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Kim

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1 hour ago, pboongird said:

The new batch of signals come out every Friday between 8:30-11:00am EST, so, in my view, it's probably best to do it on the same day, around the same time to avoid confusion on which strikes to buy (in case the underlying price is moving away from the official trade examples). In addition, we should close all the trades before taking on the new trades. Hence, I would say the best schedule would be to have a couple hours on Friday Morning EST to close and then open all the positions every week.

Yes, each future options has slightly different trading hours. Most commodity products' trading hours start Sunday evening and close Friday afternoon. I have the summary of trading timetable in the post below.

Hope this helps.

also, all trading hours are listed in the individual asset threads: 

 

 

Edited by RapperT

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50 minutes ago, ales19 said:

Again I found it a bit hard to identify which options to select for some of the commodities, basically the ICE ones (KC and SB) as for the others live pricing helped me confirm which where the correct ones to select almost straight away.

I think we can work on our format for posting the trades.  There is a time constraint with this many trades all at once but your suggestion on the text piece might work.

On selection I really think you're better off targeting the delta we post rather than trying to get our strikes.  I know that seems strange but we're really trying to get a set amount of exposure to each contract by buying the right amount of delta.  So if it moves fast in the morning you may want to buy a different strike than us so you're risk is in line with the system.  This week was a great example of why that is important.  We had a lot of trades lose but none lost more than our targeted risk per trade.  We achieved that through the delta target.  You'll also notice that our target deltas for a number of contracts dropped significantly this week due to the spike in volatility.  That is our risk system throttling us back due to the greater risk right now.

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1 hour ago, ales19 said:

@RapperT @Jjapp Sorry to harp on about this, but I promise this is the last time I will bring this up... at least for this week :D

 

Again I found it a bit hard to identify which options to select for some of the commodities, basically the ICE ones (KC and SB) as for the others live pricing helped me confirm which where the correct ones to select almost straight away.

 

I would like to draw your attention to week 4's SB alert. The alert stated "Sugar (SB):  UP       -       Bought 1 May/May .13 call at .0055". When I went to look for the correct option I could actually not find anything that pointed to such a combination, the closest were the April'19 (which was the correct one) and May'19 options however as you can see from the attached screen captures neither of them had a May/May combination.

 

Screen shots for each trade would be nice (they also eliminate typos and human error), but I understand that in the interest of time you may not be able to get nicely edited screenshots for each alert. However, maybe a text indicating which option you are picking on IB would help?

Basically something like:

Sugar (SB):  UP

Bought 1 May/May .13 call at .0055   [IB: Apr'19]

Total debit of $616.00

 

I think this will save you time down the track once you go live as new subscribers may bombard you with clarification requests on which option to buy if they are not sure?

Anyway, just my two cents, If I am the only one too slow to get which is the right option then pretend I didn't say anything and I will go back to my corner :D

 

Screenshot from 2019-01-12 23-04-55.png

Screenshot from 2019-01-12 23-06-38.png

Sugar was a typo, it's march/may.  There is only one option chain:

 

image.png

 

We will always (100% of the time) go as close to 37 days without going shorter.

 

The screen shots in trade log dont reflect the actual option expiry.  IM not sure why, I used livevol exclusively (which also gives me an IB account) until i started trading future options more recently.   If there is a different way to screen shot the trades with a timestamp (auditing purposes) that reflects Mar/may I'm happy to use that.

 

IB platform is one of the worst ive ever used but the access to various markets and commissions cant be beat.

 

 

Edited by RapperT

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13 minutes ago, Jjapp said:

On selection I really think you're better off targeting the delta we post rather than trying to get our strikes.  I know that seems strange but we're really trying to get a set amount of exposure to each contract by buying the right amount of delta.  So if it moves fast in the morning you may want to buy a different strike than us so you're risk is in line with the system.

Valid point, however this would be mainly applicable if people do not follow the alert straight away and e.g. trade a few hours later I would assume?

15 minutes ago, Jjapp said:

That is our risk system throttling us back due to the greater risk right now. 

Like it!

10 minutes ago, RapperT said:

Sugar was a typo, it's march/may.

