Purely Mechanical Option Trading

2008 year to date attached.

 

you should be able to take all data points and backtest on futures for definitiveness. if it works there it may work on options, depending if average trade is high enough to cover the spread etc.

 

Looks outstanding, but I think everyone would like to see live calls.

 

Agreed.

That spread sheet means nothing

 

Ricty & Prevail,

You have both asked if this would work with futures.
The answer is no.
The programs are designed to look at both sides of the market
data: long & short (call and put) .....with respect to these specific formula's within the programs.

However if I had several months of historical data (open, high,
low, close) for the call and put options on the futures,
it is possible that it "might" work with the options on the futures. I say "might" because:
Operating parameters in the formula's are specifically set for call and put options with closing prices is in the 2.00 to 3.00 range.
Percentage value markers are assigned to formula programs based on 2.00 to 3.00 option values.
The most "relevant question" is,
would those percentage value markers still carry the same significance with options priced significantly higher?
In other words, does a higher priced trading vehicle create the same percentage moves within its data as a lower priced trading vehicle?

 

Well since you can be both long or short futures you can play both sides of the markets with futures.


Options on the futures are no different then options on any index unless you hold them to expiration. In that case the index options are settled into cash where as the options on the future settle into the futures.

Since options moves are primarily based on the move in the price of the underlying it should not matter what the options are on and the only thing that’s is different is the size of the contract and the simple solution to that is using more or fewer contracts.

 

The problem with live calls is:
There is almost 100,000 ET members.
If I call a trade "before" I entered it and only 1% of ETer's
attempted to enter my same "exact option strike" with the "same exact entry price" that I am using, my chance of getting an entry filled is "highly reduced." (and as Mr. Krabs would say to
SpongBob: "me money son....there goes me money!")
Seriously though, I have had a fair amount of experience with the exact thing I just mentioned above and it does reduce trade fills.

 

Do you really believe that Et'ers would rush to enter trades some anonymous poster puts on a thread with no verifiable track record? What % of ET'ers are active on the board 10%" and how many of them trade options?

Not to mention the fact if they're thinly traded options they might actually help your buys. You're not going to tax the liquidity of the market with your orders.

Looking at the depth of market in the April and May 133 calls, roughly at the money. They both have more then 1000 contracts a side just a couple pennies wide. There is plenty of liquidity there.


The may's are a dime wide about 8000 a side, you need more then that?

 

You can always make the calls right after your fill...

 

You also have to remember that 85-95k of the usernames here are merely aliases. LOL

Not that I'm interested in your method.

Just wanted to help out.