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?

Newsletter

Subscribe to our email list for regular free market updates
as well as a chance to get coupons!