I have decided to publish the results of my trading as I am proud of the performance that I am achieving. A few points to address immediate questions follow. Background Professional Financial Analyst based in UK, who took an interest in options whilst at University and began trading them (unsuccessfully) during my twenties. Studied volatility, hedging and margin management to arrive at the strategy that I am trading now. Trading Swing trading and volatility trading, from long options positions on a range of stock indices, currencies and commodities including SPX, DAX, Nikkei225, FTSE100, AUDUSD, and Oil Trading decisions are purely technical. Looked at intraday timeframes, and decided that whilst profits may be greater with fully-automated trading on shorter timeframes, daily timeframes align my trading style and the securities being traded. Average duration is 20 to 40 days across the range of securities over the last 20 years. Performance Backtesting 20 years to June 2016 Paper trading June 2016 to June 2018 Actual trading since June 2018 Consistently producing annualised returns >1000% over each phase (backtesting, paper trading, actual trading) Notes, disclaimers, caveats Performance figures are calculated by (closing price less opening price) divided by opening price. This seems to be the most transparent method. Performance figures do not take into account commission, which at c.0.1% can be significant for high-frequency trading but has negligible impact here. Backtested performance figures do not take into account bid-offer spread, as trades are inside the spread. NB trading via a spreadbetting account would incur the full cost of the spread. Allocation of funds to a particular strategy is for an individual investor to decide, based on several factors including appetite for risk and correlation to other investments. For example allocating 10% of Funds Under Management to this strategy requires performance figures to be divided by 10. Backtesting does not include Out-of-the-Money trades, which I will incorporate in due course, and which will be accretive to returns. Backtesting does not include occasionally closing losing trades and re-entering the position later - this functionality exceeded my backtesting capabilities - but paper trading and actual trading includes this activity and it is accretive to returns. Nothing I say should be taken as investment advice. It is information only.
Current open long positions: Security / Ticker:ES Open Trade Date: 22 January 2019 Trade: Buy to Open Expiry Date: 15 March 2019 At the Money / Out of the Money: AtM Exercise Price: 2,650 Direction: Put Opening Price: 63.5 Security / Ticker:ES Open Trade Date: 22 January 2019 Trade: Buy to Open Expiry Date: 15 March 2019 At the Money / Out of the Money: OotM Exercise Price: 2,540 Direction: Put Opening Price: 21.8 Security / Ticker: Z Open Trade Date: 28 January 2019 Trade: Buy to Open Expiry Date: 15 March 2019 At the Money / Out of the Money: AtM Exercise Price: 6,750 Direction: Straddle (Put side) Opening Price: 144.3 NB closed Call side at a profit. Security / Ticker:ES Open Trade Date: 31 January 2019 Trade: Buy to Open Expiry Date: 15 March 2019 At the Money / Out of the Money: AtM Exercise Price: 2,710 Direction: Straddle (Put side) Opening Price: 56.2 NB closed Call side at a profit. Security / Ticker: DAX Open Trade Date: 11 February 2019 Trade: Buy to Open Expiry Date: 15 March 2019 At the Money / Out of the Money: AtM Exercise Price: 11,000 Direction: Straddle (Put side) Opening Price: 183.8 NB closed Call side at a profit. Security / Ticker: Z Open Trade Date: 19 February 2019 Trade: Buy to Open Expiry Date: 18 April 2019 At