Systems and options data looking good

    Posted by matt on 1st of Nov 2019 at 03:42 pm

    I've' just been busy working through these option models for SPY and ES systems.  As you know the ES Breakout system is long from Oct 28th and doing well, whereas the SPY breakout system failed to trigger.  I am considering sending out trade signals to both ES and SPY systems, but will work through the data.

    Here's how the data is working out thus far:  What I'm doing is taking trades on both the SPY and ES Systems they they occur, no matter if there is overlap or not.  I'm placing 2% of capital into each trade for 1st entry, and 4% for 2nd, 6% for 3rd entries

    This year the systems would be up 50% with a max utilization of capital of only 18%, and an average utilization of 11%. What I mean by that is if one was trading with a 100K account then 18,000 maximum would have been invested at one time with an average of 11K used.  The max draw down was 4% or 4K.

    For 2019 using the same model the systems made 120%, the max capital utilization was 45%, which is higher than I would like but that was in late Dec when Bear long was in 4 entries on both the SPY and ES, CCI was long 2 entries, and QE was long 2 entries.   However the average capital utilization was around 15%. 

    2017 was the lowest return year by far because it was the least volatile year in 100 years!  None of the systems took 2nd entries, everything was 1st entries. The return was 20% for that year, however the max capital utilization was only 9% with an average of only 2 - 4%

    I'm working on 2016 and 2015.  2016 will probably do close to 100% or more and I'm sure 2015 will be similar.

    I'll also see if I can do 2011 which was a volatile year, and 2008 if there's data, I'm not sure if I can get historical options data back that far.  Because this is such a time intensive and tedious process I'm not doing every year, I think a handful of years is plenty. Once I have the data I'll present it.  

    Matt, when you say these

    Posted by cozz101 on 3rd of Nov 2019 at 09:13 pm

    Matt, when you say these option systems are up 50% with only 18% capital being used; on an account of 100K would that have made 50K for 2019? If so much capital is sitting on the sidelines would you do anything else with that money or just have it available for the system were the market to really tank like in 2008?

    remember guys - use the

    Posted by matt on 4th of Nov 2019 at 09:33 am

    remember guys - use the search feature on the blog works well, just type in 15 min gap rule and you see tons of posts, here's the search link

    https://breakpointtrades.com/blog/search/?search_terms=15+min+gap+rule&member_name=matt%2C&start_date=&end_date=

    well you could trade that

    Posted by matt on 3rd of Nov 2019 at 11:14 pm

    well you could trade that capital obviously.  I'm just being conservative trying to use a small amount of capital, also it's up 55% for the year. However a lot of years are 100%, 2018 was 115%, 2016 was 110%, 2014 was 100%.  And these are with a max capitial utilization of about 35%.  Clearly if you set aside capital and used all of it those numbers would be 3X or 300% annual.  Anyway I have a lot of data to compile yet and will probably take me another week. This year also isn't over yet and assuming we have a handful more of trades left

    Thanks Matt, this sounds exciting,

    Posted by cozz101 on 4th of Nov 2019 at 08:58 am

    Thanks Matt, this sounds exciting, looking forward to the final numbers! 



    that's a good point, leaving

    Posted by matt on 4th of Nov 2019 at 09:25 am

    that's a good point, leaving 65% of the capital always off the table may be a bit conservative, so if one doubled the position size so that the max invested would e 70%, then this year would be up 110%, last year 230%, 220% for 2016 etc.  Also when I say 35% invested max or 70% if you doubled that, that condition was only for 1 week LOL it's not very long. That max condition is where a bunch of sub systems overlap and quickly drops off because systems start closing out. That max condition was where the Bear Long was in 4 entries on both the ES and SPY systems, the CCI system was in 2 entries, and the QE BTS was in 2 entries, so you basically had 12 entries overlaping . This lasted from late 2018, Dec 21st - Dec 26th only, so less that a week

    however those of you wanting

    Posted by matt on 4th of Nov 2019 at 09:51 am

    however those of you wanting to do SPX options over SPY options for the 60/40 tax benefit you won't be able to do that with less than a 200K account. SPX options cost roughtly 9 - 10 times the price over SPY.  2018 and 2016 trading one would have made 385K those eyars trading SPX options, but agai nit's not something you can trade with 20K or 50K or 100K.  As those options range from $10,000 to 40,000 per option.

    I finished 2016 and and

    Posted by matt on 3rd of Nov 2019 at 01:44 pm

    I finished 2016 and and also working on 2014 and 2015.  I can't get reliable option data from 2008, there's too many missing holes; for example some prices will display for various options but most of the delta values do not, which is what I need. I makes sense anyway that there isn't reliable data from that time on the options. So I'll probably do maybe 2013 - 2019, maybe look to see if I have good data for 2011 and I think that's enough years and data to make conclusions. 

    As an example: taking both trades from the ES and SPY systems for 2016:  there were 40 sub systems trades, 21 from ES and 19 from SPY. What I mean by sub system trades is the total trades, not 2nd or 3rd entries. So if a sub system had 2 or 3 entries I'm counting that as one trade.  

    If you count each entry, you have 59 total entries.  

    25 of the system trades were 1 entry out of 59 total

    10 of the system trades had 2 entries

    2 of the system trades had 3 entries

    There were 31 long trades out of 40 total trades and 9 short trades out of 40.

    Percent gain was 115% with a one time max utilization of capital of 35%. So clearly if one was willing to us 70% or 100% of the capital the % gain would go to 200 or 300%.

    anyway I still probably have a week left on compiling the data and will put it into a clean table, right now it's a mess in a spreadsheet

    Lastly, do you take into

    Posted by junkie on 5th of Nov 2019 at 10:05 am

    Lastly, do you take into account a decay in options with time in your calculations, and do you compute a duration of each trade? That is not an issue with index funds, but could be an issue with options that works in your favor or your disfavor. Thanks again for your visionary work!

    Hi Matt, This is very impressive.

    Posted by junkie on 5th of Nov 2019 at 09:58 am

    Hi Matt,

    This is very impressive. To be clear, do you use the same position for each entry or a progressively larger position? That is, one SPY option with the same delta or one ES contract for each entry? Or more with each entry?

    Also, you calculate this based on the assumption that every trade for every subsystem is entered, don't you?

    Thank you for clarifying!

    Looking forward to your data!

    Posted by steverobin on 2nd of Nov 2019 at 05:41 pm

    Looking forward to your data!  Thanks for this labor!

    That amazing Matt, I have

    Posted by chapgolf on 1st of Nov 2019 at 04:10 pm

    That amazing Matt, I have been trying to figure out good position sizes for the SPY system.  So if I understand you correctly, the allocations are not the same into SPY, SSO, UPRO.  First trade, with the 100k example, would be $2K(SPY), second $4K(SSO), and third $6K(UPRO)?  Occasionally with a fourth position you would add another $6K into UPRO.  Am I understanding you correctly?

    maybe OPTIONS, not etf's .

    Posted by retirefire on 1st of Nov 2019 at 04:21 pm

    maybe OPTIONS, not etf's . That's how he's getting those spectacular returns

    Thank you Matt. You have

    Posted by retirefire on 1st of Nov 2019 at 04:04 pm

    Thank you Matt. You have great vision



    very interesting, thanks Matt.

    Posted by morton7 on 1st of Nov 2019 at 03:50 pm

    very interesting, thanks Matt.

Newsletter

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