Today spent some time adding in the ETF trade % G/L for the
ES/SPY systems. I was only able to complete 2014, 2015, 2016
so far as you know it's time consuming looking up each data point
manually.
For the ETF's I use SPY, SSO and UPRO, and SH, SDS and SPXU for
inverse ETF's.
I'm also doing exactly the same trades as I did for the options
therefore the number of trades is exactly the same. for the ETF's I
took 100K, and used $8K per trade accounting for a possibility of
12 maximum entries. Anyway you can see that while the returns are
quite a bit lower than the options, they still beat the SPX gains
for those years.
Note however from the statistics note that it takes you roughly
5-6 times the capital to make what you do with the options.
Posted by retirefire on 11th of Nov 2019 at 06:59 pm
So may I ask at the risk of being too obvious : For those with a
small trading account doesnt it seem fruitless to trade the ETF's
until they get an account over 100k? Just stick with options.
Yes and no. I mean the ETF's could probably be done in a
different way to make a larger percentage. For example limiting the
total number of entries from 12 to say 8. And using SSO and
UPRO on most of the sub systems instead of SPY since most are high
probability, only keeping it on the Trend pullback trade that is
still prone to buy in early at times. I didn't try doing that, I
simply matched the option trades style.
If the trade signal is there for the ES system at the cash close
I simply take the option trade knowing that there is a small chance
that those conditions might go away by the time ES closes at 5 pm
EST, however that's rare to happen.
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More system stats
Posted by matt on 11th of Nov 2019 at 03:43 pm
Today spent some time adding in the ETF trade % G/L for the ES/SPY systems. I was only able to complete 2014, 2015, 2016 so far as you know it's time consuming looking up each data point manually.
For the ETF's I use SPY, SSO and UPRO, and SH, SDS and SPXU for inverse ETF's.
I'm also doing exactly the same trades as I did for the options therefore the number of trades is exactly the same. for the ETF's I took 100K, and used $8K per trade accounting for a possibility of 12 maximum entries. Anyway you can see that while the returns are quite a bit lower than the options, they still beat the SPX gains for those years.
Note however from the statistics note that it takes you roughly 5-6 times the capital to make what you do with the options.
So may I ask at
Posted by retirefire on 11th of Nov 2019 at 06:59 pm
So may I ask at the risk of being too obvious : For those with a small trading account doesnt it seem fruitless to trade the ETF's until they get an account over 100k? Just stick with options.
Yes and no. I mean
Posted by matt on 11th of Nov 2019 at 07:12 pm
Yes and no. I mean the ETF's could probably be done in a different way to make a larger percentage. For example limiting the total number of entries from 12 to say 8. And using SSO and UPRO on most of the sub systems instead of SPY since most are high probability, only keeping it on the Trend pullback trade that is still prone to buy in early at times. I didn't try doing that, I simply matched the option trades style.
Makes sense
Posted by retirefire on 11th of Nov 2019 at 07:35 pm
Makes sense
Matt, How to you buy
Posted by jlevinthal on 11th of Nov 2019 at 04:35 pm
Matt, How to you buy and sell options with the ES closing time after the options buying time
If the trade signal is
Posted by matt on 11th of Nov 2019 at 07:13 pm
If the trade signal is there for the ES system at the cash close I simply take the option trade knowing that there is a small chance that those conditions might go away by the time ES closes at 5 pm EST, however that's rare to happen.