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Kim

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2 minutes ago, Jjapp said:

KC was one of those weird IB things where it stopped treating my position as a spread randomly.  I think it is just a software glitch with them but I've had it happen more than once.  I am running their linux version of TWS though so I think I sometimes see more bugs than people on other OSs.

 I started using the spreads a couple of weeks before we made the transition.  We've been trying to just let most of the old positions trade off like normal and then reposition them with spreads for the new trade.  Gold was one where it made sense to roll early just from an administrative standpoint. 

 

Thanks for the update! I've noticed a bunch of weird stuff with KC as well: the bid/ask spreads tend to also be really wide, etc.. I assumed some of it was because I don't have market permissions for the ICE contracts so I trade off delayed data, but maybe it's a TWS issue or simply the ICE feed/order book is not as good as some of the other exchanges.

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1 hour ago, ex3y7s said:

What new positions were opened for ZS, ZN, and ZC? I see the closing alert but no alert for opening new positions. Are they no longer part of the strategy?

Bump. Sorry to be bothersome but I know some of these markets close early or have very little volume by the afternoons so if there are new positions to open for these underlyings I'm hoping to have a chance to address that. Thanks!

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Sorry...I was away from my desk.  We need to open new positions in the grains but I'm having issues getting bid asks from TWS.  If I can't get good quotes we might need to hold off on the trades but I'm hoping the reboot takes care of the issue.  I'm logging back in to check on it now. 

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My expectation right now is that we'll skip this week on the new grain trades due to the bid ask issue.  If someone wants to trade it you have the deltas in the signal.  I'm a bit leery of placing a trade when I can't get decent bid/ask data.  I've had this happen before with the options when the ~35 DTE are still trading heavily and the ~60DTE haven't really picked up yet. 

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On 7/19/2019 at 1:39 PM, Jjapp said:

My expectation right now is that we'll skip this week on the new grain trades due to the bid ask issue.  If someone wants to trade it you have the deltas in the signal.  I'm a bit leery of placing a trade when I can't get decent bid/ask data.  I've had this happen before with the options when the ~35 DTE are still trading heavily and the ~60DTE haven't really picked up yet. 

Any plans for this morning/week or will we wait until there is volume in an appropriate expiration?

 

Edit: sorry I didn't read carefully enough/mistook "skip this week" to mean "not place the trades (last) Friday".

Edited by ex3y7s

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4 hours ago, ex3y7s said:

Any plans for this morning/week or will we wait until there is volume in an appropriate expiration?

 

Edit: sorry I didn't read carefully enough/mistook "skip this week" to mean "not place the trades (last) Friday". 

Yeah...sorry for the late response.  I'm on the road for work right now so responses are delayed.  I'll wait to Friday for the grains trades.

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On 7/22/2019 at 2:36 PM, Jjapp said:

Yeah...sorry for the late response.  I'm on the road for work right now so responses are delayed.  I'll wait to Friday for the grains trades.

Are we opening ZS and ZC trades today as well, or just ZW?

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We're positioned really well for the moves happening this morning.  One thing to keep an eye on with the spreads is max upside and where we're at at any given time.  I'm personally checking the position delta on mobile to make sure we haven't moved far enough where our gains are all baked in.

 

I'm traveling and will do my best to call this out if I see something but if you're following the system watch your positions.  We could reach a point where closing the position for a gain or rolling to new strikes could make a lot of sense.

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Just an update...I'm still keeping an eye on the price moves.  Gold and bonds are running well and the e-mini short position gave a little back but is still up overall.  

 

I'll try and put some thoughts together on strategy diversification, risk etc next week (I'll be on vacation and should have time to write a bit).  If you've heard trend following called crisis alpha this week is an example of why.

 

 

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We're now almost two months into the change to the system where we trade atm spreads instead of going out of the money to get the appropriate delta.  Since making the change the system has had 21 trades close as winners out of 31 total opened in July and August.  That is probably a bit better than normal (August has been an amazing month) but we're seeing our signals and trade results more accurately track each other.

