Strategy on RUT. Search for the best system.

Transactions

7) IWM JUL07 88 C 2 0.1000 -20.00 -1.50
8) IWM JUL07 83 C -1 1.2400 124.00 -1.00
9) IWM JUL07 81 C 2 2.3500 -470.00 -1.50
10) IWM JUL07 81 C -2 2.4000 480.00 -1.50

11) IWM JUL07 82 C 2 1.7000 -340.00 -1.50
12) IWM JUL07 82 C -2 1.7500 350.00 -1.50

Total 124.00 -8.50
7 - 10) Total 115.5 (incl. commission)

Test Trade IWM

13) IWM 30 82.5400 -2,476.20 -1.00
14) IWM -30 82.5800 2,477.40 -1.00

Total 1.20 -2.00
13 - 14) Total -0.80 (incl. commission)

1 - 6) Total 228.00 (incl. commission)

1 - 14) Total 342.70 (incl. commission)

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

Positions

IOWGE 2007-07-21 IWM JUL07 83 C -2 1.761879 100 -352.38
IOWGJ 2007-07-21 IWM JUL07 88 C 7 0.167906 100 117.53
IOWSE 2007-07-21 IWM JUL07 83 P -1 1.52888 100 -152.89
IOWSY 2007-07-21 IWM JUL07 77 P 1 0.319742 100 31.97

Total -355.77

Profit -13.07
 
Transactions

1 - 14) Total 342.70 (incl. commission)


Positions

IOWGE 2007-07-21 IWM JUL07 83 C -2 1.669251 100 -333.85
IOWGJ 2007-07-21 IWM JUL07 88 C 7 0.127752 100 89.43
IOWSE 2007-07-21 IWM JUL07 83 P -1 1.557444 100 -155.74
IOWSY 2007-07-21 IWM JUL07 77 P 1 0.335604 100 33.56


Total -366.60



Profit -23.90
 
Transactions

1 - 14) Total 342.70 (incl. commission)


Positions

IOWGE 2007-07-21 IWM JUL07 83 C -2 1.669251 100 -333.85
IOWGJ 2007-07-21 IWM JUL07 88 C 7 0.127752 100 89.43
IOWSE 2007-07-21 IWM JUL07 83 P -1 1.557444 100 -155.74
IOWSY 2007-07-21 IWM JUL07 77 P 1 0.335604 100 33.56


Total -366.60



Profit -23.90
 
IWM

Two systems on the .5 point grid (10 days)

Up 231

Short up move at 1 (2*.5) points, sl 1.5 (3*.5)points, pt .5 (1*.5)points

Dn S121; 231

Go with down move with stop order at .5 points, profit target at 1 point (+0.5 points) and stop loss at .5 points.
After that use the same system as described above for the the Up moves.


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

Current signal (system Dn 231) is up with limit 83 SL 82.5 and PT 83.5.
 

Attachments

For the 12 month 2 point scenario there are two systems

Up S2x1 3/3 - buy breakouts
Dn 121 6/8 - buy dips

That's very interesting, because it confirms the old rule for uptrends. BUY BREAKOUT TO THE TOP AND BUY DIPS.

That strategy made 9*2 points vs. BUY AND HOLD with 7*2 points.
 

Attachments

Attached a 'static' capital intense approach.

Buying mulitple 'lots' at fixed levels

a) Dn 12x
b) Dn 13x

gains each 10*2 points. But there is much capital needed. In addition it's harder to make money management. Losses will increase non-linear on that approach.

1
2 + 1 = 3
3 + 3 = 6
4 + 6 = 10
5 +10 = 15
 

Attachments

Attached a 'static' capital intense approach.

Buying mulitple 'lots' at fixed levels

a) Dn 12x
b) Dn 13x

gains each 10*2 points. But there is much capital needed. In addition it's harder to make money management. Losses will increase non-linear on that approach.

1
2 + 1 = 3
3 + 3 = 6
4 + 6 = 10
5 +10 = 15
 

Attachments

Two systems 5 point grid 4 years

Up S121
Dn 1x1 (with x set to 2)

System is expecting a sideway movement and will enter at 80 (limit) with a stop of 75 and a PT of 90.
 

Attachments

To summarize

Long term trend (4y) is up, but no position is on (waiting for a dip to 80).

Mid term trend (1y) is up, but no position is on (waiting for a dip to 82).

Short term trend (2M) is sideways with a short signal on (PT 82).

Day trend (10D) is sideways with a long signal on (PT 83.5).


Systems beat buy and hold.
Systems beat multi lots play.


For my tactics that means

- minimal long put protection
- no excess call (only for protection)

=> I have too many long calls
 

Attachments

You must log in or register to reply here.
Back
Top