In order to gain some new experience in a new year, I would like to play some forward tests with weekly signals on ES futures using collar strategy. Backtesting with historical signals has been done for a period of several years. I just found this old and interesting thread below about collars. http://www.elitetrader.com/vb/showt...4368&perpage=6&highlight=collars&pagenumber=1
if you don't mind more questions...are you buying and selling the ES cash or are you doing Futures options? If futures options what is the price? If it is just the cash then how is this a straddle/strangle/collar strat it just looks like buying and selling the ES..thanks
Please bear with me for this play of es, and take it easy. The price 1286.50 was an ES futures March2011 price. The price for its futures options for Feb2011 1285 Call was sold at 21.47.
There are many different structures of Collar strategy that I am currently exploring: - Long UL, Sell ATM put & Buy OTM call; - Long UL, Sell ATM call & Buy OTM put; - Long UL, Sell OTM call & Buy ATM put; - Long UL, Sell OTM call & Buy OTM put; - Long UL, Sell OTM calll & Buy ITM put; - Long 100% UL, Sell 50% OTM call & Buy 100% OTM put; - etc; You can pick whichever collar strategy (and your preferred strike prices) you like.