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 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!
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!
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I finished 2016 and and
Systems and options data looking good
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!