'SHOE SPY' has generated an Entry Signal on the Short side for the Thursday Open of the SPY. 'SHOE SPY' stands for 'SHort Option Expiration SPY'. The trade is due to be Exited on Friday June 19 at the 4pm Close, unless the Money Management Stop is hit before hand.
This Strategy is based on the behavior of the SPYder's during Option Expiration week, and is built on data that goes back to 1993.
This Short biased strategy performed extremely well during the bear market of 2000-2002 (Trade #32-52 on the Equity Curve Chart above). Though it did hit an new Equity Curve high in January 2008 (Trade 78), it has since booked its largest drawdown, during a period when the S&P 500 dropped by nearly 50%! The model appears to be out of sync with the market behavior during Option Expiration week for the past 18 months. The model may be broken.
I used to trade this model with 100% of capital, but I reduced that to 60% of capital when I put the trade on this morning. As of about right now, the position is about 1% out of the money.
I may need to do one or more of the following:
This Strategy is based on the behavior of the SPYder's during Option Expiration week, and is built on data that goes back to 1993.
This Short biased strategy performed extremely well during the bear market of 2000-2002 (Trade #32-52 on the Equity Curve Chart above). Though it did hit an new Equity Curve high in January 2008 (Trade 78), it has since booked its largest drawdown, during a period when the S&P 500 dropped by nearly 50%! The model appears to be out of sync with the market behavior during Option Expiration week for the past 18 months. The model may be broken.
I used to trade this model with 100% of capital, but I reduced that to 60% of capital when I put the trade on this morning. As of about right now, the position is about 1% out of the money.
I may need to do one or more of the following:
- stop trading the model
- rebuild the model
- reduce the position size even further for future entry signals
Disclosure: Short the ESU09.
***remember this is an illustration of what i am trading and my thinking...it is not a recommendation for you or anyone else to buy or sell this or any other security***
Posts
the following is a response i made to a fellow member of the daytrading firm that i trade with:
ReplyDelete"yeah, the short is not looking that good, especially with a gap up projected for todays open...
the position was entered on thursday morning, so the buy setup hadn't triggered yet....but in any case, my models were built before i went through any of the vcm training...this model performed well, from 1993-2007, but has been performing poorly for the past 18 months...
the thing with system trading, is that i (the trader) just needs to follow the entry and the exit rules...this model doesn't allow the 'working of the position', so if it goes against me, i just have to take my lumps...its very similar to paul's all or nothing rule..."