Backtest results delayed; /CL still mostly behaving, otherwise markets still crazy up

I have the Python software done to run the backtest I promised last week, but I found what looks like a bug in the data.

The software just writes a log file of its results and they were mostly like this:

      GAIN: $ 240
      GAIN: $ 360
      LOSS: $ 470
      GAIN: $ 560

... but there was one that came up

     LOSS: $ 3500

I looked at the details and the data shows the loss in one day; options price spiking from $0.46 to $4.39 ... with the underlying spiking from $37 to $43 as well.

I then looked at the data more closely, and the underlying price shows different values for different option strikes all on the same day:

 whenx    | futures_close
------------+---------------
 2016-04-04 |         35.70
 2016-04-04 |         35.70
 2016-04-04 |         35.70
 2016-04-04 |         35.70
 2016-04-04 |         35.70
 2016-04-04 |         35.70
 2016-04-04 |         37.03
 2016-04-04 |         37.03
 2016-04-04 |         37.03
 2016-04-04 |         37.03
 2016-04-04 |         37.03
 2016-04-04 |         37.03
 2016-04-04 |         37.03
 2016-04-04 |         37.03
 2016-04-04 |         46.19
 2016-04-04 |         37.03
 2016-04-04 |         41.90
 2016-04-04 |         44.24
 2016-04-04 |         48.89
 2016-04-04 |         47.72
 2016-04-04 |         37.03

I have a support request into iVolatility to get this figured out ... this is just an end-of-day dataset, not ideal for the test anyway, but geez! It shouldn't show this difference.

I'll get this figured out this coming week and be back with the test results next week.

Oil trade results so far and backtest results coming

As regular readers know, I've developed a point of view that the price of oil should decline over time ... so far I've done only 3 live trades on a small account:

• Oct 2 -> Oct19  +$360 (expired worthless)
• Oct 17 -> Oct 31 +$700
• Oct 31 -> Nov 19 +$800

These were all neutral trades, "short strangles" selling the 49.5 put and the 59 or 60 call.

I had to clear out this small account to handle some domestic expenses, so I put on a paper trade with the more desirable "ratio strangle" selling 2 of the 66 calls and one of the 54 puts.

So far that one looks like a winner too, up $320 so far and with probably another week or so to run until I close it and take the "virtual profit".

So far so good ... but some potential customers just absolutely require backtesting before they will invest.

Today I downloaded a free set of end-of-day of /CL futures pricing from Quandl .. which gives me some indication of backtesting results:

• 2019 -- looks to have lost only 1 (of 13 or 14) potential trades due to run-up from 47 to 56 or so January 1 to 16 ....

But in general it's a guessing game. Without the actual options data and expirations, we don't know where we would have entered each trade, and that makes all the difference. If the prices go up sharply the first part of January, but you happen to have entered the trade late Dec when the prices were higher, you're still OK for that one.

I requested a quote on futures options data from Ivolatility, which I hope to get on Monday.

So I'm waiting until I get the actual data to publish actual backtest results. With any luck I'll have that this coming week.

Details coming then ...

 

Brexit ahoy (*sigh*) ... Oil continues to behave despite OPEC ...

The British Conservatives, led by Wacky Boris, shellacked the opposition and walked away with a majority in the house of commons this week ..

This should mean that they will Get Brexit Done ... but there are a lot of ways that could play out:


(If you enjoyed this Brexit Bookie video from C.G.P Grey ... he has a ton of other content on Youtube, almost all worthwhile.)

But what about the trading the British Pound based on this event? Well:

It was a "binary event" with volatility collapsing after the referendum ... with a Relief Rally and then apparently some second-guessing type selling.

Basically unless they really do a "fake Brexit" I think shorting /6B is probably the right play.

But! Now back to our favorite, /CL:

It was up around 50 cents this past week, still not reaching 60 on any close. So the short 63 calls should be nearing time to close for a profit!

And in this week's other hydrocarbon news:

Chevron is writing down as much as $11 billion worth of assets ...

 Mainly offshore oil and shale natural gas ... 

There's no escape from cheap solar ...

More next week! 

