Mechanical.Trading: SP500

Showing posts with label SP500. Show all posts

Tariff War is a gift that keeps on giving

Fastest ever 60 points in my history of SP500 trading.

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Order Type
8/1/2019 13:53	FUTURE	BUY	1	TO CLOSE	/MESU19	19-Sep		FUTURE	2959.25	LMT
8/1/2019 13:53	FUTURE	BUY	1	TO CLOSE	/MESU19	19-Sep		FUTURE	2959.25	LMT
8/1/2019 13:25	FUTURE	SELL	-1	TO OPEN	/MESU19	19-Sep		FUTURE	3010	LMT
8/1/2019 12:39	FUTURE	SELL	-1	TO OPEN	/MESU19	19-Sep		FUTURE	3009.75	LMT

SPX Puts & Calls, 0 DTE (paper trade)

Paper trading SPX options is fun. Not sure I can do that for real.

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price	Order Type
5/31/2019 13:48	SINGLE	BUY	1	TO CLOSE	SPX	31-May-19	2700	PUT	0.1	0.1	LMT
5/31/2019 13:36	SINGLE	BUY	1	TO CLOSE	SPX	31-May-19	2800	CALL	0.05	0.05	LMT
5/31/2019 10:45	SINGLE	BUY	1	TO OPEN	SPX	31-May-19	2655	PUT	0.05	0.05	LMT
5/31/2019 10:03	SINGLE	SELL	-1	TO OPEN	SPX	31-May-19	2800	CALL	0.25	0.25	LMT
5/31/2019 10:03	SINGLE	SELL	-1	TO OPEN	SPX	31-May-19	2700	PUT	0.35	0.35	LMT

$3750, Algorithmic Day Trading , December 2018.

In the last month of 2018 my day trading algo collected 37.5 /ES points x 2 contracts, i.e. $3,750.00

Algorithmic Day Trading How To.

12/3/2018	-9.5
12/4/2018	69
12/6/2018	-29.5
12/7/2018	43
12/10/2018	-37.5
12/11/2018	29
12/12/2018	-16.75
12/13/2018	9.25
12/14/2018	29.25
12/17/2018	-23.25
12/18/2018	34.25
12/19/2018	0
12/20/2018	-17.25
12/21/2018	61.25
12/26/2018	-38
12/27/2018	-21.75
12/28/2018	-26
12/31/2018	-18
	37.5

+$50, /ES 11DTE naked options

12/11/18

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price	Order Type
12/11/2018 9:51	STRANGLE	BUY	1	TO CLOSE	/ESZ18 1/50 DEC 18	/ESZ18	2800	CALL	1.85	4.3	LMT
		BUY	1	TO CLOSE	/ESZ18 1/50 DEC 18	/ESZ18	2425	PUT	2.45	DEBIT

12/10/18

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price	Order Type
12/10/2018 14:29	SINGLE	SELL	-1	TO OPEN	/ESZ18 1/50 DEC 18	/ESZ18	2800	CALL	1.25	1.25	LMT
12/10/2018 14:29	SINGLE	SELL	-1	TO OPEN	/ESZ18 1/50 DEC 18	/ESZ18	2425	PUT	5	5	LMT

+$300, /ES credit spreads: flat short options

11/28/2018

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price	Order Type
11/28/2018 12:07	SINGLE	BUY	1	TO CLOSE	/ESZ18 1/50 DEC 18	/ESZ18	2500	PUT	5.5	5.5	LMT

11/13/2018

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price	Order Type
11/13/2018 7:59	SINGLE	BUY	1	TO CLOSE	/ESZ18 1/50 DEC 18	/ESZ18	2940	CALL	2.35	2.35	LMT
11/13/2018 7:59	SINGLE	SELL	-1	TO CLOSE	/ESZ18 1/50 DEC 18	/ESZ18	2300	PUT	3.5	3.5	LMT
11/9/2018
11/9/2018 14:43	SINGLE	BUY	1	TO OPEN	/ESZ18 1/50 DEC 18	/ESZ18	3040	CALL	0.6	0.6	LMT
11/9/2018 14:42	SINGLE	SELL	-1	TO OPEN	/ESZ18 1/50 DEC 18	/ESZ18	2940	CALL	3.8	3.8	LMT
11/9/2018 14:41	SINGLE	SELL	-1	TO OPEN	/ESZ18 1/50 DEC 18	/ESZ18	2500	PUT	9.5	9.5	LMT
11/9/2018 14:41	SINGLE	BUY	1	TO OPEN	/ESZ18 1/50 DEC 18	/ESZ18	2300	PUT	2.95	2.95	LMT

Day trading Octoberfest : 85 /ES points

Algorithmic Day Trading How To.

The previous period was posted here.

Starting March 2018 the algorithm made 165 /ES points per contract.

