FYI with the big sell off one of the SPY reversion to mean sub
systems are looking to take a 1st entry today at the close. The sub
system is the QE BTS, the system can have up to 3
entries.
Here's an image and the stats. Decent stats but also realize the
max historical draw down is about 10% so I can take some draw down,
hence the chance for multiple entries.
Trades:
- At the close we'll buy $10K of the SPY ETF (remember SPY
trades until 8 pm EST in after hrs)
- 1 SPY call option with a May 21st expiration. I do not know
the option yet, will wait until near the close (options trade until
4:15). Normally I go out 2 months however I only see April 23rd and
May 21st, so rounding up to May 21st. Also for 1st entry options I
target options with a 0.6 - 0.65 delta. For 2nd entries I target a
0.5, for 3rd I target an even lower delta
SPY systems trade notification
Posted by matt on 4th of Mar 2021 at 02:19 pm
FYI with the big sell off one of the SPY reversion to mean sub systems are looking to take a 1st entry today at the close. The sub system is the QE BTS, the system can have up to 3 entries.
Here's an image and the stats. Decent stats but also realize the max historical draw down is about 10% so I can take some draw down, hence the chance for multiple entries.
Trades:
- At the close we'll buy $10K of the SPY ETF (remember SPY trades until 8 pm EST in after hrs)
- 1 SPY call option with a May 21st expiration. I do not know the option yet, will wait until near the close (options trade until 4:15). Normally I go out 2 months however I only see April 23rd and May 21st, so rounding up to May 21st. Also for 1st entry options I target options with a 0.6 - 0.65 delta. For 2nd entries I target a 0.5, for 3rd I target an even lower delta
clearly no SPY trade unless
Posted by matt on 4th of Mar 2021 at 02:50 pm
clearly no SPY trade unless the market dumps the last hr, that trade condition was lost after that rally
with the bounce off the
Posted by matt on 4th of Mar 2021 at 02:22 pm
with the bounce off the lows the trade went away - but clearly will come back on a move lower again
It'll be back with afternoon
Posted by profmel on 4th of Mar 2021 at 02:22 pm
It'll be back with afternoon margin calls :)