On the SPY and ES mean reversion systems, as you know most
exited: the SPY QE BTS exits tomorrow morning at the open but we
exited today.
The SPY Trend/Pullback is still long. Since it has met its first
mean reversion target, I'm electing to exit 1/2 of the position and
leave the other 1/2 for the system to exit.
1st entry 2 contracts, selling 1. 2nd entry 4 contracts, selling
2, and 3rd entry was 6 contracts, selling 3,
this leaves 1, 2, and 3 contracts for 1st, 2nd, and 3rd
here's the table - I'm using current MES prices here
NICE gains! Again realize on things like MES futures not
everyone is going to do 3 and 6 contracts, some would do 1/2 that
1,2,3, while some folks may do a lot more or use ES futures instead
who have larger accounts, and some who don't want to trade futures
can alway substitute the ETF's in place of MES futures
that said there is a big tax benefit of futures over ETF's, for
futures you have the 60/40 tax rule where 60% of your gains are
taxed at long term capital gains, and the other 40% are taxed at
short-term cap gains. For stocks, you have to hold for over a year
to get that, but for futures you can hold for 1 second and still
get that - kind of a tax loophole for the rich basically. If you
are rich it's best to buy futures over ETF's
SPY cash market opens at 9:30 am, closes at 4:00 pm - SPY QE BTS
will exit tomorrow on the open (but we exited it today as I forget
about that)
ES trades 23 hrs a day except for weekends. The closing bar for
ES is 4 pm, the next day's bar opens back at 5 pm
ES closing bar is tomorrow at 4 pm.
Also - the system holding ES is the Trend/Pullback -that one
DOES NOT exit on the next open bar, only the close - which is
tomorrow. The QE BTS for SPY exits next bar open, I think its
the only system that does that
mean reversion systems
Posted by matt on 23rd of Apr 2024 at 06:10 pm
On the SPY and ES mean reversion systems, as you know most exited: the SPY QE BTS exits tomorrow morning at the open but we exited today.
The SPY Trend/Pullback is still long. Since it has met its first mean reversion target, I'm electing to exit 1/2 of the position and leave the other 1/2 for the system to exit.
1st entry 2 contracts, selling 1. 2nd entry 4 contracts, selling 2, and 3rd entry was 6 contracts, selling 3,
this leaves 1, 2, and 3 contracts for 1st, 2nd, and 3rd
here's the table - I'm using current MES prices here
NICE gains! Again realize on things like MES futures not everyone is going to do 3 and 6 contracts, some would do 1/2 that 1,2,3, while some folks may do a lot more or use ES futures instead who have larger accounts, and some who don't want to trade futures can alway substitute the ETF's in place of MES futures
that said there is a big tax benefit of futures over ETF's, for futures you have the 60/40 tax rule where 60% of your gains are taxed at long term capital gains, and the other 40% are taxed at short-term cap gains. For stocks, you have to hold for over a year to get that, but for futures you can hold for 1 second and still get that - kind of a tax loophole for the rich basically. If you are rich it's best to buy futures over ETF's
now that the new ES
Posted by matt on 23rd of Apr 2024 at 06:18 pm
now that the new ES bar has opened for tomorrow, the Trend/Pullback ES systems is looking to exit at close of bar tomorrow
so not at the open
Posted by Glad on 23rd of Apr 2024 at 06:20 pm
so not at the open but end of day tomorrow ?
SPY and ES are different SPY
Posted by matt on 23rd of Apr 2024 at 06:31 pm
SPY and ES are different
SPY cash market opens at 9:30 am, closes at 4:00 pm - SPY QE BTS will exit tomorrow on the open (but we exited it today as I forget about that)
ES trades 23 hrs a day except for weekends. The closing bar for ES is 4 pm, the next day's bar opens back at 5 pm
ES closing bar is tomorrow at 4 pm.
Also - the system holding ES is the Trend/Pullback -that one DOES NOT exit on the next open bar, only the close - which is tomorrow. The QE BTS for SPY exits next bar open, I think its the only system that does that
I love playing these systems
Posted by steverobin on 23rd of Apr 2024 at 06:43 pm
I love playing these systems with deep in the money SPY options. I felt the heat but held on and exited with a nice profit.