Ok. It is time to double the ante when playing Strategy 1.
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STRATEGY 1
1. Sell new top (about +0.5SD );
2. Take profit at 0.25SD;
3.Stop loss +1SD;
4. Play Time 2 trading days;
5. If time is due change into the option play or make it flat.
3/17/16-4/20/16 +24 points of Realized Profit
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STRATEGY 2
1. Sell new top (0.5-1SD) top ATM 30-45 DTE straddle;
2. Buy 1-2 strike OTM PUT for downside protection;
3. Take 30% of max profit.
4. Roll if unprofitable.
3/18/16-4/29/16 + 21 points
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Friday Trading
Despite the correct assumptions I was not able to start PTJ strategy. It requires more risk taking or faster reaction to 1SD price movements on 1 hour time frame.
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| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price | Net Price |
| 4/29/2016 15:28 | FUTURE | SELL | -1 | TO OPEN | /6JM6 | 16-Jun | FUTURE | 0.009391 | 0.009391 | |
| 4/29/2016 14:59 | CUSTOM | BUY | 1 | TO CLOSE | /ESM6 1/50 JUN 16 | /ESM6 | 2060 | CALL | 37.5 | 54.75 |
| BUY | 1 | TO CLOSE | /ESM6 1/50 JUN 16 | /ESM6 | 2060 | PUT | 49.75 | DEBIT | ||
| SELL | -1 | TO CLOSE | /ESM6 1/50 JUN 16 | /ESM6 | 2010 | PUT | 32.5 | |||
PTJ Strategy for SP500.
PTJ strategy is aimed to catch a mid/long term SP500 trend reversal and run the counter-trend while increasing the leverage. Unlike Strategies 1/2 it is more difficult to formulate all the rules in terms of probabilities.
Let us try anyway.
1. SP500 is making a mid/long term price extreme, i.e. > 1SD on 1-3 months time scale. Ideally it should be a new all time high.
2. A birth of the counter-trend should be watched out if a consecutive short term 1hour, 1day counter-trend sparks (>1SD) were observed.
3. The counter trend hunting starts using the minimal leverage ( 1ES contract in our case) and a stop loss at or slightly above the assumed pivot point.
4. Repeat if failed.
(Rule #3 has to be formulated using probabilities and the amount of seed money.)
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Rule#1 . I am not sure if it's a check. However PTJ is looking to counter the trend which is shown by the yellow arrow.
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Rule #2. Check.
The yellow arrows show to consecutive countertrend moves of about 1SD.
Rule #3. Tonight or tomorrow PTJ has to short 1ES contract with a stop loss around $2105.25 . The position has to be closed when a new short term low is reached and reopened again when the price will bounce back.
4/22/16 There was no chance today to short the market.
Let us try anyway.
1. SP500 is making a mid/long term price extreme, i.e. > 1SD on 1-3 months time scale. Ideally it should be a new all time high.
2. A birth of the counter-trend should be watched out if a consecutive short term 1hour, 1day counter-trend sparks (>1SD) were observed.
3. The counter trend hunting starts using the minimal leverage ( 1ES contract in our case) and a stop loss at or slightly above the assumed pivot point.
4. Repeat if failed.
(Rule #3 has to be formulated using probabilities and the amount of seed money.)
-----------------------------------------------------------------------------------------------------------------
Rule#1 . I am not sure if it's a check. However PTJ is looking to counter the trend which is shown by the yellow arrow.
Rule #2. Check.
The yellow arrows show to consecutive countertrend moves of about 1SD.
Rule #3. Tonight or tomorrow PTJ has to short 1ES contract with a stop loss around $2105.25 . The position has to be closed when a new short term low is reached and reopened again when the price will bounce back.
4/22/16 There was no chance today to short the market.
Strategy 2
Rules:
1. Sell new top (0.5-1SD) top ATM 30-45 DTE straddle;
2. Buy 1-2 strike OTM PUT for downside protection;
3. Take 30% of max profit.
4. Roll if unprofitable.
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3/18/16-4/22/16 + 21 points of Realized Profit; ~ -8 points of Unrealized Loss
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4/21/16 - 3/29/16 Chain of trades.
Violating Rule #1 is a bad approach. Let us execute Rule #4 against SP500 uptrend.
4/12/16 Rule #1 has been violated. That's because it is not a new trade. This is meant to improve
3/29/2016 entry.
4/11/16
Out with +6 points instead of +10 points. That's because the trade didn't work for 2 weeks.
I hope to reestablish this position with a better entry point.
3/29/16 Original Entry
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4/20/16 Closed on 4/22/16 +8 points
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4/13/16 Closed on 4/22/16 +1 point
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3/18/16-3/28/16 + 12 points
1. Sell new top (0.5-1SD) top ATM 30-45 DTE straddle;
2. Buy 1-2 strike OTM PUT for downside protection;
3. Take 30% of max profit.
4. Roll if unprofitable.
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3/18/16-4/22/16 + 21 points of Realized Profit; ~ -8 points of Unrealized Loss
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4/21/16 - 3/29/16 Chain of trades.
