Without too much detail, can you describe the method you use and the time frame of the trades please? I wasn't a member of the glorious ET site for your first thread.
My stops vary from -22% to -40% depending on: 1: Signal type (Strong, Neutral, or Weak). 2: Trend (is the trade with the "Mathematical Trend" or "Contra" to the Trend). 3: Trend age (when a signal is trading with the Mathematical Trend is the trend New, Old, or somewhere in the Middle). I have to know how much option price drawdown can occur within the SPY etf when 1, 2, & 3 above are plugged into the equation. These drawdown figure can only be accurately arrived at based on several hundred trades over several years of back-testing and forward testing with real cash. Jeff
Lets take a real example of the data and program outs that resulted in the 10/3/2012 winning call trade: (this data is from the evening of 10/2/2012 to determine a trade for 10/3/2012) SIG DATE..OPTION.....PREV...OPEN..HIGH..LOW...CLOSE 10-02 OCT143C..2.58...2.89...3.00...2.24....2.59 2012..OCT146P...2.57...2.20...2.85...2.05....2.22 ..........OCT144C..1.94...2.27...2.36...1.62....2.02 ..........OCT145P...2.02...1.70...2.26...1.57...1.73 TREND COUNTER: CALL SEQ 2 3 DAY TREND..CALL=13-26-4=L2......PUT=19-12-30=L4 3 DAY DECISION OCT144 CALL: BUY LIMIT=1.74..SELL LIMIT=2.24..STOP=1.21 ------------------------------------------------------------- 9 DAY TREND: CALL=34-59-43=L3....PUT=58-43-61=L4 9 DAY DECISION: OCT146 PUT: BUY LIMIT=1.65..SELL LIMIT=2.15..STOP=1.05 There is 3 mathematical formula's integrated into a computer program: The formula's are looking at each option's previous close, open, high, low and today's close. 1: One formula derives an overall Math Trend from that data and is basically a trend counter...example, Call Sequence: 1..2...3...etc.. or Put Sequence: 1...2...3...etc. 2: Another formula is looking at the 3 day math trend (over the last 3 days) in a different way with the possibility of trading with the trend, or contra (opposite) to that that trend, or none. 3: And still another formula is looking at the 9 day math trend and looks for the age of the trend, strength or weakness of trend, and ultimately decides to trade with the math trend, or contra, or none. Jeff
I placed the following trade today with automated IB bracket order (Buy Limit / Sell Limit / Stop): SPY OCT 148 Put Buy Limit = 1.80 Sell Limit = 2.25 Stop = 1.08 (Note: this trade could end up with a Buy No. 2) Jeff
The program listed 2 buys for today's put trade which indicates I am buying into to weakness (contra). Here is the other buy (Buy No. 2): SPY OCT 148 Put Buy 2: 1.36 Sell Limit: 1.90 Stop: 1.08 Jeff
Just learned I have a family emergency and have to drive to Spokane Washington (from Missoula Montana) right now. I won't be able to manage this trade for Buy No. 2, so I just closed the trade at breakeven. I am taking off for Spokane. Have a good weekend, Jeff
I placed the following automated brackets orders: [Trade 1 ] SPY NOV 146 CALL BUY LIMIT: 2.05 SELL LIMIT: 2.70 STOP: 1.41 ----------------------------------------------------------------- [Trade 2 ] SPY NOV 146 PUT BUY LIMIT: 1.65 SELL LIMIT: 2.15 STOP: 1.15 Jeff
10-11-12 Placed a Bracket order: SPY NOV 144 CALL BUY LIMIT: 1.98 SELL LIMIT: 3.96 STOP: 1.35 ___________________________________________________ Update of "filled" Bracket orders (Buy Limit / Sell Limit / Stop / in an automated order): 10-02-12 08:26 AM SPY OCT 146 Puts Buy Limit = 2.05 Sell Limit = 2.56 (+25%) Stop = 1.41 The put trade filled and won on the first day (10/2/2012). -------------------------------------------------------------------------------- 10-03-12 07:30 AM [Trade No. 1] SPY OCT 144 Call Buy Limit = 1.74 Sell Limit = 2.24 (+28%) Stop = 1.21 The call trade filled and won on the first day (10/3/2012). ---------------------------------------------------------------------------------- 10-05-12 06:46 AM SPY OCT 148 Put Buy Limit = 1.80 Sell Limit = 1.80 (0%) Stop = 1.08 Important Note: I had to leave the the state immediately with an emergency, so I closed the trade at break-even. ---------------------------------------------------------------------------------- 10/9/2012: SPY NOV 146 CALL BUY LIMIT = 2.05 SELL LIMIT = 2.70 STOP = 1.40 (-32%) The call trade filled on Day 1 and Stopped on Day 2 (10/10/2012). --------------------------------------------------------------------------------- 10-10-12 SPY NOV 145 CALL BUY LIMIT: 1.78 SELL LIMIT: 3.56 STOP: 1.07 "OPEN POSITION" Jeff
Closed a few trades today on time limit, so here's an October update on filled and closed bracket orders: 10-02-12 08:26 AM SPY OCT 146 Puts Buy Limit = 2.05 Sell Limit = 2.56 (+25%) Stop = 1.41 Closed trade on 10/2/2012: +25% -------------------------------------------------------------------------------- 10-03-12 07:30 AM [Trade No. 1] SPY OCT 144 Call Buy Limit = 1.74 Sell Limit = 2.24 (+28%) Stop = 1.21 Closed Trade on 10/3/2012: +28% ---------------------------------------------------------------------------------- 10-05-12 06:46 AM SPY OCT 148 Put Buy Limit = 1.80 Sell Limit = 1.80 (0%) Stop = 1.08 Closed trade on 10/5/2012: 0% ---------------------------------------------------------------------------------- 10/9/2012: SPY NOV 146 CALL BUY LIMIT = 2.05 SELL LIMIT = 2.70 STOP = 1.40 (-32%) Closed trade on 10/10/2012: -32% --------------------------------------------------------------------------------- 10-10-12 SPY NOV 145 CALL BUY LIMIT: 1.78 SELL LIMIT: 2.90 (+62%) STOP: 1.07 Closed trade on 10/17/2012: +62% ---------------------------------------------------------------------------------- 10-11-12 Placed a Bracket order: SPY NOV 144 CALL BUY LIMIT: 1.98 SELL LIMIT: 3.60 (+81%) STOP: 1.35 Closed trade on 10/17/2012: +81% Jeff
Bracket Orders placed today (Trade No. 1 just filled): [ Trade No. 1 ] SPY NOV146P Buy Limit: 2.06 Sell Limit: 2.68 Stop: 1.24 [ Trade No. 2 ] SPY NOV147P Buy Limit: 1.70 Sell Limit: 2.40 Stop: 1.41 Note: If Trade No. 2 fills and hits the sell limit, Trade No. 1 must be sold when Trade No. 2 hits that sell limit. Jeff