the Money / Out of the Money: AtM Exercise Price: 7,150 Direction: Put Opening Price: 145.4 Security / Ticker: Z Open Trade Date: 19 February 2019 Trade: Buy to Open Expiry Date: 18 April 2019 At the Money / Out of the Money: OotM Exercise Price: 6,875 Direction: Put Opening Price: 46.7 Close Trade Date: 18 April 2019 Security / Ticker: AUD Open Trade Date: 01 March 2019 Trade: Buy to Open Expiry Date: 05 April 2019 At the Money / Out of the Money: AtM Exercise Price: 0.7050 Direction: Put Opening Price: 0.0051 Security / Ticker: AUD Open Trade Date: 01 March 2019 Trade: Buy to Open Expiry Date: 05 April 2019 At the Money / Out of the Money: OotM Exercise Price: 0.6850 Direction: Put Opening Price: 0.0009 Security / Ticker: DAX Open Trade Date: 04 March 2019 Trade: Buy to Open Expiry Date: 18 April 2019 At the Money / Out of the Money: AtM Exercise Price: 11,550 Direction: Put Opening Price: 202.2 Security / Ticker: DAX Open Trade Date: 04 March 2019 Trade: Buy to Open Expiry Date: 18 April 2019 At the Money / Out of the Money: OotM Exercise Price: 10,850 Direction: Put Opening Price: 46.9 Security / Ticker: N225 Open Trade Date: 04 March 2019 Trade: Buy to Open Expiry Date: 11 April 2019 At the Money / Out of the Money: AtM Exercise Price: 21,625 Direction: Put Opening Price: 373.2 Security / Ticker: N225 Open Trade Date: 04 March 2019 Trade: Buy to Open Expiry Date: 11 April 2019 At the Money / Out of the Money: OotM Exercise Price: 20,500 Direction: Put Opening Price: 115.0 Security / Ticker: AUD Open Trade Date: 05 March 2019 Trade: Buy to Open Expiry Date: 03 May 2019 At the Money / Out of the Money: AtM Exercise Price: 0.7050 Direction: Strangle Opening Price: 0.0089 Security / Ticker: AUD Open Trade Date: 05 March 2019 Trade: Buy to Open Expiry Date: 03 May 2019 At the Money / Out of the Money: AtM Exercise Price: 0.7100 Direction: Strangle Opening Price: 0.0073
Short positions: Security / Ticker: CL Trade: Sell to Open Expiry Date: 16 May 2019 Exercise Price: 57.50 Direction: Call Opening Price: 2.91 Security / Ticker: CL Trade: Sell to Open Expiry Date: 16 May 2019 Exercise Price: 54.00 Direction: Put Opening Price: 2.68 Security / Ticker: ES Trade: Sell to Open Expiry Date: 31 May 2019 Exercise Price: 2840 Direction: Call Opening Price: 46.95 Security / Ticker: AUD Trade: Sell to Open Expiry Date: 07 Jun 2019 Exercise Price: 0.7200 Direction: Call Opening Price: 0.01147 Security / Ticker: N225 Trade: Sell to Open Expiry Date: 13 Jun 2019 Exercise Price: 21000 Direction: Call Opening Price: 643.8 Security / Ticker: N225 Trade: Sell to Open Expiry Date: 13 Jun 2019 Exercise Price: 20500 Direction: Put Opening Price: 583.9 Security / Ticker: N225 Trade: Sell to Open Expiry Date: 13 Jun 2019 Exercise Price: 21000 Direction: Call Opening Price: 643.8 Security / Ticker: DAX Trade: Sell to Open Expiry Date: 21 Jun 2019 Exercise Price: 11500 Direction: Call Opening Price: 289.2 Security / Ticker: DAX Trade: Sell to Open Expiry Date: 21 Jun 2019 Exercise Price: 11000 Direction: Put Opening Price: 328.9 Security / Ticker: Z Trade: Sell to Open Expiry Date: 21 Jun 2019 Exercise Price: 7025 Direction: Call Opening Price: 156.3 Security / Ticker: Z Trade: Sell to Open Expiry Date: 21 Jun 2019 Exercise Price: 6750 Direction: Put Opening Price: 137.8
"Consistently producing annualised returns >1000% over each phase (backtesting, paper trading, actual trading)" This is ET. You are going to have to do lots better than 1000% annually. Just kidding! Do it with some volume and you will soon own the world.
Fair point! With a 24-day average duration, 17% profit per trade gets to 1000% annualised. I appreciate that many want that hourly!