10/1/2018	-6
10/2/2018	0
10/3/2018	13.25
10/4/2018	0.25
10/5/2018	0
10/8/2018	-9
10/9/2018	-4.25
10/10/2018	81.25
10/11/2018	19.25
10/12/2018	0
10/15/2018	0
10/16/2018	27.75
10/17/2018	-23.5
10/18/2018	-15.75
10/19/2018	-16.5
10/22/2018	0
10/23/2018	-18.25
10/24/2018	46.5
10/25/2018	-10.25
10/26/2018	-43.25
10/29/2018	56.5
10/30/2018	0
10/31/2018	-13
Total:	85

+$110, EMINI naked call

expired out of the money.

The trade was posted live here and @tfo_medved.

Emini naked call

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price	Order Type
10/18/2018 10:37	SINGLE	SELL	-1	TO OPEN	/ESZ18 1/50 OCT 18 (Wk3)	/EW3V18	2835	CALL	2.3	2.3	LMT

algorithmic day trading : -15.5 /ES points

8/31/2018	-9
9/4/2018	-11.5
9/5/2018	-4.75
9/6/2018	-3
9/7/2018	-5.25
9/10/2018	2.5
9/11/2018	0
9/12/2018	-8.25
9/13/2018	0
9/14/2018	-1.75
9/17/2018	6
9/18/2018	2.75
9/19/2018	0
9/20/2018	9.75
9/21/2018	8.75
9/24/2018	-4.25
9/25/2018	1.75
9/26/2018	0
9/27/2018	0
9/28/2018	0.75
Total:	-15.5

The previous period was posted here.

Starting March 2018 the algorithm made 80 /ES points per contract.

Algorithmic Day Trading How To.

+$60, SP500 macrotrend trade

Today /ESU8 3000 Call expired OTM.
The entry was posted here.

-$600, Day Trading Algorithm

8/14/2018	4
8/15/2018	-15.75
8/16/2018	3.25
8/20/2018	-3.25
8/21/2018	-5.75
8/24/2018	4.75
8/27/2018	4.25
8/28/2018	0.5
8/30/2018	-3.5
Total:	-11.5

The previous period was posted here.

Starting March, Medved's proprietary algorithm made 95 /ES points.

+$800, Algorithmic Day Trading SP500

Recently I posted the historical statistics of SP500 daily return. It turned out that the Efficient Market Hypothesis is very close to reality in the case of SP500 day trading. Most of the time the probability of win is a randomly distributed variable and no chances for a day trader to outperform the market. However, if optimized, "cut your losses early and let your winners run" algorithm has a theoretical chance to beat the market. Keep in mind that the real working algorithm needs more ingredients.
Below are the results (in /ES points) for the past two weeks of medved's proprietary day trading robot :

8/2/2018	24
8/7/2018	0.5
8/8/2018	-4
8/9/2018	-4.25
Total:	16.25

The previous period was posted here.

short SP500 : entry #3

This is a continuation of the macro-trend trade. Rising rates and a bull market don't end up well together. The trading strategy is to sell out of the money naked call options. So far the trade produced 2 wins and 0 loss. Today I sold /ESU8 3000 Call which has 4% chance to end in the money.

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price	Order Type
8/3/2018 14:24	SINGLE	SELL	-1	TO OPEN	/ESU8 1/50 SEP 18	/ESU8	3000	CALL	1.3	1.3	LMT

+ $700 after fees, #SP500 #daytrading #algotrading

In the past two weeks, Medved's day trading algorithm generated 6 trades. The result is 15.75 points of emini futures which is slightly more than $700 USD after fees.

7/16/2018	1.75
7/20/2018	-2
7/23/2018	11
7/24/2018	-6.5
7/26/2018	-5
7/27/2018	16.5
Total:	15.75

The previous period was posted here.

SP500 $50 USD dollars, emini 2915 Call goes to heaven :1 point

I will try to renew the short position in SP500 around Amazon's earnings. The short SP500 macro-trend trade is based on the observation that in rising rate environment SP500 has a limited potential for a rapid price appreciation. The trade profits from the theta decay.

#SP500 #daytrading #algotrading : 6 points after fees

In the past week, Medved's day trading algorithm generated 5 trades. The results ( in emini futures points) are as follows:

7/9/2018	8
7/10/2018	-5.25
7/11/2018	-7.5
7/12/2018	8.25
7/13/2018	3.25
Total:	6.75

The previous period was posted here.

+$500 : #SP500 #daytrading #algotrading

Since June 21st, medved's day trading algorithm generated 5 trades. The results ( in emini futures points) are as follows:

6/25/2018	2.75
6/27/2018	-15
6/28/2018	18
6/29/2018	-11.75
7/2/2018	16.5
Total:	10.5

The previous period was posted here.

#SP500 $ES_F #daytrading #algotrading : 5 points #Solstice #Trade

Today. June 21st, medved's SP500 daytrading algorithm went short and scored 5 points The algo has generated another two trades during this week to the total profit of 15 points. The algo fully recovered the big loss. Year to date in 2018 the algorithm has generated 90 points per one emini contract.

Solstice Trade:

#SP500 2905 Call goes to heaven : 1 point

Macro works.

#SP500 option pins for OPEX r @2750

2018-06-16 opt_pin@2750.0 /ES@2792.5
2018-06-15 opt_pin@275.0 SPY@279.1
2018-06-15 opt_pin@2750.0 SPX@2787.14

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Solstice Trade: