Purely Mechanical Option Trading Part 2

Without too much detail, can you describe the method you use and the time frame of the trades please?

I wasn't a member of the glorious ET site for your first thread.
 
Quote from cdcaveman:

anytime i've bought outright premium.. i've thought as the entire premium as my stop... using a stop i imagine would get you picked off real quick no?
More...

My stops vary from -22% to -40% depending on:
1: Signal type (Strong, Neutral, or Weak).
2: Trend (is the trade with the "Mathematical Trend" or "Contra"
to the Trend).
3: Trend age (when a signal is trading with the Mathematical Trend is the
trend New, Old, or somewhere in the Middle).
I have to know how much option price drawdown can occur within the SPY etf when 1, 2, & 3 above are plugged into the equation.
These drawdown figure can only be accurately arrived at based on several hundred trades over several years of back-testing and forward testing with real cash.


Jeff
 
Quote from StarDust9182:

Without too much detail, can you describe the method you use and the time frame of the trades please?

I wasn't a member of the glorious ET site for your first thread.
More...


Lets take a real example of the data and program outs that resulted
in the 10/3/2012 winning call trade:
(this data is from the evening of 10/2/2012 to determine a trade
for 10/3/2012)
SIG
DATE..OPTION.....PREV...OPEN..HIGH..LOW...CLOSE
10-02 OCT143C..2.58...2.89...3.00...2.24....2.59
2012..OCT146P...2.57...2.20...2.85...2.05....2.22
..........OCT144C..1.94...2.27...2.36...1.62....2.02
..........OCT145P...2.02...1.70...2.26...1.57...1.73
TREND COUNTER: CALL SEQ 2
3 DAY TREND..CALL=13-26-4=L2......PUT=19-12-30=L4
3 DAY DECISION OCT144 CALL:
BUY LIMIT=1.74..SELL LIMIT=2.24..STOP=1.21
-------------------------------------------------------------
9 DAY TREND: CALL=34-59-43=L3....PUT=58-43-61=L4
9 DAY DECISION: OCT146 PUT:
BUY LIMIT=1.65..SELL LIMIT=2.15..STOP=1.05

There is 3 mathematical formula's integrated into a
computer program:
The formula's are looking at each option's previous close, open,
high, low and today's close.
1: One formula derives an overall Math Trend from that data and is basically a trend counter...example, Call Sequence: 1..2...3...etc.. or
Put Sequence: 1...2...3...etc.
2: Another formula is looking at the 3 day math trend (over the last 3 days) in a different way with the possibility of trading with the trend, or contra (opposite) to that that trend, or none.
3: And still another formula is looking at the 9 day math trend and
looks for the age of the trend, strength or weakness of trend, and ultimately decides to trade with the math trend, or contra, or none.

Jeff
 
I placed the following trade today with automated IB bracket order
(Buy Limit / Sell Limit / Stop):


SPY OCT 148 Put
Buy Limit = 1.80
Sell Limit = 2.25
Stop = 1.08


(Note: this trade could end up with a Buy No. 2)


Jeff
 
The program listed 2 buys for today's put trade which indicates I am buying into to weakness (contra). Here is the other buy (Buy No. 2):
SPY OCT 148 Put
Buy 2: 1.36
Sell Limit: 1.90
Stop: 1.08


Jeff
 
Just learned I have a family emergency and have to drive to Spokane
Washington (from Missoula Montana) right now. I won't be able to manage this trade for Buy No. 2, so I just closed the trade at breakeven.
I am taking off for Spokane.

Have a good weekend,
Jeff
 
I placed the following automated brackets orders:

[Trade 1 ]

SPY NOV 146 CALL
BUY LIMIT: 2.05
SELL LIMIT: 2.70
STOP: 1.41

-----------------------------------------------------------------

[Trade 2 ]

SPY NOV 146 PUT
BUY LIMIT: 1.65
SELL LIMIT: 2.15
STOP: 1.15



Jeff
 
10-11-12
Placed a Bracket order:
SPY NOV 144 CALL
BUY LIMIT: 1.98
SELL LIMIT: 3.96
STOP: 1.35

___________________________________________________


Update of "filled" Bracket orders (Buy Limit / Sell Limit / Stop / in an automated order):

10-02-12 08:26 AM
SPY OCT 146 Puts
Buy Limit = 2.05
Sell Limit = 2.56 (+25%)
Stop = 1.41
The put trade filled and won on the first day (10/2/2012).
--------------------------------------------------------------------------------
10-03-12 07:30 AM
[Trade No. 1]
SPY OCT 144 Call
Buy Limit = 1.74
Sell Limit = 2.24 (+28%)
Stop = 1.21
The call trade filled and won on the first day (10/3/2012).
----------------------------------------------------------------------------------
10-05-12 06:46 AM
SPY OCT 148 Put
Buy Limit = 1.80
Sell Limit = 1.80 (0%)
Stop = 1.08
Important Note:
I had to leave the the state immediately with an emergency, so I closed the trade at break-even.
----------------------------------------------------------------------------------
10/9/2012:
SPY NOV 146 CALL
BUY LIMIT = 2.05
SELL LIMIT = 2.70
STOP = 1.40 (-32%)

The call trade filled on Day 1 and Stopped on Day 2 (10/10/2012).
---------------------------------------------------------------------------------
10-10-12
SPY NOV 145 CALL
BUY LIMIT: 1.78
SELL LIMIT: 3.56
STOP: 1.07
"OPEN POSITION"





Jeff
 
Closed a few trades today on time limit, so here's an October update on filled and closed bracket orders:

10-02-12 08:26 AM
SPY OCT 146 Puts
Buy Limit = 2.05
Sell Limit = 2.56 (+25%)
Stop = 1.41
Closed trade on 10/2/2012: +25%
--------------------------------------------------------------------------------
10-03-12 07:30 AM
[Trade No. 1]
SPY OCT 144 Call
Buy Limit = 1.74
Sell Limit = 2.24 (+28%)
Stop = 1.21
Closed Trade on 10/3/2012: +28%
----------------------------------------------------------------------------------
10-05-12 06:46 AM
SPY OCT 148 Put
Buy Limit = 1.80
Sell Limit = 1.80 (0%)
Stop = 1.08
Closed trade on 10/5/2012: 0%
----------------------------------------------------------------------------------
10/9/2012:
SPY NOV 146 CALL
BUY LIMIT = 2.05
SELL LIMIT = 2.70
STOP = 1.40 (-32%)
Closed trade on 10/10/2012: -32%
---------------------------------------------------------------------------------
10-10-12
SPY NOV 145 CALL
BUY LIMIT: 1.78
SELL LIMIT: 2.90 (+62%)
STOP: 1.07
Closed trade on 10/17/2012: +62%
----------------------------------------------------------------------------------
10-11-12
Placed a Bracket order:
SPY NOV 144 CALL
BUY LIMIT: 1.98
SELL LIMIT: 3.60 (+81%)
STOP: 1.35
Closed trade on 10/17/2012: +81%


Jeff
 
Bracket Orders placed today (Trade No. 1 just filled):

[ Trade No. 1 ]
SPY NOV146P
Buy Limit: 2.06
Sell Limit: 2.68
Stop: 1.24

[ Trade No. 2 ]
SPY NOV147P
Buy Limit: 1.70
Sell Limit: 2.40
Stop: 1.41

Note: If Trade No. 2 fills and hits the sell limit, Trade No. 1 must
be sold when Trade No. 2 hits that sell limit.


Jeff
 
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