Thanks for that heads up.  Almost got caught with a leg up.

symmetry break?

You can buy 2 week out, .50/.25 (4x) or .50/.30 (5x) delta puts spreads per 100 SPY with very little theta or Vega exposure (during week 1). Lines up well with the time frame for an expected down move. 

sounds like the beginning of a SPY subsystem... LOL

Trading Computers:  Does anyone use a VPS or cloud to run trading programs? I use a Dell XPS 15 i7-7700 with 32GB of RAM and run IB, TOS, Tradestation, and OptionNet Explorer as well as 2 (sometimes3 monitors).  Can't stand the laptop.  I've replaced the Hard drive, AC connector (3x), charger, and motherboard.  I really dislike using Windows altogether.  But let's face it, in our profession many programs are native to Windows and using Parallels seemed cumbersome on my last MacBook Pro.  Today, Apple will introduce it's new MBPros with the M1X or whatever theyre going to call it and I'd like to get one.  I (personally) find the experience much better.  Just my preference (not trying to convince anyone else).  My problem is twofold:  1 - OptionNet Explorer won't run on an M1 ARM machine and I rely heavily on this program.  2- I don't know if Tradestation will run.  

Tradestation happens to be a very slow, cumbersome program as it is.  But like Matt and the SPY system, I run a series of similar End of Day algos that I trade using options.  Oftentimes, especially during fast markets,  I find myself waiting for Tradestation to load/update - so much so that I have missed trades in the past.  Has anyone (Matt especially) had any experience (or interest in) running TS on a VPS or cloud?  My thought is that I can offload TS (and ONE) to a server and be able to access it from the macbook (or even an iphone!) I travel a lot so I'm not always at my home office.  I rarely get to sit at my desk even when I'm home.  Execution speed is not really an issue because I'm not doing automated trading. But having the algos running and being able to access them in a timely fashion is.  Any input is appreciated!! Thanks.

Week after the 3rd Friday in October is seasonally weak.  From Quantifiable Edges' public blog:   October has a History of Big Swings | Quantifiable Edges

Hey Matt-

I don't wish to diminish the results of what is obviously a ton of work, but I think I should point out that one of the biggest issues with this type of system is correlated risk.  At some point over the life of the system, you're going to have multiple signals firing at once (likely in addition to the SPY system) and EACH signal can be in drawdown at the same time.  It is important to consider (and really post) the drawdown that each signal experienced on its way to achieving each gain.  I believe there is a way to run this in Tradestation (I think using Portfolio Maestro), but it currently beyond my programming capabilities.  Capital allocation with respect to drawdown is critical (even using options)and not addressing this going in will likely result in your fielding "angry posts" from users not fully understanding how to trade the system (LOL).  I say this realizing that you are early in development and haven't sent out any signals yet -- just thought I'd mention this as a point to consider and focus on going forward.

(As a side note, it was your original RSI2 system that first brought me to BPT several years ago.)

System trading (especially mean-reversion) can be difficult/impossible without proper position sizing. 

(I think I should get that tattooed on my forehead!!)

im still in it too.  I think they agree to selloff Pointillist for $150M according to yahoo. https://finance.yahoo.com/news/altisource-announces-definitive-agreement-sell-122900779.html 

Hey Matt-

Possible SPY Trend Trade today?

I switched from a MacBook to a Dell XPS 15 a couple of years ago when I started using TS. Have accounts at TS, TOS, IB. Switching back to MacBook Pro in the fall when the M1x/M2 comes out. Will run Parellels. Tradestation is a very unstable program to begin with. It crashes/freezes A LOT. Hoping to gain some stability by going back to Mac. Had same logic- better to buy a windows computer. My conclusion after doing so is that it’s not.

(Waiting for new chip because M1 doesn’t run multiple monitors natively)

https://emini-watch.com/emini-trading/tradestation-for-mac/

matt-- possible SPY trade today??

matt- any SPY System trades close?

Thanks Matt 

Matt-

Any SPY system trades (like RSI 40) we should be watching for?

Amen to that! Have I mentioned that it is absolutely impossible for Gold to EVER rally?!?!?

that 25% of people actually think this market could ever go down is what is really shocking (I, unfortunately, seem to be one of them)

Matt-

When do they update COT position OI in Gold? Is it Friday using Wednesday data? Would love to see that spec vs commercial chart you used to show whenever you can.

What’s your time frame for holding the trade?  I’d probably look at  30-60 days out at around .65-75 delta. 

hey matt- 

any SPY system entries today?? Long Trend?

Ironic that the two pillars to which that tightrope was attached no longer stand.