Hey Guys, since I'm not willing/able to drop a couple 100k to get option data on all underlying out there, I subscribed to a backtesting provider. Of course there is the problem of optimization. I'm adjusting 7 Parameters IVR, DELTA, PROFIT TAKING (and timing of setting up new trade->daily and immediatley) and DTE. Right now my thought process is: We will enter a bullmarket in the near future so I'm Backtesting naked Puts from the beginning of 2010-end 2019. I'm going with the most liquid Stocks and ETFs on Indices for now. My approach: 1. Set DTE to: 45 DTE->bc. highest Theta 2. Trading Daily 3. Run Backtest at 30/25/20/15 Delta->Look at highest Profit per Trade 4. Then I'm Setting the IV Rank beginning at between 40-80(min) up to 100(max) 5. Taking Profits at 75%/50%/25% + setting to -> set up new trade immediatley after taking profit I'm taking the best Result by Trial and Error/Going back and forth and looking at Profit per Trade. I'm going by PPT because some Settings might be more Profitable ROC wise just bc there will be more trades to be made at that Setting and I will have 40000 underlyings to choose from when IV is high anyways. If a naked Put doesn't pay, I look at Strangles. After I've done that I will look at Earning Plays. I'd appreciate your advise when it comes to setting up the testing.
thank you I'm using https://www.edeltapro.com/, pretty similar from what I saw in the tutorial videos of orats and optionstack
I'm considering hedging at 0,01 delta but first I want to know at what delta to sell. But you are absolutley right, buying a put would enable me to sell twice as many Puts