50x200...must be on intraday data? raw data is a great way to go, I just can't figure out a way to code it lol.
at this time there is plenty of liquidity in the pit. moving 500-1000 contracts is doable. in the past only the pit was available which is why ansbacher used them.
Can't believe that thread is still going and he's started a new one selling Security Analysis for $2500 LMAO.
it sounds like you have a plan. I neglected to state in my post the -3500 is on a single contract basis of the sp pit options so the loss would be closer to 70,000 at vix 26 initially. I'm normally short puts so I'm not really interested in having a credit on the 3x2. but vega risk not withstanding the lottery ticket could help on a down move.
obviously one would have to take many things into consideration but I think the curve exhibits the overall mean reversion tendencies for the past 16 years, which was merely the point. this will not work with some other markets, eurofx etc.
Coach Could you identify the amount of Span Margin it would take to put on your trade below and the amount of Hair Cut Margin it would take; to get a comparison between the two types of account trading? I realize that the Hair Cut Margin would change day to day...but initially what would it take to put it on?
prevail, just noticed your period covered the last 16 years. Pretty significant in my opinion. When you get a chance, if not too much trouble, could you post the parameters of that counter trend system again and also the summary page outlining the drawdowns. Don't see the date range on the chart but I am guessing that some of those large drawdowns to the equity curve coincided with periods of market instability. i may have to look at tradestation again, pretty nice backtesting capabilities.
UPDATE JULY 100*200 Put Ratio Spread: BTO 100 JULY ES 1200 Puts @ 8.50 ($42,500) STO 200 JULY ES 1175 Puts @ 5.50 ($55,00) Net credit = 2.50 ($12,500) Breakeven at expiration = 1147.50 on the ES for July. CLOSED for net debit of 1.60 for profit of .90 or $4,500. Feel like the market will move lower and wanted to take profits here which is nice for 24 hours. Leaving VIX Calls to possibly profit off move lower. VIX HEDGE BTO 30 JULY VIX 20.00 Calls @ $0.75 or $2,250
An equity curve exhibits many things in many combinations You could also argue that the mean reversion shown in that curve is a system that performed great during the boom, and has since reverted to the mean. I don't mean to be picky, but an equity curve is really the final product of a whole trading system. You are looking for input on a possible entry signal that you are testing. The problem is that equity curve = $$, and people can get distracted by a green line going up at 45 degrees. What you really want is a discussion of your countertrend entry signal. So I would recommend sticking to that and keeping the equity curve off the table for now Even saying "70% win/loss" is problematic, since w/l is controlled more by the exit than the entry; and you're not discussing exits. I'm certainly not saying you can't use TS to test your idea. But jumping straight to the equity curve can be very misleading. Trust me...I've led myself down the wrong path many a time