Another win: now 67% winners

Yesterday the 3/13 trade was cashed out for a winner, making 4 in a row!

That's now a 66.67% win rate ...  Chart is now:

Trade Date	Result	Profit/Loss
02/06/2017	Lost	-18%
02/13/2017	Lost	-16%
02/21/2017	Won	+15.4%
02/27/2017	Won	+17%
03/06/2017	Won	+15.3%
03/13/2017	Won	+12.9%
03/20/2017	Open
03/27/2017	Open

More next week ...

Patience pays off: Three in a row!

Theta won this morning just after 8am PDT:

The trade from 3/6/2017 was closed out today for a 15.3% profit, making the result chart look like this:

Trade Date	Result	Profit/Loss
02/06/2017	Lost	-18%
02/13/2017	Lost	-16%
02/21/2017	Won	+15.4%
02/27/2017	Won	+17%
03/06/2017	Won	+15.3%
03/13/2017	Open
03/20/2017	Open
03/27/2017	Open

More details as they become available!

Just waiting on theta to work

Theta is the term for the amount that options expire every day ...

The idea in a neutral trade is to make sure that Delta, the amount that the price of the underlying moves around, doesn't go too far until Theta overwhelms it (and the option price heads toward zero).

Here's our current chart:

Trade Date	Result	Profit/Loss
02/06/2017	Lost	-18%
02/13/2017	Lost	-16%
02/21/2017	Won	+15.4%
02/27/2017	Won	+17%
03/06/2017	Open
03/13/2017	Open
03/20/2017	Open
03/27/2017	Open

The trade from 03/06 should come off with a profit before next Monday (knock wood) ...

The Monte Carlo Simulation ... it's good but not paranormal

I ran the Monte Carlo simulation I mentioned yesterday and it looked really fantastic ...

But then I found a problem with the program I was running and it's more like this:

The parameters after I corrected the program:

• Start with $100000
• Every week take 1/4 of the stake (i.e. $25000 to start) and trade using that much margin
• Assume a 77% win rate
• Losses cost 17% of the weekly margin
• Wins return 16% of the weekly margin
• Run for 2 years (104 weeks)

Note that this is completely abstract and suffers from the issue that it's not possible to use exactly any amount of margin; you may get only $24000 in margin used instead of $25000.

The good news is that the data we have so far (just a smidgen, that is) was taken at a time of very low volatility (with the market at record highs). This trade may do a bit better with a certain amount of volatility, but it's very happy with the market going straight across too.

With those preambles, here's what the simulation returns after 10000 runs:

• Probability of going broke: 0
• Mean result: $870,055.50
• Standard deviation: $310,804.06
• Minimum: $199,429.98
• Maximum: $2,808,124.00

The maximum and minimums are very unlikely. The largest blob of probability is around the mean:

So there's a 68.26% chance that the ending value is between $560K (up 560%) and $1.18 million (up 1118%).

I'm still testing but starting to put this trade on in a few more accounts and will be getting more results for the next few months. Stay tuned!

Two in a row!

The trade from February 27 was closed out today for a profit, making two in a row!



 The market continues to bump along the top of its all-time high, which is perfect for the trade we're doing. The results chart now looks like this:

Trade Date	Result	Profit/Loss
02/06/2017	Lost	-18%
02/13/2017	Lost	-16%
02/21/2017	Won	+15.4%
02/27/2017	Won	+17%
03/06/2017	Open
03/13/2017	Open

I can't resist; next up is a monte carlo simulation with this data set extrapolated over time: a 77% win rate (via TastyTrade) with average 17% loss but 16% win. 

Update on trades: a winner cashed out today!

The Trump Rally has run out of steam:

And this 'straight across with minor wiggles is just what the trade I'm doing needs. Here's the latest set of results:

Trade Date	Result	Profit/Loss
02/06/2017	Lost	-18%
02/13/2017	Lost	-16%
02/21/2017	Won	+15.4%
02/27/2017	Open
03/06/2017	Open
03/13/2017	Open

I'm expecting several in a row now to pay off, and in fact the 2/27 and 3/06 trades are currently showing profits.

So the future's so bright ....

New brokerage from the ThinkorSwim guy is low-price leader!

Tom Sosnoff and company have just launched (in January) TastyWorks, a new brokerage currently allowing options and stock trades, with API trading and futures coming soon.

The commission structure just knocks the stuffing out of the industry:

• $1 per option contract (plus 10 cents clearing fee)
• $5 per stock trade (plus $0.0008 per share clearing fee)
• $2.50 per futures contract (plus 30 cents per contract clearing fee)

And the kicker is: these are trade opening prices only; closing any trade is commission-free.

The API is supposed to be REST-type, so should be usable with any programming language. And if they publish the specs in the open, this should take a big bite out of Interactive Brokers within a short time.

Good luck, TastyWorks; I'm rooting for you!

"Trump Rally" finally stalled, but ...

... not before causing another losing test trade:

So the results look like this:

Trade Date	Result	Profit/Loss
02/06/2017	Lost	-18%
02/13/2017	Lost	-16%
02/21/2017	Open
02/27/2017	Open

Our hero, Janet Yellen, just today said directly (or as directly as Fed chairpeople ever say directly): "I AM GOING TO RAISE INTEREST RATES." This should give more of a two-sided (i.e. up AND down) market instead of the market going straight up and messing up our neutral trade.

Thanks, Janet!