The ES breakout sub system went long last Monday at 3035, too
bad the sister SPY breakout sub system failed to go long, it's the
same system, looking at the settings I think it missed the trigger
by a hair. Another good reason why I like to play both ES and SPY
systems because you see that effect a lot. Most of the time the
systems do similar trades but many times one will enter better or
exit better or one might miss the trade entirely while the other
one catches it. And that flips back and forth, one time the SPY is
better, the next time ES is better etc. Playing both averages it
all out basically.
anyway hopefully by next week I can compile all the data
finally. I'm going to go ahead and do 2013 data and I might
try and do 2011 as well. I tried going back to 2008 however the
historical options data has too many holes missing data that I
can't rely on that. I think we have enough data and again I simply
want to add 2015 and 2013, maybe 2011 will be plenty.
The option work I'm doing is on SPX options. I'm not going to
have time to do all the years with SPY options as that would take
me another couple weeks, however I don't have to. I have mirrored a
dozen of the SPX options with eqivalent SPY options and the results
are always the same: the SPY options trade about 9.5 - 10X less,
and the % moves are the same, so if the SPX option made 50%, the
same SPY option will also make about 50% as well. Therefore I
can simply extrapolate the SPY option prices from the SPX options
data I have.
Breakout trade doing well and additional comments
Posted by matt on 7th of Nov 2019 at 11:06 am
The ES breakout sub system went long last Monday at 3035, too bad the sister SPY breakout sub system failed to go long, it's the same system, looking at the settings I think it missed the trigger by a hair. Another good reason why I like to play both ES and SPY systems because you see that effect a lot. Most of the time the systems do similar trades but many times one will enter better or exit better or one might miss the trade entirely while the other one catches it. And that flips back and forth, one time the SPY is better, the next time ES is better etc. Playing both averages it all out basically.
anyway hopefully by next week I can compile all the data finally. I'm going to go ahead and do 2013 data and I might try and do 2011 as well. I tried going back to 2008 however the historical options data has too many holes missing data that I can't rely on that. I think we have enough data and again I simply want to add 2015 and 2013, maybe 2011 will be plenty.
The option work I'm doing is on SPX options. I'm not going to have time to do all the years with SPY options as that would take me another couple weeks, however I don't have to. I have mirrored a dozen of the SPX options with eqivalent SPY options and the results are always the same: the SPY options trade about 9.5 - 10X less, and the % moves are the same, so if the SPX option made 50%, the same SPY option will also make about 50% as well. Therefore I can simply extrapolate the SPY option prices from the SPX options data I have.
Matt, do you put a
Posted by chapgolf on 7th of Nov 2019 at 11:27 am
Matt, do you put a stop on the ES positions?
no - if ES stops
Posted by matt on 7th of Nov 2019 at 11:34 am
no - if ES stops out I sell the options manually.