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Just to clarify, this PUT you're buying is out of the money?

The difference between Recession and Depression is the extent of the job losses.  The flippant answer is "when your neighbour loses their job, it's a recession; when *you* lose your job, it's a depression".

Canadian BackTesting Platforms? What are those

Posted by rojoch on 9th of Feb 2020 at 04:02 pm

Canadian BackTesting Platforms?

What are those of you in Canada using as your trading platform?  Are you using a separate charting platform?  Is there anything equivalent to TradeStation (for backtesting algorithms)?

Currently I'm using TC2000 to chart and generate some custom trade signals, and Scotia iTrade to manually enter those trades.  No quantitative backtesting available with this setup though.

Anyone?  Thanks!

.../john

Who here is Canadian? I'm in

Posted by rojoch on 6th of Feb 2020 at 01:52 pm

Who here is Canadian?

I'm in Canada with registered accounts (RRSP, RESP, TFSA) and really want to use something like TradeStation, but they only offer it outside the US as a $250/month charting-only package (i.e. can't execute trades).

I want to be able to:

  1. backtest algorithms against multi-year data
  2. (some day) semi-automate the trades (rather than manually copying info from one screen to the other)
  3. automatically log my buys, sells in one place so I can track Profit Factor, win percentage, etc

My registered accounts (RRSP, RESP, TFSA) are currently at Scotia iTrade but I'm finding their interface clunky and they don't appear to have an API that would allow me to use a different front-end to execute trades.  As a compromise, I'm using TC2000 for its charting and then manually entering trades when my algorithms trigger.

I'd really prefer a better platform though....

Anybody here have a good setup for trading within Canadian accounts??

Thanks!

Do you have a stats/performance chart for that sub system you can post?  It would really help with trade-sizing.

Thanks!

.../john

Got out of SPY PUTs

SPY system exhaustion Trade exit

Posted by rojoch on 24th of Jan 2020 at 03:03 pm

Got out of SPY PUTs about 1/2 hour ago for a +23% gain.  Admittedly I had been getting nervous as the SPY continued to chug higher this week... as I had a 5% position...(!).

Thanks for the great systems Matt!

.../john

Any pointers for getting better

Posted by rojoch on 7th of Jan 2020 at 11:13 am

Any pointers for getting better fills when buying/selling Options?  Predominately using them on ETFs (GLD, TLT, XLE, etc but sometimes on Stocks/ETFs that are 1M+ shares per day).

I'm finding that the spreads can be huge (over 10%, sometimes over 50% !) and, even if I place a Limit Order at the mid-point price, often the Bid will snap up to my price and the Ask will snap even higher...

It's as if the Market Maker algo is trying to lure me in to chasing a higher and higher Ask...

Any tips?

Thanks,

.../john

Interesting.  Unfortunately, this is all within Registered accounts, so I'm not allowed to sell-to-open any options except Covered Calls.  I can only buy Calls, buy Puts, and sell Covered Calls.

It seems like the bid/ask spread widens when I place an order, hoping to draw me into chasing it.  If I adjust my bid price within a minute or so, the ask will continue to move up, even if the underlying isn't moving.  However, if I do nothing, the underlying will eventually start moving the bid and ask prices in tandem with it and if I get lucky, it will move through my bid price and fill.

This happened to me with VNQ--an ETF that trades almost 6M shares per day.  The option bid/ask spread is currently almost 8% (1.90 - 2.05).

Even on SPY options, I regularly see a bid/ask spread of 2% +

Is it because there typically is such a big potential percentage profit to be made that the market makers know you'll tolerate more slippage on entry/exit?

How do you folks deal

Posted by rojoch on 24th of Dec 2019 at 01:05 pm

How do you folks deal with the (often huge) bid/ask spread on Options?  Sometimes the spread is as big as 40% (!), or 10% on Options that are getting some regular volume.

Seems like they're run by an automated process that reacts to the orders you place. 

I remember Matt saying that he tries to go one tick past the mid-range (above when buying, below when selling) but quite often I've found that just bumps the bid (or ask) to my price and sometimes even bumps the other end of the range away from me.

After 10-15 minutes, the range often tightens up (and may in fact fill), but this huge uncertainty in what price I can get a fill at really makes it tough.

Any advice?

Thx!

.../john

Looking at the option trade

SPY System Trade List

Posted by rojoch on 29th of Nov 2019 at 01:11 pm

Looking at the option trade list, there are two "2nd entry Pullbacks" on 8/5/2019 but with different exit dates.

What happened there?

Hey Matt, how did you

SPY system trade

Posted by rojoch on 12th of Sep 2019 at 04:44 pm

Hey Matt, how did you choose that particular strike price?  Looking at the 286's, the Delta is 0.82 but with only a volume of 58 contracts today.  The 287 strike has a Delta of 0.81 and a volume of 5.1k (increased liquidity?).

Thx!

