Kudos to MMs

SPX, 1348.31. FV, 1065.86. OFV, 1349.77. POFVF, 1152.32

 

02/14/2012 10:56:04 OFV = 1350.81 Buy to Open at 1347.95 Spread = 2.5

 

02/14/2012 11:58:47 OFV = 1345.12 Sell to Close SPX at 1344.84 Spread = 2.5
02/14/2012 12:13:51 OFV = 1343.64 Sell to Open at 1343.98 Spread = 0
02/14/2012 12:16:53 OFV = 1344.01 Buy to Close SPX at 1344 Spread = 1.25
02/14/2012 12:19:16 OFV = 1342.72 Sell to Open at 1344.18 Spread = 1.25
02/14/2012 12:20:28 OFV = 1343.73 Buy to Close SPX at 1343.93 Spread = 1.25
02/14/2012 12:24:42 OFV = 1342.55 Sell to Open at 1344.07 Spread = 1.25
02/14/2012 13:00:29 OFV = -923.04 Buy to Close SPX at 1345.56
02/14/2012 13:04:37 OFV = 1346.85 Buy to Open at 1345.5 Spread = 1.25
02/14/2012 13:06:59 OFV = 1345.83 Sell to Close SPX at 1345.71 Spread = 1.25
02/14/2012 13:11:07 OFV = 1346.27 Buy to Open at 1344.84 Spread = 1.25
02/14/2012 13:15:52 OFV = 1345.38 Sell to Close SPX at 1345.05 Spread = 1.25
02/14/2012 13:18:19 OFV = 1345.80 Buy to Open at 1344.38 Spread = 1.25
02/14/2012 13:21:54 OFV = 1344.42 Sell to Close SPX at 1344.12 Spread = 1.25
02/14/2012 13:23:06 OFV = 1345.34 Buy to Open at 1343.93 Spread = 1.25
02/14/2012 13:37:31 OFV = 1342.05 Sell to Close SPX at 1341.83 Spread = 1.25
02/14/2012 13:40:28 OFV = 1341.27 Sell to Open at 1342.54 Spread = 1.25
02/14/2012 14:24:31 OFV = 1340.81 Buy to Close SPX at 1340.83 Spread = 1.25
02/14/2012 14:27:49 OFV = Sell to Open at 1341.82 Spread = 1.25

 

I did not change the code to reflect the more conservative spread values based on VIX. Hence, all the trades above when VIX went over 20. The [intuitively] right curve is given in a post somewhere above.

Code:

 protected double GetSpread(Dictionary quotes)
    {
        double retVal = 0.0;
        
        double VIX = quotes["^VIX"].Item2;

        if (VIX > 25 && VIX < 30)
            retVal = .5;
        else if (VIX > 20 && VIX < 25)
            retVal = 1.25;
        else if (VIX < 20)
            retVal = 2.5;

        return retVal;
    }

I am storing all the spread timeseries to a SQL server database for later study as to what the optimal spread is empirically, based on different criteria than just VIX level.

 

02/14/2012 15:00:00 OFV = 1350.55 Buy to Close SPX at 1350.50 Spread = 2.5

 

You dropped 9 points here. Rarely do any of your trades make 9 points. Its telling you something, Nitro. The money is talking to you, but you aren't listening.

 

Ugh, I have a bug in the new code.

 

Rarely???? try never. Try loss after loss after loss after loss after loss after loss after loss after loss after loss after loss after loss after loss after loss after loss after loss with an occasional micro-win scalp thrown in.

This is as stupid as stupid gets.

 

SPX, 1352.67. FV, 1063.76. OFV, 1352.81. POFVF, 1139.63.

 

Bugs fixed. Also changed spread function to be more conservative. The last couple of days were run on faulty code. However, the results stand, since that is part of life.