If you have the time, could you compare the single entry and the
multiple entry strategies using options, say over the period that
you've tested.
Also, Tom and I were talking about the folloiwng strategy using
the multiple entry system: Signal 1: Buy SPY; Signal 2:
Buy SSO; Signal 3: Buy SPY options; Signal 4: Buy
more SPY options or futures. If it's not asking too much
(which it almost always is), could you plug these values into your
spreadsheet to see how they compare to the single entry options and
multiple entry options strategies?
Just to clarify, are the statistics you just posted for the same
investment (in other words, are your calculations based on
something like this: invest X dollars in the single entry
system with each signal; divide X into some percentage, such as 40,
20, 20, 20 and invest that percentage of X in the multi-entry
system with each signal)?
The stats assume the same number of contracts per trade using
consistent trade criteria. So for the stats I posted the
assumptions are 10 contracts per trade (single and multi entry), at
the money strike with 50-80 days before expiration.
You could also run a model assuming a fixed investment - say
$10K per trade - but you would have to adjust each trade as they
would have a different number of option contracts. Unfortunately my
crude excel skills make it easier and more timely to use a fixed
number of contracts.
What I am trying to show is the risk/reward using options for
the SPY System is outstanding (regardless of using fixed investment
vs. contracts). My hunch is it's better than buying stock, though
you'd need a quant to really crunch the numbers. What I find
particularly appealing is limited risk - especially if your short
and concerned about black swan events. I'd rather have $10K at risk
vs. $100K.
So, to get it straight, in your calculations, if the multi-entry
system has four trades, it invests four times as much as the single
entry system. Is this correct?
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Thank you for the work
Feedback
Posted by algyros on 18th of May 2011 at 12:18 pm
Thank you for the work that you've done.
If you have the time, could you compare the single entry and the multiple entry strategies using options, say over the period that you've tested.
Also, Tom and I were talking about the folloiwng strategy using the multiple entry system: Signal 1: Buy SPY; Signal 2: Buy SSO; Signal 3: Buy SPY options; Signal 4: Buy more SPY options or futures. If it's not asking too much (which it almost always is), could you plug these values into your spreadsheet to see how they compare to the single entry options and multiple entry options strategies?
Again, many thanks.
Comparing single entry to multi-entry
Posted by tumbler on 18th of May 2011 at 12:37 pm
Comparing single entry to multi-entry since 2005:
single entry: 97 trades, 85 wins, gross P/L $150K
multi entry: 156 trades, 138 wins, gross P/L $285K
I'll crunch the scenario you outlined - will take some time.
Again, many thanks. Just to clarify,
Posted by algyros on 18th of May 2011 at 12:47 pm
Again, many thanks.
Just to clarify, are the statistics you just posted for the same investment (in other words, are your calculations based on something like this: invest X dollars in the single entry system with each signal; divide X into some percentage, such as 40, 20, 20, 20 and invest that percentage of X in the multi-entry system with each signal)?
The stats assume the same
Posted by tumbler on 18th of May 2011 at 12:59 pm
The stats assume the same number of contracts per trade using consistent trade criteria. So for the stats I posted the assumptions are 10 contracts per trade (single and multi entry), at the money strike with 50-80 days before expiration.
You could also run a model assuming a fixed investment - say $10K per trade - but you would have to adjust each trade as they would have a different number of option contracts. Unfortunately my crude excel skills make it easier and more timely to use a fixed number of contracts.
What I am trying to show is the risk/reward using options for the SPY System is outstanding (regardless of using fixed investment vs. contracts). My hunch is it's better than buying stock, though you'd need a quant to really crunch the numbers. What I find particularly appealing is limited risk - especially if your short and concerned about black swan events. I'd rather have $10K at risk vs. $100K.
So, to get it straight,
Posted by algyros on 19th of May 2011 at 07:42 am
So, to get it straight, in your calculations, if the multi-entry system has four trades, it invests four times as much as the single entry system. Is this correct?