.../john

I hope everyone is enjoying

Posted by rojoch on 22nd of Nov 2018 at 02:48 pm

I hope everyone is enjoying the day off with family, friends, and time to reflect.

I'm interested in hearing how others here balance their max number of active positions with trade sizing/risk management. 

Myself, I can only track 3-4 active positions on an intraday basis, but that means either sitting mostly (80%) in cash (to keep each position's risk contained), adding more positions (and losing track of their sudden movements), or sizing each position large (up to 25-35% of account in each). 

How do others here balance this??

That would be super-useful to have all in one place.

Have fun--you're going to love

TSLA

Posted by rojoch on 23rd of Oct 2018 at 02:12 pm

Have fun--you're going to love it.

Matt: Thank you for the

Posted by rojoch on 1st of Jun 2018 at 03:33 pm

Matt: Thank you for the stop-management thoughts last week.

Got in to SE (Sea Limited) on May 16th and stopped out (right at the LOD!) on my own $ trailing stop 3 days later.  

Jumped back in that same day, and last week switched to a stop-ratcheting approach loosely based on what you were describing, and it has kept me in it during its recent run, despite the pullbacks.

Now up 20% from where I re-entered, and have an objective way to trail up the stops so that I don't end up doing a round-trip (currently "guaranteed" a gain of >13% ).

Thanks again for sharing your thoughts Matt!  It's a big help for us who have been finding countless ways to lose money (or give it all back) on our own.

I agree, but it helps

NKE stop progression

Posted by rojoch on 24th of May 2018 at 02:08 pm

I agree, but it helps to see what has been working for others as you develop your own trading plan.

Since we were already on the topic of Matt's own trading style, I figured this was a reasonable scenario to ask him how he handles it himself.

.../john in Victoria, BC

Now that summer is upon

NKE stop progression

Posted by rojoch on 24th of May 2018 at 01:37 pm

Now that summer is upon us, for someone (like yourself) who is going on holiday, do you:

- exit all your positions before you go so you won't get blindsided?

- set a trailing $stop on all your positions and let them run?  If so, how would you come up with a $trailing amount?  Some multiple of ATR?

- switch to a weekly timeframe, using 9-week EMA and weekly candles (and update your stops only once/week on the weekends)?

- something else?

Thanks!

.../john in Victoria, BC

Yes, this is a huge

NKE stop progression

Posted by rojoch on 24th of May 2018 at 01:18 pm

Yes, this is a huge help.

In the newsletters, when you guys would say "trim and trail" or "trail up your stops in accordance with your trade objectives" I knew (in theory) what you meant, but didn't have a repeatable concrete process for how to do it consistently.

I've needlessly given up a *lot* of gains via round-trips over the years.  This should really help.

p.s. Enjoy Disney!

.../john in Victoria, BC

Matt, I really appreciate your

NKE stop progression

Posted by rojoch on 24th of May 2018 at 12:51 pm

Matt, I really appreciate your step-by-step examples of stop management.

Is the following an accurate summary of this approach?  Just trying to get it straight in my head how this works for us who work another day job and can't be hovering around the screen:

- In the evening, set GTC Buy Stop Limit order just above the breakout level with a Limit just above it (so it doesn't fill if there's a gap).  Use current day's 9 EMA as a potential exit stop when you're calculating your trade size ( # Shares = Max $ risk / (entry price - first exit price) )

- If it doesn't trigger and fill the next day, do nothing

- If it does fill the next day, take a look mid-day(?)to see how it's doing:

a) If it's a solid up-candle (with small wicks), then sell 1/2 of position and move exit stop on remaining half up to somewhere below the midpoint of the up-candle.

b) Otherwise, just leave it for now.

- Each evening, consider moving up your exit stop to whichever of the following is the highest:

a) Today's 9 EMA

b) If today's low is lower than yesterday's low, then move exit stop up to today's low

c) If today had a solid up-candle, then put in  an order to sell half (if you haven't already) and move exit stop on remaining half up to somewhere below the midpoint of today's up-candle.

Lather-Rinse-Repeat each day.

Does this sound like an accurate description of your approach?

Appreciate your patience.

.../john in Victoria, BC

My question had more to

Trade Ideas comments

Posted by rojoch on 22nd of May 2018 at 11:27 am

My question had more to do with determining position sizing , given that the value of the 9 EMA, LOD, or trend line (for whichever day the order eventually fills on) won't be known when you place your initial Buy Stop Limit order.

Previously you've talked about taking your maximum risk $$, and dividing by the spread between your entry price and stop price, to determine the number of shares to buy.

If you don't know which day the order will fill on (because it's GTC) and your stop is, say, a descending trend line (meaning your eventual stop will get lower the more days that elapse before your trade fills) or the LOD for the day it eventually fills, then how do you know what your $risk/share will be?

That's why I was asking if you use a constant $order size, or constant #shares, or something else when determining the order size for your Buy Stop Limit order.

Make sense?

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