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
15th.
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
as well
since the market is quite overbought in the short term I did
some quick backtests using an RSI filter on that breakout
trade.
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
better.
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
trade
anyway so further info: the average hold time for the trade is
23 days, that's just an average of course
SPY system trade
Posted by matt on 12th of Sep 2019 at 03:54 pm
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
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
the delta on my side
Posted by matt on 12th of Sep 2019 at 05:00 pm
the delta on my side shows 77.5, also it's for Nov 15th.
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,
Posted by matt on 12th of Sep 2019 at 05:07 pm
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 as well
since the market is quite
Posted by matt on 12th of Sep 2019 at 04:25 pm
since the market is quite overbought in the short term I did some quick backtests using an RSI filter on that breakout trade.
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 better.
anyway just sharing for further information,
Matt, I missed the opportunity
Posted by junkie on 12th of Sep 2019 at 04:20 pm
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
Posted by lamb on 12th of Sep 2019 at 04:18 pm
This will probably be a one or two day wonder call!! Hardly worth the risk!!
true, but again you could
Posted by matt on 12th of Sep 2019 at 04:27 pm
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 trade
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
Posted by pebs on 12th of Sep 2019 at 04:30 pm
Missed the trade on the cash market. Would you buy this on the next pullback?