Violating Rule #1 is a bad approach. Let us execute Rule #4 against SP500 uptrend.
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price | Net Price |
| 10.0+51.0=61.0 | |||||||||
| 4/21/2016 11:44 | VERTICAL | SELL | -1 | TO OPEN | /ESM6 | 2060 | PUT | 31.5 | 11.25 |
| BUY | 1 | TO OPEN | /ESM6 | 2010 | PUT | 20.25 | CREDIT | ||
| 4/21/2016 11:43 | SINGLE | SELL | -1 | TO OPEN | /ESM6 | 2060 | CALL | 63.5 | 63.5 |
| 4/21/2016 11:39 | SINGLE | BUY | 1 | TO CLOSE | /EW4K6 | 2050 | CALL | 61.75 | 61.75 |
| 4/21/2016 11:37 | VERTICAL | BUY | 1 | TO CLOSE | /EW4K6 | 2050 | PUT | 18.25 | 3 |
| SELL | -1 | TO CLOSE | /EW4K6 | 2035 | PUT | 15.25 | DEBIT |
4/12/16 Rule #1 has been violated. That's because it is not a new trade. This is meant to improve
3/29/2016 entry.
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price | Net Price |
| 45.25+6.0=51.25 | |||||||||
| 4/12/2016 11:52 | SINGLE | BUY | 1 | TO OPEN | /EW4K6 | 2035 | PUT | 34.75 | CREDIT |
| 4/12/2016 11:47 | STRADDLE | SELL | -1 | TO OPEN | /EW4K6 | 2050 | CALL | 40.25 | |
| SELL | -1 | TO OPEN | /EW4K6 | 2050 | PUT | 39.75 |
Out with +6 points instead of +10 points. That's because the trade didn't work for 2 weeks.
I hope to reestablish this position with a better entry point.
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price | Net Price |
| 4/11/2016 15:56 | IRON CONDOR | BUY | 1 | TO CLOSE | /EWJ6 | 2045 | CALL | 21 | 24.8 |
| SELL | -1 | TO CLOSE | /EWJ6 | 2130 | CALL | 0.45 | DEBIT | ||
| BUY | 1 | TO CLOSE | /EWJ6 | 2045 | PUT | 28.25 | |||
| SELL | -1 | TO CLOSE | /EWJ6 | 2035 | PUT | 24 |
3/29/16 Original Entry
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price | Net Price |
| 3/29/2016 14:35 | IRON CONDOR | SELL | -1 | TO OPEN | /EWJ6 | 2045 | CALL | 29.5 | 31.5 |
| BUY | 1 | TO OPEN | /EWJ6 | 2130 | CALL | 1.5 | CREDIT | ||
| SELL | -1 | TO OPEN | /EWJ6 | 2045 | PUT | 29.75 | |||
| BUY | 1 | TO OPEN | /EWJ6 | 2035 | PUT | 26.25 |
4/20/16 Closed on 4/22/16 +8 points
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price | Net Price |
| 4/22/2016 9:09 | SINGLE | BUY | 1 | TO CLOSE | /EWK6 | 2100 | CALL | 22.25 | 22.25 |
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price | Net Price |
| 4/20/2016 11:41 | SINGLE | SELL | -1 | TO OPEN | /EWK6 | 2100 | CALL | 30.5 | 30.5 |
4/13/16 Closed on 4/22/16 +1 point
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price | Net Price |
| 4/22/2016 13:22 | CUSTOM | BUY | 1 | TO CLOSE | /EWK6 | 2070 | CALL | 37.5 | 49.75 |
| BUY | 1 | TO CLOSE | /EWK6 | 2070 | PUT | 29.5 | DEBIT | ||
| SELL | -1 | TO CLOSE | /EWK6 | 2025 | PUT | 17.25 |
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price | Net Price |
| 51 | |||||||||
| 4/13/2016 12:06 | STRADDLE | SELL | -1 | TO OPEN | /EWK6 | 2070 | CALL | 37.25 | CREDIT |
| SELL | -1 | TO OPEN | /EWK6 | 2070 | PUT | 37.5 | |||
| 4/13/2016 12:06 | SINGLE | BUY | 1 | TO OPEN | /EWK6 | 2025 | PUT | 23.75 |
3/18/16-3/28/16 + 12 points
Strategy I Keeps Winning Small
Rules:
1. Sell new top (about +0.5SD );
2. Take profit at 0.25SD;
3.Stop loss +1SD;