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In July we made a switch to how we managed signals from the strategy.  We didn't change the signal generation but we changed how we traded them.  We were dealing with problems where even when we got the direction right we often lost money due to how far out of the money we had to trade the options to avoid taking too much risk.  In July we decided to trade at the money options and then spread them to get our risk to the right size.  So the long option was always at the money and the short was placed to reduce our delta exposure to the correct level.  Since that change we've had a 64% win rate versus 45% before the change.  Granted, it was also a great couple of months for trend following in that time but the early results are promising.

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3 minutes ago, didilzd said:

Hi, as a new comer to the forum, can you explain how to read the trade spreadsheet? For example, at Week 42, 4 Oct 2019, the post didn't mentioned ZN, but you traded ZN. Thank you!

We rolled ZN to keep the long option at the money.  It had moved into the money and we were rebalancing.  Hope that makes sense.

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1 minute ago, Jjapp said:

We rolled ZN to keep the long option at the money.  It had moved into the money and we were rebalancing.  Hope that makes sense.

Thank you! This makes perfect sense. But as a new comer, how (or where) do I find the current open positions? Do I need to go back to previous weeks to check what positions were open back then?

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30 minutes ago, didilzd said:

Thank you! This makes perfect sense. But as a new comer, how (or where) do I find the current open positions? Do I need to go back to previous weeks to check what positions were open back then?

That's a valid point. Maybe it makes sense to post all trades on the week they are executed, even when it's a roll/rebalancing? This way all open trades are under the same topic.

As a side note, SF is now a paid service, and starting Sunday, access will be restricted to paying members only.

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1 hour ago, didilzd said:

Hi, as a new comer to the forum, can you explain how to read the trade spreadsheet? For example, at Week 42, 4 Oct 2019, the post didn't mentioned ZN, but you traded ZN. Thank you!

It’s on the spreadsheet as TY.  We can change that.

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37 minutes ago, Kim said:

That's a valid point. Maybe it makes sense to post all trades on the week they are executed, even when it's a roll/rebalancing? This way all open trades are under the same topic.

As a side note, SF is now a paid service, and starting Sunday, access will be restricted to paying members only.

I can do that if members prefer that.   Obviously it would be quicker for me too to keep everything in one thread.

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9 minutes ago, RapperT said:

I can do that if members prefer that.   Obviously it would be quicker for me too to keep everything in one thread.

 

10 minutes ago, RapperT said:

It’s on the spreadsheet as TY.  We can change that.

Thank you Kim and Rapper! I guess I am not entirely sure what the spreadsheet means for some of the tickers. Besides ZN, I think "C" in the spreadsheet means ZC, corn. Can you provide a translation on what the "ticker" in the spreadsheet correspond to the actual ticker in the trading platform? It would help a lot! Thank you again!

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Also, if you’re just starting trading the system,  go ahead and open all contracts ( use calls or call debit spreads for Up signals and puts or put debit spreads for Down signals) at the appropriate delta.  We are in every contract every week.  This may or may not change in future iterations of the system this is one of the current features as it stands today.

 

I am going to put together a FAQ for questions like this.  Thank you for bringing it up

 

edit:  a couple of these contracts have liquidity issues and haven’t been traded in recent weeks.  We will remove from forecast or indicate no open positions.

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1 minute ago, RapperT said:

Also, if you’re just starting trading the system,  go ahead and open all contracts ( use calls or call debit spreads for Up signals and puts or put debit spreads for Down signals) at the appropriate delta.  We are in every contract every week.  This may or may not change in future iterations of the system this is one of the current features as it stands today.

 

I am going to put together a FAQ for questions like this.  Thank you for bringing it up

Thank you!

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Curiously I had to select the Dec.27th expiry in the ZW March contract to find the Jan.20 options....

Ah ok! Got it : it is the contract month, different from expiration month.

Also how about the ZC trade?

Thanks

 

Edited by williamDell

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General rule is that we want to be as close to ATM as possible.

