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rsm005, I like the idea but it will be difficult to test. The tool I have currently chooses options on a given date and under a given strategy and rides those options out until the exit point is reached. Testing different exit points and option parameters is easy enough to do, but adding options mid-stream will be a challenge.
However, I think your idea is very good and I will do my best to implement something so we can test it out, I'll get back to you with a progress update.
Based on data from 2013-2016, the best days of the week to sell ES options using Ron's strategy are Monday and Thursday. It is generally understood that the value of selling on Thursday is the additional time decay that occurs over the weekend. I'm not sure why there is good value on Monday as well. Maybe because volatility is higher on Monday due to news that emerged over the previous weekend?
Here's a table of mROIs by day of the week where 1 is Monday, 2 is Tuesday, etc.
Median is highest but average is lowest on Thursday, showing less volatility but more consistent gains (in line with time decay being the source), while the average is highest on Monday (in line with higher volatility being the source).
One other piece of information if you do figure out a way to try this. I break up my trades into lots of 20-30 contracts at a time rather than 1 massive put position, something I learned the hard way given that different prices/times move at different rates as the underlying moves.
For example, right now I have 3 positions open
1. EWQ7P2025 -30 and EWQ7P1790 +60
2. ESU7P2000 -30 and ESU7P1760 + 60
I'm not sure if buying 1 put close enough to the money but expiring sooner will protect both positions or if each position needs a put. I love the entry timer you posted earlier....confirms Thursdays but Monday was really eye opening. I'm probably going to put another position on this Thursday for 20 contracts.
Interesting
I know part of Ron's strategy is to be invested at all times (or at least most of the time) and not to time the market. I wonder if one was to divide up the contracts like rsm005 and enter every monday( if IM allows)the win rate would be higher as oppose to try to wait and time the market ( if possible) and enter with one big contract. I don't even know if this can be tested or looked at objectively.
The data I'm currently using is only for contracts started in 2013 through 2016. The contracts started in 2016 continue into 2017 but no new trades are made in 2017. At the end of Q2 I'll consider adding contracts started in Q1 of 2017 since there should be a sufficient number of days for all of them to reach the exit point.
EW3 contracts are included. Here are results for 2016. Results are somewhat consistent with the 13-16 period with Monday clearly standing out. Overall 2016 was a good year for this trading strategy with a median return of 4.04%.
In your experience, how's the volume with EW3 contracts? How about the other EW contracts?