Posted by sbaxman111 on 29th of Dec 2015 at 11:13 am
With the NDX as the leading major Index in 2015 (up 10.44%
YTD as of 11:05 am today), I applied the 200% NDX L/S mutual funds
to the 2015 Spy Pro trades. I also included the three new "Bear
Long" trades that Matt is going to include in the system going
forward. These 3 "Bear Long" trades would be up +21.76% in just 7
market days of exposure using the 200% NDX funds. This combination
of Spy Pro signals is up a hypothetical gain of +50.69% in just 70
total days of market exposure in 2015. If no leverage was employed,
the return would simply be half of the 50.69%.
I'm certainly looking forward to the new trade ideas that
will be incorporated into the Spy Pro system in the near
future.
yep there's a ton of new trade types, Bear Long, Bear Exhaustion
Long, Bull Exhaustion Long, we already have 60 Stochastic 80
reversal and so I added one for a 60 Stoch reversal off 50%, I also
added a similar trade but using a 34 length stochastic reversal off
50%, I added a similar trade to the 60 Stoch but instead using
normalized stochastic, added an RSI oversold trade, added two
exhaustion short trades, and RSI 40 trade where RSI 14 rebounds off
40%, a strong trend pullback long trade that buys quick pullbacks
only when a 20 EMA slope is increasing, etc
One thing - an Aussie friend of ours Steve Nelson believe it or
not, told me he did some backtesting on Thinkorswim with the
current SPY system trades on the site where he tested buying both a
Put and Call option at the same time whenever the SPY system did a
trade close to the strike price, he said the results were very
good. However he's left for vacation and I don't think
Thinkorswim to back test past options, anyone else able to do that?
I could also wait for him to get back, but that would be quite
interesting if that worked out as you would have very little risk
buying both a call and put option.
Obviously, the DTE matters here (is he giving each trade an
average length of time for the system or longer?), but given that
you would always be buying one side at inflated levels (especially
puts at lows) I have to think there's a better way to do it. I
would be happy to review specifics. I've found that backtesting
options is a pain; but maybe there's some better way to do it since
I last tried out OptionVue.
yep and also is he simply buying a put and call option at the
same strike or is he biasing it to longs for long trades and shorts
for short trades by picking different strike prices and or dates
for each depending if it's a long or short. I asked him to share
the data when he gets back, without that no reason to speculate too
much or make any decisions.
Yes, and is it better than just buying delta 70 puts/calls with
some time beyond the average hold? I have some data from testing a
couple years ago that might be helpful for comparison.
Posted by sbaxman111 on 29th of Dec 2015 at 12:06 pm
USING THE 200% SPX L/S FUNDS, THE SPY PRO SYSTEM (INCL BEAR
MARKET LONGS) IS UP 46.69% YTD. THE BEAR MARKET LONGS ARE UP
+18.18% IN JUST 7 TRADING DAYS.
Posted by sbaxman111 on 29th of Dec 2015 at 12:31 pm
I've just compiled the YTD results for the trades that have
already taken place (incl the 3 new Bear Market Longs) - there is
no current Spy Pro trade in effect. The last one exited on
12-7
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NDX and Spy Pro trades
Posted by sbaxman111 on 29th of Dec 2015 at 11:13 am
With the NDX as the leading major Index in 2015 (up 10.44% YTD as of 11:05 am today), I applied the 200% NDX L/S mutual funds to the 2015 Spy Pro trades. I also included the three new "Bear Long" trades that Matt is going to include in the system going forward. These 3 "Bear Long" trades would be up +21.76% in just 7 market days of exposure using the 200% NDX funds. This combination of Spy Pro signals is up a hypothetical gain of +50.69% in just 70 total days of market exposure in 2015. If no leverage was employed, the return would simply be half of the 50.69%.
I'm certainly looking forward to the new trade ideas that will be incorporated into the Spy Pro system in the near future.
SPY systems and options test/request
Posted by matt on 29th of Dec 2015 at 11:34 am
yep there's a ton of new trade types, Bear Long, Bear Exhaustion Long, Bull Exhaustion Long, we already have 60 Stochastic 80 reversal and so I added one for a 60 Stoch reversal off 50%, I also added a similar trade but using a 34 length stochastic reversal off 50%, I added a similar trade to the 60 Stoch but instead using normalized stochastic, added an RSI oversold trade, added two exhaustion short trades, and RSI 40 trade where RSI 14 rebounds off 40%, a strong trend pullback long trade that buys quick pullbacks only when a 20 EMA slope is increasing, etc
One thing - an Aussie friend of ours Steve Nelson believe it or not, told me he did some backtesting on Thinkorswim with the current SPY system trades on the site where he tested buying both a Put and Call option at the same time whenever the SPY system did a trade close to the strike price, he said the results were very good. However he's left for vacation and I don't think Thinkorswim to back test past options, anyone else able to do that? I could also wait for him to get back, but that would be quite interesting if that worked out as you would have very little risk buying both a call and put option.
Obviously, the DTE matters here
Posted by a_l_ on 29th of Dec 2015 at 03:28 pm
Obviously, the DTE matters here (is he giving each trade an average length of time for the system or longer?), but given that you would always be buying one side at inflated levels (especially puts at lows) I have to think there's a better way to do it. I would be happy to review specifics. I've found that backtesting options is a pain; but maybe there's some better way to do it since I last tried out OptionVue.
yep and also is he
Posted by matt on 29th of Dec 2015 at 03:36 pm
yep and also is he simply buying a put and call option at the same strike or is he biasing it to longs for long trades and shorts for short trades by picking different strike prices and or dates for each depending if it's a long or short. I asked him to share the data when he gets back, without that no reason to speculate too much or make any decisions.
Yes, and is it better
Posted by a_l_ on 29th of Dec 2015 at 03:46 pm
Yes, and is it better than just buying delta 70 puts/calls with some time beyond the average hold? I have some data from testing a couple years ago that might be helpful for comparison.
Looking forward to it!! When
Posted by goap1207 on 29th of Dec 2015 at 12:37 pm
Looking forward to it!! When do you think you will roll it out Matt? Thanks
200% SPX SPY PRO
Posted by sbaxman111 on 29th of Dec 2015 at 12:06 pm
USING THE 200% SPX L/S FUNDS, THE SPY PRO SYSTEM (INCL BEAR MARKET LONGS) IS UP 46.69% YTD. THE BEAR MARKET LONGS ARE UP +18.18% IN JUST 7 TRADING DAYS.
Are you referring to the
Posted by blorrilliere on 29th of Dec 2015 at 12:14 pm
Are you referring to the "new" SPY PRO? I didn't think there were currently any systems trades on?
I've just compiled the YTD
Posted by sbaxman111 on 29th of Dec 2015 at 12:31 pm
I've just compiled the YTD results for the trades that have already taken place (incl the 3 new Bear Market Longs) - there is no current Spy Pro trade in effect. The last one exited on 12-7