: 75%
-----------------------------------------------------------------------------
November 2012 Completed:
3 wins at +121% option gains
2 losers at -37% option losses
2 breakeven 0%
+84% option gains
net account gain: +5.8% (6% to 10% invested per trade)
(within .67 of one percentage point of the worst month ever.)
W/L: 60%
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All trades (since starting this thread):
Oct/Nov 2012
9 wins at +367%
4 losers at -101%
3 breakevens 0%
+266% option gains
net account gain: +23.5%
W/L: 69%

December will be interesting.
Because I will be out more than at home in December,
All trades will be "single buy only" semi-automated trades.


Jeff
 
Jeff, out of curiosity - on average, how much lower then the closing price of the option are your limit buys?
 
Quote from sle:

Jeff, out of curiosity - on average, how much lower then the closing price of the option are your limit buys?
More...

Each evening the trading program can output one or two of
several different signal types.
Each signal type has its own trend or reversal characteristics.
Here is some examples of signal types and entry discounts:
[Trending Signals]:
1: New Trend: Pay up to previous closing price.
2: Medium Trend: -17% to -20% of closing price.
3: Old Trend: -25% of closing price.
4: Overbought Trend: -28% off closing price.
5: Extremely Overbought Trend: -43% off closing price.
Reversal Signals:
1: Standard Reversal: -21% to -25% off closing price.
2: High Probability Reversal: Pay up to the closing price.
3: Extremely High Probability Reversal: Pay up to the closing price.

So you can see entry discounts with respect to the closing price, can vary from paying up to the closing price (or the next open, whichever is the lower of the two), to as big a discount as
-43% off the closing price.
It depends how the program views the condition of the current uptrend or downtrend.
The discount are simply based on looking at the exact same trend characteristics of each output code over a period of time greater than a decade,
and finding an appropriate average discount for each code (factoring in volatility as well).
The VIX input is the most random factor and to this day I still really don't think that I have that part of the equation totally correct.


Jeff
 
I have been off this month with Xmas stuff and the family, however I do get a day or two to myself now and then.

An ET member recently PM'd me and asked if I thought these math based formula's and programs work with the QQQ options.
My immediate response was, "probably but the trade parameters would just have to be tweaked a little."
(but I couldn't be even semi-sure until some back-tests were run.)

So meanwhile I ran multiple back-tests with hourly option charting data on QQQ calls and puts, testing it against my six trading program outputs.
The results seemed both impossible and inconceivable to me:
Where as the the SPY etf options will reliably generate 70-75%
winners over a several year period of time, the QQQ could not generate more than W/L 50% on any one of 6 different program outputs! That's Net Zero! (or less).
What in the H....E....Double-L is so different about the QQQ compared to the SPY????
I see on the charts they the two often don't do the same thing on the same days or even market events.
I realize that the COMP and QQQ's have more volatility.

But the six trade signal outputs coming out of my program are so very different from one to the other, that I thought at least one of them should have at least semi-captured the personality
of the QQQ? Whoa....amazing, I just don't get it.


Baffled & Bewildered,

Jeff
 
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