OPEC tries to manipulate oil upward; Qualified and non-qualified investors: a guide

The OPEC ministers met the past couple of days and agreed to cut production ... but nobody is sure for how long.

Oil was up this past week:

But /CL (based on West Texas crude) closed at $59.07, still well short of the $63 call I recommended selling 2 weeks ago. The recent movement in oil has been highly correlated with the Crazy Up Stock Market ...

And once again, whatever OPEC tries to do, they can't work against the declining price of solar electricity!

Until I tried to start getting approval from financial regulators FINRA and NFA, I wasn't very aware of the definition of "qualified investor" and of the restrictions placed on dealing with the "non-qualified."

My original idea was to charge for performance, but I found that's against regulation for non-qualified investors. So I eventually came up with a subscription plan that charges a flat fee regardless of performance. This was OK with NFA.

I'm reminded of a sign that used to be in one of my favorite local restaurants:

No Maximum. Spend as much as you like!

My target market all along has been those who want to retire but who don't have the money to do so in this ongoing low-interest-rate environment. But I'm wide open to also dealing with qualified investors, as well as:

• Those wanting extra income to retire student debt
• One willing to invest $25000 to build it into a college fund for a young person
• Somebody wanting to accumulate capital for anticipated upcoming medical expenses
• Or for anybody else!

So just be clear: the minimum is $25,000 but there's no maximum investment. Let's talk!

More next week ...

Market retreats slightly from record high; oil trade behaves beautifully

The global market declined a bit from the record highs of recent days. We'll see if it amounts to this:

So far, not much: just down 0.4% on Friday.

In the meantime for those of you who took my advice to sell 2 of the 63 calls and 1 of the 49.5 put in the crude oil futures options market (/CL):

Specifically, /CL just kept bumping through 57 and 58 ... and eased back all the way to 55.42 at the close Friday ...

I should have the NFA approval this week and I have one subscriber (I think!) ready to sign up. So you folks who are waiting and want to take the plunge I do have a promotion on right now to save you some fees if you act immediately!

More next week ...

Oil trade closed out: +39.5% since October 1; one more step for NFA registration; promotion for new subcribers

The oil futures trade I had on finally cooperated a bit on Tuesday, getting down around $56, and I closed it out when the short call was finally showing a profit.

It bounced up to almost $59 after that but then dropped right back to the top of its previous range, closing at $57.93 on Friday afternoon.

So: sell 2 /CL $63 calls and 1 /CL $52 put, credit just over $1100, expiring January 15 (51 days, if you do this Monday).  Thank me later!

Navigation Trading continued to "outperform", booking almost all of the profit available on an AMZN trade:

He was short the 1717.5 put and the 1750 call, and closed midmorning today with only $25 of the $273 potential profit still on the table. Wahoo!

I was mistaken about having fulfilled the last requirement for NFA Commodity Trading Advisor ... there was one more:

Yes, I had to send a copy of my fingerprints to NFA so they can make sure I haven't been previously busted for financial crimes under another name, I guess ...

There is a  local fingerprinting business (who knew?) that apparently does enough of these to make a living ...

I sent in my copy via certified mail so I should have final approval by next week, I think!

Finally ... I'm offering a promotional incentive for anybody who signs up by December 1 (2019) ... Details here ...

More next week ...

I passed the "series 3" exam; ready for subscribers! (Oil market is still sort of behaving ...)

As regular readers know, I've been talking about a subscription service I am starting. I should have one or two subscribers signed up this coming week. (Don't be left out!)

The good news is that I just passed the FINRA Series 3 exam, which is the final requirement I had to satisfy to qualify for the NFA Commodity Trading Advisor designation.

As for my short oil strategy, it's hanging in there  ... the technical analysts talk about resistance, which certainly looks like what's happening around $57.80 ... fine if it would stay there or bounce down a bit. I am still not showing a profit on the short $60 call but the short $49.50 put is making up the difference and more.

My plan is to sell 2 calls to 1 put when I have a larger account to work with, and this experience certainly tells me I need to go out a bid wider on the call side!

The rest of the market continued what it's been doing: going pretty much straight up. This works fine for Navigation Trading's Iron Duck ... but not for anything with risk on the upside.

More next week ...