Aha, my point exactly :D

21 minutes ago, RapperT said:

We will always (100% of the time) go as close to 37 days without going shorter. 

I have never seen/used that page you took a screen capture of just now, how do you get to it? it makes it a lot easier to find the options through that screen (which, you may have guessed it, is not the one I was using, because yeah, there are 15 different ways to do things in IB and none of them are consistent). maybe when you have time you can post a small tutorial of how you select your options in IB?

 

25 minutes ago, RapperT said:

If there is a different way to screen short the trades with a timestamp (auditing purposes) that reflects Mar/may I'm happy to use that.

sadly not that I know of, I just went through adding a whole bunch of columns on my SF page on IB's TWS and none of them shows the underlying's true info. short than double clicking on the option line and displaying that table I attached to my earlier post there seems to be nothing else. or just that text thing I mentioned but that may also cause confusion. I suspect there is no good way to tackle this.

26 minutes ago, RapperT said:

IB platform is one of the worst ive ever used but the access to various markets and commissions cant be beat.

worse than their "support" desk and their idiotic margin call/liquidation rules? :D

but yes, for pricing and market breadth re futures they are hard to beat.

 

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1 minute ago, ales19 said:

I have never seen/used that page you took a screen capture of just now, how do you get to it? it makes it a lot easier to find the options through that screen (which, you may have guessed it, is not the one I was using, because yeah, there are 15 different ways to do things in IB and none of them are consistent). maybe when you have time you can post a small tutorial of how you select your options in IB?

 

 

By george we've solved it!  on main screen screen just go:  new window > option trader (under options tools)

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12 minutes ago, RapperT said:

By george we've solved it!  on main screen screen just go:  new window > option trader (under options tools)

ok, so on IB's TWS it is:

Select Trading Tools menu -> select Option Trader sub-menu -> type in futures code (e.g. SB) in the top left corner of the new window that opens -> select "Continuous" from the pop-up -> on the tabs in the "Option Chains" section choose tab with the expiry closest to 37 days but not less than 37 days (month combo you post on the alert) to display the appropriate option chain -> select the option with the appropriate Delta as per the updated table for the week (this is the only step where 25k and 50k portfolios differ)

Edited by ales19

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15 minutes ago, ales19 said:

Valid point, however this would be mainly applicable if people do not follow the alert straight away and e.g. trade a few hours later I would assume?

 

actually we can see very quick moves on these. I would always confirm its the appropriate delta versus same strike

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1 minute ago, RapperT said:

actually we can see very quick moves on these. I would always confirm its the appropriate delta versus same strike

right, well now that I know where to find the info it shouldn't be too hard :D

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3 minutes ago, RapperT said:

i havent.  anyone else?  We are paying for the data on IB

Thanks for following up. On the $25k account the annual cost for that data is 5.8% if I've done my math correctly, so definitely quite significant.

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Just now, ex3y7s said:

Thanks for following up. On the $25k account the annual cost for that data is 5.8% if I've done my math correctly, so definitely quite significant.

well we are going to add more CME contracts for sure.  Nice thing about coffee and sugar is the lack of correlation but john and I are discussing now.  If we have enough contracts you can not trade the ICE contracts.

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37 minutes ago, Kim said:

IB shows delayed data for those futures (unlike TOS) so you can trade them even without real time data.

Great point! I didn't realize they also provide delayed options data, so certainly we can use that coupled with the underlying price movement (which is available in realtime outside of IB) and the gamma to get an idea how much the delta may have changed between the alert timing and the time we are placing the trade.

 

I've also noticed @RapperT seems to do a very good job posting each trade as he enters (as opposed to all at once), so if one is able to follow closely each Friday the time delay should be very small.

 

Side-note: does anyone know if IB's "Time & Sales" data is accurate on these instruments? I spot checked SB and KC and it's showing just one and two contracts, respectively, traded all day, for each of the options for Friday's entries. The open interest numbers seem reasonable.

Edited by ex3y7s

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Hey everyone,

I'm on the road but we'll have the updated trade stats and some commentary tomorrow.  Today was classic trend following though...after a week of a slow steady bleeding we made most of it back in a couple of hours on a couple of big moves.  We also let a few trades ride based on their delta and time to expiry.