Bought oil Straddles whilst volatility is relatively inexpensive. Security / Ticker: CL Open Trade Date: 11 March 2019 Trade: Buy to Open Expiry Date: 16 April 2019 At the Money / Out of the Money: AtM Exercise Price: 57.00 Direction: Straddle Opening Price: 3.62
AUD, S&P500 and Nikkei225 all showed a sudden reversal so closed put positions, mainly at a loss. Security / Ticker: AUD Open Trade Date: 01 March 2019 Trade: Sell to Close Expiry Date: 05 April 2019 At the Money / Out of the Money: AtM Exercise Price: 0.7050 Direction: Put Opening Price: 0.0051 Close Trade Date: 11 March 2019 Closing Price: 0.0048 Roundtrip P&L: -5.7% Security / Ticker: AUD Open Trade Date: 01 March 2019 Trade: Sell to Close Expiry Date: 05 April 2019 At the Money / Out of the Money: OotM Exercise Price: 0.6850 Direction: Put Opening Price: 0.0009 Close Trade Date: 11 March 2019 Closing Price: 0.0004 Roundtrip P&L: -54.1% Security / Ticker:ES Open Trade Date: 21 February 2019 Trade: Sell to Close Expiry Date: 18 April 2019 At the Money / Out of the Money: AtM Exercise Price: 2,770 Direction: Put Opening Price: 52.91 Close Trade Date: 11 March 2019 Closing Price: 34.75 Roundtrip P&L: -34.3% Security / Ticker:ES Open Trade Date: 21 February 2019 Trade: Sell to Close Expiry Date: 18 April 2019 At the Money / Out of the Money: OotM Exercise Price: 2,650 Direction: Put Opening Price: 12.66 Close Trade Date: 11 March 2019 Closing Price: 4.27 Roundtrip P&L: -66.3% Security / Ticker: N225 Open Trade Date: 04 March 2019 Trade: Sell to Close Expiry Date: 11 April 2019 At the Money / Out of the Money: AtM Exercise Price: 21,625 Direction: Put Opening Price: 373.25 Close Trade Date: 11 March 2019 Closing Price: 543.66 Roundtrip P&L: 45.7% Security / Ticker: N225 Open Trade Date: 04 March 2019 Trade: Sell to CloseExpiry Date: 11 April 2019 At the Money / Out of the Money: OotM Exercise Price: 20,500 Direction: Put Opening Price: 115.00 Close Trade Date: 11 March 2019 Closing Price: 104.22 Roundtrip P&L: -9.4% Rolling monthly P&L (for a contract size of 1 lot in each security) with no compounding is USD1973.
Initiated long positions in AUD, S&P500 and Nikkei 225 by buying calls: Security / Ticker: AUD Open Trade Date: 11 March 2019 Trade: Buy to Open Expiry Date: 03 May 2019 At the Money / Out of the Money: AtM Exercise Price: 0.7100 Direction: Call Opening Price: 0.0071 Security / Ticker: AUD Open Trade Date: 11 March 2019 Trade: Buy to Open Expiry Date: 03 May 2019 At the Money / Out of the Money: OotM Exercise Price: 0.7300 Direction: Call Opening Price: 0.0017 Security / Ticker: ES Open Trade Date: 11 March 2019 Trade: Buy to Open Expiry Date: 18 April 2019 At the Money / Out of the Money: AtM Exercise Price: 2,800 Direction: Call Opening Price: 37.31 Security / Ticker: ES Open Trade Date: 11 March 2019 Trade: Buy to Open Expiry Date: 18 April 2019 At the Money / Out of the Money: OotM Exercise Price: 2,880 Direction: Call Opening Price: 6.75 Security / Ticker: N225 Open Trade Date: 11 March 2019 Trade: Buy to Open Expiry Date: 09 May 2019 At the Money / Out of the Money: AtM Exercise Price: 21,500 Direction: Call Opening Price: 504.0 Security / Ticker: N225 Open Trade Date: 11 March 2019 Trade: Buy to Open Expiry Date: 09 May 2019 At the Money / Out of the Money: OotM Exercise Price: 22,500 Direction: Call Opening Price: 180.9
Outstanding March options expired at nil value on Friday. Rolling monthly P&L (for a contract size of 1 lot in each security) with no compounding is USD-2273. NB this is the first time that rolling monthly P&L has been negative.
Closed S&P500 Calls on Thursday. Security / Ticker: ES Open Trade Date: 11 March 2019 Trade: Sell to Close Expiry Date: 18 April 2019 At the Money / Out of the Money: AtM Exercise Price: 2,800 Direction: Call Opening Price: 37.31 Close Trade Date: 20 March 2019 Closing Price: 54.00 Roundtrip P&L: 44.7% Security / Ticker: ES Open Trade Date: 11 March 2019 Trade: Sell to Close Expiry Date: 18 April 2019 At the Money / Out of the Money: OotM Exercise Price: 2,880 Direction: Call Opening Price: 6.75 Close Trade Date: 20 March 2019 Closing Price: 10.00 Roundtrip P&L: 48.1% Rolling monthly P&L (for a contract size of 1 lot in each security) with no compounding is USD914.