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Filter Exchange · OPTIONS STRATEGY - SELLING WEEKLY PUTS
jimmyjazz
msg #118125
2/8/2014 12:03:55 PM

Trust me, I'm a piker. Just trying to learn like we all are.

I'm skeptical that the numbers will work out, but I'll look at it this Wednesday. If I look at the FebWk2 96/104 (%) SPY iron condor right now, which is admittedly only 5 days out, not 9 as you have illustrated, the reward/risk ratio is awful. (I used a difference of $2 on each spread, as you did in your example.) The $170.5/$172.5 put spread look like it might net $0.05, and the $187/$189 call spread is essentially worthless (you might get a penny).

In my view, spreads bring all kinds of frustrations. They don't reach full value until right at expiration, and it can be maddening. I continue to work my way back towards long calls and long puts with high delta (> 75%) as a proxy for a stock I am either bullish or bearish on. I can exit those trades when my exit triggers, without waiting for expiry to book my gains.

I put on an AAPL iron condor this week when the underlying was at $504. My trading system had identified AAPL as ripe for a pop, so I biased the trade for upside, selling the $500 put and the $520 call, with $2.50 spreads outside of that. AAPL did exactly as expected (partially on news), and climbed ABOVE my $520 short call by midday Friday. I got nervous having that option in the money, so I exited that side of the condor at a loss.

AAPL ended up closing just under $520. Argh. Just so frustrating.

Please update us on Wednesday so we can see what you are proposing and calculate expectations. Thanks!

Filter Exchange · OPTIONS STRATEGY - SELLING WEEKLY PUTS
jimmyjazz
msg #118114
2/7/2014 1:07:25 PM

You're proposing an iron condor on SPY at close on Wednesday that has inner prices at +/- 4% of SPY, correct? Two days later, you get a 92% or greater win rate?

The obvious question is how much greater are the losses incurred by the other 8% of trades relative to the 92% winners? If they're more than 11.5X larger, then you lose money over time, disregarding commissions & fees (which make it worse).

Filter Exchange · Daily equity data from backtest
jimmyjazz
msg #117932
1/28/2014 10:32:44 AM

Yes, I agree. My frustration with random minor issues should not be taken as overall displeasure.

Filter Exchange · OPTIONS STRATEGY - SELLING WEEKLY PUTS
jimmyjazz
msg #117931
modified
1/28/2014 10:31:13 AM

On a different note, in my experience it's not wise to trade spreads unless you're willing to hold until expiry. They are not good proxies for long or short the underlying. The greeks are largely offset (long delta + short delta = low delta, etc.). I honestly don't know if that's the REASON spreads don't seem to go in the money until the last minute, but it happens, regardless.

Filter Exchange · OPTIONS STRATEGY - SELLING WEEKLY PUTS
jimmyjazz
msg #117930
1/28/2014 10:24:00 AM

True, but this market is very "twitchy". I like to trade spreads myself, but sometimes I get frustrated with my wins that are capped. It's the old covered-call "picking up pennies in front of a steamroller" argument.

If you're good at predicting direction -- and Kevin, you are good at picking direction -- it might be a good strategy to just trade long calls and long puts when the near-term calendar of the underlying shows no events (earnings, dividends, etc.). If such an event is on the radar, trade the spread.

Filter Exchange · Daily equity data from backtest
jimmyjazz
msg #117918
1/27/2014 11:08:05 AM

It's OK, the site and service definitely has value.

Riddle me this -- how do you draw the "performance curve"? Is that not drawn as account value at the close on a daily basis?

Filter Exchange · Daily equity data from backtest
jimmyjazz
msg #117910
1/27/2014 9:56:13 AM

I stand by what I said. The single most important output of backtesting, at least for most people, is the equity curve. I can see it, but I can't have it as data, even though you provide reams of data for the individual trades.

Yes, I think it's a glaring omission. I'm very surprised nobody has asked for it -- to the point that I feel they must either have a workaround or perhaps that it exists but I'm just not seeing it.

This is a good site but I have seen many, many examples of odd and unhelpful user support. It's unfortunate.

Filter Exchange · Daily equity data from backtest
jimmyjazz
msg #117907
1/27/2014 9:21:40 AM

So I received word from Stockfetcher that this feature doesn't exist.

Seriously? It's possible to DRAW an equity curve but I can't have the data?

Somebody please tell me they've figured out an easy workaround. This is ridiculous.

Filter Exchange · Daily equity data from backtest
jimmyjazz
msg #117899
modified
1/26/2014 12:26:49 PM

That file includes multiple rows per date, and skips days, presumably when no entries or exits trigger. I just want the account value at the close every day. Not possible?

Filter Exchange · Daily equity data from backtest
jimmyjazz
msg #117897
1/26/2014 11:32:07 AM

Can somebody point me in the right direction to get the daily equity data (cash + holdings) from a backtest? I don't want it broken out on a per-trade basis, I want to see the daily progression of the simulation.

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