 

I'll get the stats out late tonight or tomorrow.

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Trade stats from last week are up here: 

https://steadyoptions.com/forums/forum/topic/5083-trade-statistics-and-weekly-summaries/?do=findComment&comment=117168

 

 These stats only include closed trades.  We still have half of the trades from that week open due to the fact they basically didn't move, and still had the right delta exposure.  So the losers got closed and the rest ran.  We'll update the results once we close those trades.

 

I stopped officially reporting on the 50K portfolio for two reasons.  First, it was becoming less and less apples to apples as I add contracts there etc.  Second, based on a bunch of things I'm allocating more capital to this system.  It won't be a 50K portfolio anymore.  I'm happy to share results less frequently where I can take the time to fully explain the differences.

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59 minutes ago, Jjapp said:

Trade stats from last week are up here: 

https://steadyoptions.com/forums/forum/topic/5083-trade-statistics-and-weekly-summaries/?do=findComment&comment=117168

 

 These stats only include closed trades.  We still have half of the trades from that week open due to the fact they basically didn't move, and still had the right delta exposure.  So the losers got closed and the rest ran.  We'll update the results once we close those trades.

 

I stopped officially reporting on the 50K portfolio for two reasons.  First, it was becoming less and less apples to apples as I add contracts there etc.  Second, based on a bunch of things I'm allocating more capital to this system.  It won't be a 50K portfolio anymore.  I'm happy to share results less frequently where I can take the time to fully explain the differences.

@Jjapp, you mean you are allocating more to the 50k portfolio ? And also adding more contracts ?

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12 minutes ago, Manish71 said:

you mean you are allocating more to the 50k portfolio ? And also adding more contracts ?

Yes.  We will still trade a 25k portfolio for SO.  The 50k was something I did as a walk forward test and now I'm adding more capital to the system for my personal account.  

 

 

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2 minutes ago, Jjapp said:

Yes.  We will still trade a 25k portfolio for SO.  The 50k was something I did as a walk forward test and now I'm adding more capital to the system for my personal account.  

 

 

@Jjapp, ok. Will you be adding new contracts to 25k portfolio since there are restrictions by brokers to trade Sugar, Coffee etc ?

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34 minutes ago, Manish71 said:

Will you be adding new contracts to 25k portfolio since there are restrictions by brokers to trade Sugar, Coffee etc ?

Yes.  We added wheat and soybeans two weeks ago.  We will continue adding more.

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Wheat, Coffee, and SUgar are all still open from previous weeks.

 

Choppy week, no real trends.  While not ideal, it's certainly better than the quick reversals we experienced a few weeks back that really hurt trend systems including ours.

 

Top Traders Unplugged now has  a weekly episode called "The Systematic Investor Series"  with traders from some of the most successful shops out there.  I find it interesting as they discuss their winners and losers and whats going on in the market trend wise.  For the most part, our system is tracking at least 2 of the 3 host's systems very closely (not sure about Larson who works for Dunn as he is the host of the show so doesnt do quite as much talking)  to start 2019.  I really recommend checking it out:

 

https://www.toptradersunplugged.com/category/systematic-investor/

 

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On 1/5/2019 at 10:43 AM, Kim said:

 

  1. Roll on Friday if the trend changed or the position size /deltas is out of range.
  2. Roll anytime after the trade value doubled (or tripled, or increased by 50% - has to be decided) to keep the position size in range.
  3. Don't roll till the trend has changed, or expiration becomes too close (4-6 weeks? or whatever you decide, to minimize the theta effect).

As you can see we have started less frequent re balancing when the signal for a contract has not changed from one week to another.  So far we are basically doing something similar to Kim's 1st and 3rd suggestions.  This will reduce impact of commissions and slippage and make it little less time consuming each friday.

 

One note though, because we will most often only be closing after 1 week if the signal has changed, this may affect our win/loss % in the short term.  SO it may take a couple months for the system to revert to its expected performance or something close to it.  Obviously market conditions can impact this too, but it's worth mentioning.

Rebalancing after 1 week due to a monster winner would be nice too, but we know these happen less frequently (see histogram posted earlier in thread).  These tail event type wins will happen when something starts trending.  It's been a tough start to the year for CTAs all across the board.

