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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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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?

Edited by ex3y7s

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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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