 

We are testing additional markets right now as more is better and also due to the fact that we are having issues with the grains.  We are currently looking at currencies and cattle.  More to be revealed soon, stand by!

 

@Jjapp

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1 hour ago, williamDell said:

When we have a high delta to enter a position (for example SB, delta 87), is it a good idea to open an ITM position instead of 2 positions ATM?

I usually round down to the nearest 50 delta and trade that.  So for SB I'm trading one ATM option.  The reasoning is that the delta represents risk to some extent so I'll take less risk but not more.  We've messed around with ITM but have run into issues with our fills.  There is just more liquidity at the money.

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5 hours ago, RapperT said:

We are testing additional markets right now as more is better and also due to the fact that we are having issues with the grains.  We are currently looking at currencies and cattle.  More to be revealed soon, stand by!

We're looking to add two new instruments to our system before the update this week and then test the fills over the next week to two weeks.  Right now we're only trading something like 11 instruments and ideally we would be closer to 20 for diversification. 

As Rich said the grains have been problematic.  We were trading 3 different grains but every now and then would run into issues getting fills on them.  For the most part the metals, treasuries etc haven't had that problem.

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I thought people might be interested in how we compare to the SocGen CTA trendfollower's index:

 

July: 

Index:  4.8%

SteadyFutures:  2.2%

August:

Index:  6.5%

SteadyFutures:  13.11%

September:

Index:  -5.2%

SteadyFutures: -3.6%

October:

Index:  -4.1

SteadyFutures:  -2%

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3 hours ago, cato1974 said:

Hello,

I'm new to the service and have seen this morning's update. I was wondering if expiry dates will be posted later so I'm able to enter all positions at the appropriate delta for each spread.

Thanks

Yes.  Usually they are posted  in the am but due to travel today I will be posting shortly once I get to airport.

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3 hours ago, cato1974 said:

Hello,

I'm new to the service and have seen this morning's update. I was wondering if expiry dates will be posted later so I'm able to enter all positions at the appropriate delta for each spread.

Thanks

We generally try to go further than 37 days out.  Right now we're trading the Jan 20 Options for most contracts.  If you go beyond 37 days though and target spreads for the right delta you'll be ok.

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3 hours ago, cato1974 said:

One more question.. Do we just use the next furthest underlying futures expiry month? ie March for ES 

 

Usually yes.  With ES we're actually trading closer in.  I'll add a note to our write-up on how we trade this.  The issue with ES is that all of the liquidity is in the front month.  As long as we're at the money I've been letting this one get a bit closer than 30 days.

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Just a note for people following along.  I had to close KC by each leg individually today.  The future trended hard in our favor this week and the short we were in was really thinly traded.  It was a little tough to figure out where to price it since there were no trades so I started low and walked up my price until I got a fill.  It only took a few minutes.  I do experience this quite a bit with KC.  I'm not sure if it's market makers playing games with thinly traded options or if it is just a function of it being a small market but something to be aware of.

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One other note, the system reversed direction on KC this week as well.  This is something our method does that is slightly different than the classic breakout type systems used by some of the well known trend people.  Our system sometimes bets on mean reversion when there is a huge spike week over week.  It's worked out for us really well sometimes (worked perfectly on the big oil moves last fall) and other times it doesn't.  It is a fairly rare event so I'm not sure how it will work out long term but it is an interesting thing I've noticed. 

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1 hour ago, Jjapp said:

One other note, the system reversed direction on KC this week as well.  This is something our method does that is slightly different than the classic breakout type systems used by some of the well known trend people.  Our system sometimes bets on mean reversion when there is a huge spike week over week.  It's worked out for us really well sometimes (worked perfectly on the big oil moves last fall) and other times it doesn't.  It is a fairly rare event so I'm not sure how it will work out long term but it is an interesting thing I've noticed. 

I just realized that I made the wrong comment around KC based on the signal I posted.  Ignore this.

Edited by Jjapp

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