Edited by RapperT

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nice week for gold with 120% win, we kept most positions open but  turned out to be a solid after a few tougher ones in a row.

 

Also, if the time factor was proving too much of a hassle, the process of placing trades got a lot less tiresome now as were now keeping some positions open week to week per the post above.  As it stands now last week was about $250 on the upside but many positions are still open.

Edited by RapperT

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Hi,

since we are not rolling all positions every week, it is difficult to take stock of weekly gains/losses and reconcile to you to check if we are doing everything right.

Is there a way for you to publish the exact performance of each commodity over, let’s say, Friday BOD to Thursday EOD for $25k allocation based on IB statement (if you trade with IB)?

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Related question: since many positions are kept open week to week, how should one start this service from a blank slate? Simply buy both the portfolio's new positions and any existing ones when the Friday trades are made?

 

I assume doing differently and "scaling in" by only adding positions in each market as new trades are put on for the underlying would defeat the entire purpose of trend following.

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7 hours ago, ex3y7s said:

Related question: since many positions are kept open week to week, how should one start this service from a blank slate? Simply buy both the portfolio's new positions and any existing ones when the Friday trades are made?

 

I assume doing differently and "scaling in" by only adding positions in each market as new trades are put on for the underlying would defeat the entire purpose of trend following.

Hi,

We post all signals and the appropriate deltas every week.  If you’re just starting to trade the system, just place 8 ( current number of contracts) new trades on Friday using the deltas we identify for either a 25k or 50k portfolio.  

 

 

The only reason we aren’t placing new trades for some contracts is that the signal is the same as the previous week, the expiration is still greater than 37 days, and the delta of current position is approximately the same as the delta for the current weeks signal. This helps us avoid commission and slippage.

Edited by RapperT

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14 hours ago, smorgoun said:

Hi,

since we are not rolling all positions every week, it is difficult to take stock of weekly gains/losses and reconcile to you to check if we are doing everything right.

Is there a way for you to publish the exact performance of each commodity over, let’s say, Friday BOD to Thursday EOD for $25k allocation based on IB statement (if you trade with IB)?

I’m happy to post unrealized gain or loss for any  position we keep open if it will help.

keep in mind these contacts can all move really quickly so whatever I post in the am may not apply whenever you’re seeing the post.

 

 

the summary posts in the trades forum will include all closed trades for the week as well as YTD performance and some basic stats for the system.

Edited by RapperT

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I thought people might be interested in this pivot of my trade profits and losses by ticker trading the system since August.

 

image.png

 

 

I started trading ES right around Christmas which was about the absolute worst time to start (the trend down broke that week and its been ripping up).  I was short most of that time which would have been ok if I had been trading it for several months. 

 

Crude oil is obviously still the big winner even after a bit of whipsawing the last few weeks. 

 

Some of these contracts have only been trading about a month to 6 weeks so I would take the size of wins and losses with a huge grain of salt. 

 

We're looking at adding either another energy future or a metals future soon to balance out some of the heavy allocation to grains.

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21 minutes ago, Jjapp said:

I thought people might be interested in this pivot of my trade profits and losses by ticker trading the system since August.

 

image.png

 

 

I started trading ES right around Christmas which was about the absolute worst time to start (the trend down broke that week and its been ripping up).  I was short most of that time which would have been ok if I had been trading it for several months. 

 

Crude oil is obviously still the big winner even after a bit of whipsawing the last few weeks. 

 

Some of these contracts have only been trading about a month to 6 weeks so I would take the size of wins and losses with a huge grain of salt. 

 

We're looking at adding either another energy future or a metals future soon to balance out some of the heavy allocation to grains.

Is this for the $25k portfolio ?

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23 hours ago, Jjapp said:

I thought people might be interested in this pivot of my trade profits and losses by ticker trading the system since August.

 

image.png

 

 

I started trading ES right around Christmas which was about the absolute worst time to start (the trend down broke that week and its been ripping up).  I was short most of that time which would have been ok if I had been trading it for several months. 

 

Crude oil is obviously still the big winner even after a bit of whipsawing the last few weeks. 

