It's like when you are dominating in a video game and get accused of cheating because they can't believe someone could ever be that good. It's the highest form of compliment
What to do with a profitable strategy?
- Thread starter quantprof
- Start date
how so, do you have a specific reason to disbelieve, if so, please start the obvious?
in the following, I have no idea if this would work, it was a quick thought to respond to your post as well as the theme of the thread.
let me try this to see if it's possible with a small paper probability trade on TQQQ, just 100 shares to see if it's possible on just one trade to get close to 10% by end of 2020, no idea where it will be end of year.
no margin, straight out of the pocket investment, HODL, blow it & not be concerned.
stock EOD Friday last at $65.10, low of the year (corona virus drop) $32.27, high of the year $118.
past 10 year performance https://www.splithistory.com/tqqq/
options expiring December 2020
https://finance.yahoo.com/quote/TQQQ/options?p=TQQQ&date=1608249600
https://www.barchart.com/etfs-funds/quotes/TQQQ/options?expiration=2020-12-18&moneyness=allRows
excluding commissions, buy 100 shares at $65.10, total cost $6510, sell DITM covered call at strike price $40 (one contract), receive $31.36/share (last trade Friday) thats $3136 straight to the trade account.
$65.10 - $31.36 = $33.74 downside to breakeven.
rounding, the potential profit on expiry above the $40 strike price is $71 ($40 + $31) minus $65 cost = $6/$65 = 9.23% for 8 mths or 13.84% annualized.
now adding a deep out of the money naked put December expiry,
sell to open $40 put, get $7.47 option money, downside ($40-$7.47) $32.53
if I add up the two trades $6 on the call + $7 on the put that's $13/$65 or 20% for 8 mths or 30%/yr on the investment.
I figure this is a low risk trade
on the put, its possible with time decay to close the option early, rinse & repeat, increase the return rate.
with 50% margin on this type of trade I'd likely sell deeper in the money covered call & deeper OTM naked put to net the same returns
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Not lying and not laughing. I wish I could be more convincing, but at least it's good to know that the performance is considered to be good.
Thank you for the link.
Thorp is one of my all time favorite. I don't understand his math but appreciate his concepts.
I read all 6 pdf files Thorp wrote. Very interesting and lots of food for thought. I also went back and reread what Jack Schwager wrote. He is a genius.
You obviously are very capable, talented and technically competent to be able to do whaat you did. Amateur retails like me without the coding skills or math skills are stumped.
Thorp does give me something to chew on and ideas on how to implement market neutral strategy that does not require fancy math and statistics.
Thank you again.
Or accused Jeopardy champ James Holzhauer of cheating.It's like when you are dominating in a video game and get accused of cheating because they can't believe someone could ever be that good. It's the highest form of compliment
You don't. There is no one out there you can partner wish and don't expect they will try to steal your strategy. The moment you enter a business partner ship you will also have to worry that the business partner may try to screw you over in the future.
If your system is that good. Your choices are you quit and you do it full time. Or you keep your job. It's a matter of how good you think you are. Good Luck.
Nobody cares because if you're that good then you should be the one who give advice on ET not the other way around. Like I said either your system is that good or it isn't. But the fact that you have doubt about suggest it's not.
But that was with portfolio margin, right? What is the unleveraged return?
As for an answer:
1. Can't you use the strategy with leveraged instruments, like futures and options? (as opposed to stocks)
2. Banks are literally giving money away in some countries, you might be able to convince them for a personal loan with very low interest rates.