4. Play Time 2 trading days;
5. If time is due change into the option play or make it flat.
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3/17/16-4/20/16 +24 points of Realized Profits
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3/17/16-4/14/16 +20 points
3/17/16-4/4/16 +14 points ($700)
1. Sell new top (about +0.5SD );
2. Take profit at 0.25SD;
3.Stop loss +1SD;
4. Play Time 2 trading days;
5. If time is due change into the option play or make it flat.
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3/17/16-4/20/16 +24 points of Realized Profits
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| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price |
| 4/20/2016 15:39 | FUTURE | BUY | 1 | TO CLOSE | /ESM6 | 16-Jun | FUTURE | 2098.25 | |
| 4/20/2016 11:25 | FUTURE | SELL | -1 | TO OPEN | /ESM6 | 16-Jun | FUTURE | 2099.5 | |
| 4/19/2016 9:30 | FUTURE | BUY | 1 | TO CLOSE | /ESM6 | 16-Jun | FUTURE | 2092.5 | |
| 4/19/2016 3:20 | FUTURE | SELL | -1 | TO OPEN | /ESM6 | 16-Jun | FUTURE | 2093.75 | |
| 4/18/2016 16:05 | FUTURE | BUY | 1 | TO CLOSE | /ESM6 | 16-Jun | FUTURE | 2086.5 | |
| 4/18/2016 14:44 | FUTURE | SELL | -1 | TO OPEN | /ESM6 | 16-Jun | FUTURE | 2087.75 | |
| 4/18/2016 12:34 | FUTURE | BUY | 1 | TO CLOSE | /ESM6 | 16-Jun | FUTURE | 2085.5 | |
| 4/18/2016 12:31 | FUTURE | SELL | -1 | TO OPEN | /ESM6 | 16-Jun | FUTURE | 2086.75 |
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Type | Price | Net Price | Order Type |
| 4/14/2016 13:29 | FUTURE | BUY | 1 | TO CLOSE | /ESM6 | 16-Jun | FUTURE | 2078.5 | 2078.5 | LMT |
| 4/14/2016 12:27 | FUTURE | SELL | -1 | TO OPEN | /ESM6 | 16-Jun | FUTURE | 2079.75 | 2079.75 | LMT |
| 4/14/2016 9:35 | FUTURE | BUY | 1 | TO CLOSE | /ESM6 | 16-Jun | FUTURE | 2075.25 | 2075.25 | LMT |
| 4/14/2016 8:41 | FUTURE | SELL | -1 | TO OPEN | /ESM6 | 16-Jun | FUTURE | 2078.5 | 2078.5 | LMT |
| 4/13/2016 23:18 | FUTURE | BUY | 1 | TO CLOSE | /ESM6 | 16-Jun | FUTURE | 2072.75 | 2072.75 | LMT |
| 4/13/2016 15:31 | FUTURE | SELL | -1 | TO OPEN | /ESM6 | 16-Jun | FUTURE | 2075 | 2075 | LMT |
3/17/16-4/4/16 +14 points ($700)
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Price | Order Type |
| 4/4/2016 8:12 | FUTURE | BUY | 1 | TO CLOSE | /ESM6 | 16-Jun | 2067 | LMT |
| 4/4/2016 5:42 | FUTURE | SELL | -1 | TO OPEN | /ESM6 | 16-Jun | 2071.25 | LMT |
| 3/30/2016 8:26 | FUTURE | BUY | 1 | TO CLOSE | /ESM6 | 16-Jun | 2056.5 | LMT |
| 3/30/2016 6:17 | FUTURE | SELL | -1 | TO OPEN | /ESM6 | 16-Jun | 2059.75 | LMT |
| 3/18/2016 16:13 | FUTURE | BUY | 1 | TO CLOSE | /ESM6 | 16-Jun | 2037.75 | LMT |
| 3/18/2016 15:14 | FUTURE | SELL | -1 | TO OPEN | /ESM6 | 16-Jun | 2041 | LMT |
| 3/18/2016 13:36 | FUTURE | BUY | 1 | TO CLOSE | /ESM6 | 16-Jun | 2033.5 | LMT |
| 3/18/2016 9:31 | FUTURE | SELL | -1 | TO OPEN | /ESM6 | 16-Jun | 2036.75 | LMT |
| 3/17/2016 15:51 | FUTURE | BUY | 1 | TO CLOSE | /ESM6 | 16-Jun | 2033.5 | LMT |
| 3/17/2016 14:10 | FUTURE | SELL | -1 | TO OPEN | /ESM6 | 16-Jun | 2034.5 | LMT |
Strategy 2 is Under Pressure
Rules:
1. Sell new top (0.5-1SD) top ATM 30-45 DTE straddle;
2. Buy 1-2 strike OTM PUT for downside protection;
3. Take 30% of max profit.
4. Roll if unprofitable.
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4/20/16 Another Entry
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4/13/16 New entry
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4/12/16 Rule #1 has been violated. That's because it is not a new trade. This is meant to improve
3/29/2016 entry.
