3309 Drysdale Ct
Edwardsville, IL 62025
the breakout may enter here, I have to wait until 2 min after
the close to verify. Also very short term the market is quite over
bought, the RSI 2 filtered almost filtered this out.
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?).
the delta on my side shows 77.5, also it's for Nov
for breakout trades I tend to go lower delta because bad trades
will get stopped out vs holding, so I don't go with 90 delta. Also
breakout trades should really only have 1 entry anyway, I do allow
it a 2nd entry but that's all. Also my general model suggests
that I do an even lower delta like 70 but I went higher because I
felt like it basically
remember as I've said guys, I'm an option novice, I'm no expert
in options like Steve. I figure as long as the overall SPY system
trades is good, the option trade will work out in most cases. I'm
sure there are many better methods, strike prices, and trades that
get held for a while I've been told that the options should be sold
out of and new strikes bought several times in order to optimize
profits and degradation.
What I give is just a guide, you guys should be picking what you
think is right if you have better strategy, and feel free to share
since the market is quite overbought in the short term I did
some quick backtests using an RSI filter on that breakout
The first image shows the default trade setting: no trades when
an RSI 2 is > 99%.
The 2nd image shows the filter adjusted to no trades when an
RSI 3 is > 95%
As you can see from the statistics, the default trade has good
stats at 90.2% winning trades and a PF of 19.4, however has a
higher max draw down of about 4.2%.
The statistics using more stringent 3 RSI has a lower profit of
69.8K vs 72K, however 10 less trades of 72 vs 82 and higher winning
% of 93% vs 92.2%, but a Much lower draw down of -2.7% vs
$4.2%. This version did NOT trigger.
Both versions actually went long, therefore I'll be switching
over to this new version as the stats are quite a bit
anyway just sharing for further information,
Matt, I missed the opportunity on the cash market. Is there an
option price on ES that could substitute for SPY? Thanks, Roy
This will probably be a one or two day wonder call!! Hardly
worth the risk!!
true, but again you could easily make a case not to do any trade
that occurs and why the trade is too risky etc, I know because I've
done it many times in the past not taking trades and missing many
in a row because I was worried vs just following the system
anyway so further info: the average hold time for the trade is
23 days, that's just an average of course
Missed the trade on the cash market. Would you buy this on the
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