10 JAN 2011 Trading Summary A complete Iron Condor (#30) was formed on the NDX weekly (JAN2 11) with both a PUT spread (#75) and a CALL spread (#76). A roll was executed within Iron Condor (#15) by closing a PUT spread (#64) and opening another PUT spread (#74) closer to the NDX price. A roll was executed within Iron Condor (#16) by closing a PUT spread (#55) and opening another PUT spread (#77) closer to the RUT price.
Howard Interesting question I was trading the OEX during the year, 2010. I had four months of wins and then got hit twice, each about 4 months long. I haven´t found it much different what index you trade. The percentage gain is the same. I had to close early both times I lost, as the index went into my spread and in one case backed out again, but I had closed it by that time. I´m a little uncertain about the rollover system when threatened, not having any hard and fast rules on it. Or any background files to see what has happened to others and I like credit spreads, but can´t afford another year learning by experimentation with rollovers. I found I needed a $25,000 bankroll to get the returns I wanted. That is a chunk of money to lose. I was web based funny money trading, so I didn´t get hurt in cash, only in the ego. If you have any tips on handling threatened spreads would like to hear them, though I am not currently this year planning to do it again for the time being. I´m still working on my direct trading by buying. I feel I´m ready for cash trading, but going to run it out at least to the end of this month. I found 4% deviation to be fairly good for putting on a credit spread. 5% never ever got hit during the year, but in the OEX you cannot always get premium that far out. The 3% deviation would get hit about once every 4 months, which is what happened to me.
If you would like to share the spread identification (see my Dashboard for identification) of the spreads that failed, I'll examine them from the perspective of my entry rules and management rules. You can do it in this thread or via PM.
Howard I don´t have the records now, but they should be on OEX WEEKLY OPTIONS and also SPX CREDIT SPREAD TRADER FORUM. I commented as I went along in 2010. Most of the time I traded WEEKLY spreads. I started out with monthlies and then transferred to the weeklies. Faster action and more trades. Greater number of trades and thus more profit. Four times a month. More risk of course. I don´t think I had any deviation studies for the monthlies. Only the weeklies. There is another guy BRAD who has been trading for 4 years and has records of trades on the internet. On an annual basis he is successful. Usually between 30% to 90% a year. His worst year he lost four months. The way he handles losing months is to roll over threatened spreads. At what point do you rollover when threatened was something I never figured out. On his rollovers, he tries to get back more credit to offset losses from the time he does a rollover. Some years he takes one or two month partial losses as a percentage, which must be deducted from the annual total. Every rollover is usually a loss, except if you can offset it using diversification within different indexes and smaller trades to scatter your trades around. There are zero months, in which the rollover losses, or credits offset the winners. Giving zero return months. Worst scenarios are when you are unsuccessful in a rollover system in being able to avoid a loss, that must be deducted from your annual return. Using a weekly system, I could not rollover. So I tried to do Iron Condors, but more often only got in one spread side. Those months in high volatility, I skipped the lower portion of the Iron Condor. You are selling time decay and so I thought weeklies were better for that. However, in the OEX you cannot always get out far enough and find premium to make it worthwhile. I experimented with other indexes, but since they are more or less the same percentage wise, didn´t actually see any difference. I tried to go for an ALL or NOTHING APPROACH on the weeklies. There wasn´t any adjusting you could do. It worked fine, except those months that catch you couple of times a year, when I was using a 3% deviation and there would be a sudden market run in one day of 4% deviation. Sometimes it bounced back within a profit area, but at least once it would stay in the area where you lost most of your capital. You cannot afford to take even a single loss that way. You must be right every time. Spreading your risk over different indexes and smaller trades is probably a safer way to go, presuming you can adjust in such a way, you do not end up with a negative loss, after deducting your profits from scattered trades, on that month. However for the most part it did not meet my financial goals that way.
Do you have, at least, a papertrade "test" of your adjustment strategy for 2008 and 2009?. There was plenty volatility and trends both ways in those 2 years, and the data shouldn't be too hard to find.
I have back tests in that time frame, but only with end of day data. I did paper trading for 5 months before I started small money trading. Back-testing indicates the strategy was profitable during those years, but I'm unwilling to make trading claims on anything but trades involving real money. I've also modified my rules some and went back to paper trading to qualify them, but not to the back-testing. Had paper trading been inconclusive I would have gone all the way back to back-testing.
falconview, weeklies are very management intensive. Although they contribute significantly to my account gains, I still only trade them for small money. Small money, 4.33 times per month adds up. Monthlies remain my primary source of income because they live long enough to use rolling. Not as profitable as weeklies, but I've occasionally been able to get 5 spreads out of one series. So my average yield per series is over 20% when you include rolls and forming Iron Condors. Check back a few posts for the summary I posted.
11 JAN 2010 Trading Plan The Dashboard above informs me as follows: Opportunity - Takeoffs are optional Spread #61 is unpaired. Opportunity to form an Iron Condor. Spread #69 is at 100% of it's potential profit. Opportunity to roll. Jeopardy - Landings are mandatory No spreads show excessive probability of touching. Yellow in gauge. Spreads #75 & #76 have 2 days remaining to expiration suggests caution. Yellow in gauge. Four spreads show slightly negative return. #76 is the only one for some attention because in last week of trading. New Opportunity None