--------------------------------------------------------------------------------------------------------------
3/18/16-4/11/16 18 points
Out with +6 points. That's because the trade didn't work for 2 weeks.
I hope to reestablish this position with a better entry point.
In
3/18/16-3/28/16 12 points
The trade was reestablished cause /ES rallied into the close.
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3/18/16-3/24/16 11 points $520=$550 -$30 fees
1. Sell new top (0.5-1SD) top ATM 30-45 DTE straddle;
2. Buy 1-2 strike OTM PUT for downside protection;
3. Take 30% of max profit.
4. Roll if unprofitable.
--------------------------------------------------------------------------------------------------------------
4/20/16 Another Entry
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price | Net Price |
| 4/20/2016 11:41 | SINGLE | SELL | -1 | TO OPEN | /EWK6 | 2100 | CALL | 30.5 | 30.5 |
4/13/16 New entry
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price | Net Price |
| 51 | |||||||||
| 4/13/2016 12:06 | STRADDLE | SELL | -1 | TO OPEN | /EWK6 | 2070 | CALL | 37.25 | CREDIT |
| SELL | -1 | TO OPEN | /EWK6 | 2070 | PUT | 37.5 | |||
| 4/13/2016 12:06 | SINGLE | BUY | 1 | TO OPEN | /EWK6 | 2025 | PUT | 23.75 |
4/12/16 Rule #1 has been violated. That's because it is not a new trade. This is meant to improve
3/29/2016 entry.
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price | Net Price |
| 45.25 | |||||||||
| 4/12/2016 11:52 | SINGLE | BUY | 1 | TO OPEN | /EW4K6 | 2035 | PUT | 34.75 | CREDIT |
| 4/12/2016 11:47 | STRADDLE | SELL | -1 | TO OPEN | /EW4K6 | 2050 | CALL | 40.25 | |
| SELL | -1 | TO OPEN | /EW4K6 | 2050 | PUT | 39.75 |
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3/18/16-4/11/16 18 points
Out with +6 points. That's because the trade didn't work for 2 weeks.
I hope to reestablish this position with a better entry point.
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price | Net Price |
| 4/11/2016 15:56 | IRON CONDOR | BUY | 1 | TO CLOSE | /EWJ6 | 2045 | CALL | 21 | 24.8 |
| SELL | -1 | TO CLOSE | /EWJ6 | 2130 | CALL | 0.45 | DEBIT | ||
| BUY | 1 | TO CLOSE | /EWJ6 | 2045 | PUT | 28.25 | |||
| SELL | -1 | TO CLOSE | /EWJ6 | 2035 | PUT | 24 |
In
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price | Net Price |
| 3/29/2016 14:35 | IRON CONDOR | SELL | -1 | TO OPEN | /EWJ6 | 2045 | CALL | 29.5 | 31.5 |
| BUY | 1 | TO OPEN | /EWJ6 | 2130 | CALL | 1.5 | CREDIT | ||
| SELL | -1 | TO OPEN | /EWJ6 | 2045 | PUT | 29.75 | |||
| BUY | 1 | TO OPEN | /EWJ6 | 2035 | PUT | 26.25 |
3/18/16-3/28/16 12 points
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price |
| 3/28/2016 10:59 | SINGLE | BUY | 1 | TO CLOSE | /ESJ6 | 2075 | CALL | 4.15 |
The trade was reestablished cause /ES rallied into the close.
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price |
| 3/24/2016 16:10 | SINGLE | SELL | -1 | TO OPEN | /ESJ6 | 2075 | CALL | 5.5 |
3/18/16-3/24/16 11 points $520=$550 -$30 fees
| Exec Time | Spread | Side | Qty | Pos Effect | Exp | Strike | Type | Price | Net Price |
| 3/24/2016 10:18 | IRON CONDOR | BUY | 1 | TO CLOSE | /ESJ6 | 2040 | CALL | 15.25 | 20.3 |
| SELL | -1 | TO CLOSE | /ESJ6 | 2150 | CALL | 0.2 | DEBIT | ||
| BUY | 1 | TO CLOSE | /ESJ6 | 2040 | PUT | 38.75 | |||
| SELL | -1 | TO CLOSE | /ESJ6 | 2030 | PUT | 33.5 | |||
| 3/18/2016 11:34 | IRON CONDOR | SELL | -1 | TO OPEN | /ESJ6 | 2040 | CALL | 27.75 | 31.35 |
| BUY | 1 | TO OPEN | /ESJ6 | 2150 | CALL | 0.4 | CREDIT | ||
| SELL | -1 | TO OPEN | /ESJ6 | 2040 | PUT | 27.25 | |||
| BUY | 1 | TO OPEN | /ESJ6 | 2030 | PUT | 23.25 |
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