 

Some of these contracts have only been trading about a month to 6 weeks so I would take the size of wins and losses with a huge grain of salt. 

 

We're looking at adding either another energy future or a metals future soon to balance out some of the heavy allocation to grains.

In the Statistics and Summary page it shows a loss:

 

Total Gain/Loss to date: -8.29%/-$2073

 

So what is the above $3,602 gain for ?

 

Thanks.

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We are adding Natural Gas and Lumber for this week.  This will help us diversify more and help offset our larger exposure to grains. 

 

Lumber is more thinly traded than the rest of the contracts in the system but this shouldn't be an issue for what we are doing.  I added discussion topics for both.

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On 2/8/2019 at 8:41 PM, RapperT said:

Trades posted.  Last week was a choppy one with most of signals staying the same.  Markets arent trending much right now

@RapperT, @Jjapp, is it possible for markets in grains, oil, gold, commodities etc. to remain non-trending for extended periods which will be bad for the overall TF portfolio ?

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1 hour ago, Manish71 said:

@RapperT, @Jjapp, is it possible for markets in grains, oil, gold, commodities etc. to remain non-trending for extended periods which will be bad for the overall TF portfolio ?

good question and yes is the answer...but if you read through the articles in the resource thread you will see that its very unusual for all markets to remain choppy for an extended period of time.  Last week, for example, our gains in coffee covered the losses in the AGs

 

This is why we diversify.  Adding lumber and Nat gas will help offset our exposure to grains.  Historically though the grains trend well and we want exposure to those markets.

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2 minutes ago, RapperT said:

Lumber is out..too thin.

 

Adding bonds for next week

no currency pairs yet?

 

also, if possible, can you keep either the entry price or the capital outlay of the positions we do not roll (i.e. keep open)

Edited by ales19

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21 minutes ago, ales19 said:

no currency pairs yet?

 

also, if possible, can you keep either the entry price or the capital outlay of the positions we do not roll (i.e. keep open)

not yet, and yes I can do that

Edited by RapperT

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6 minutes ago, RapperT said:

not yet, and yes I can do that

thanks, it just makes it a bit easier to keep track of how we are doing at a glance when closing

 

as for currencies, i just asked because you mentioned lumber being too thinly traded and figured there should be no such problem on any of the major FX pairs :)

 

By the way, which bonds do you plan using? (as in which duration)

Edited by ales19

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2 minutes ago, ales19 said:

thanks, it just makes it a bit easier to keep track of how we are doing at a glance when closing

 

as for currencies, i just asked because you mentioned lumber being too thinly traded and figured there should be no such problem on any of the major FX pairs :)

the more contracts the better, but we need to keep everything right sized for a 25k portfolio which is where the challenge comes in

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Just now, RapperT said:

the more contracts the better, but we need to keep everything right sized for a 25k portfolio which is where the challenge comes in

right, fair enough. I guess you could reinstate the 50k portfolio with a wider range of underlyings somewhere down the track but it is probably best to focus on one thing at a time for now

 

By the way, which bonds do you plan using? (as in which duration)

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Quick question: why are the ZC and ZS being traded on the December underlying futures contracts (i.e. "new crop": the OCD chain instead of OZC for corn). The open interest on the "old crop" (OZC, OZS) is orders of magnitude higher it seems. Disclaimer: I have zero prior experience with commodity options.

 

APR OZS/MAY OZS OI in the thousands fr many strikes:

image.png

 

APR/NOV OSD OI much lower (this is what SteadyFutures seems to be trading):

image.png

Edited by ex3y7s

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Just now, RapperT said:

@ex3y7s it’s a good point.  Even though we are trading one lots in the SF portfolio it certainly makes sense to trade the most liquid contracts.

@RapperT I would imagine it should depend on which expiration month of the ZS and ZW contracts are being used to predict the trend? How does that rolling over process work?

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13 minutes ago, ex3y7s said:

@RapperT I would imagine it should depend on which expiration month of the ZS and ZW contracts are being used to predict the trend? How does that rolling over process work?

We actually use multiple expirations merged together and backwards adjusted to account for rolls etc.  Otherwise we would run into issues with contract price jumps etc when looking at the time series.

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