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Hi Ron,
I am on Thinkorswim platform since 2007 and it is very difficult to backtesting. I papertraded ES ratio credit spread on weeklys for 15 DTE for 6 months. They worked well. So, I went live and did these for 2 years.
Now I am thinking of using this strategy for 90-110 DTE with 6xIM and exits as per the current ES strategy of this forum.
As mentioned, I wish to do backtesting or papertrade this strategy which I have not done yet . But before I do that I wanted to know if any one has tried this strategy or has any inputs.
Regards,
Dilip
What's the rationale for the trade being in the 90-120 days expiry range? i know the answer is somewhere here but couldn't find it when i was browsing through the previous pages.
Playing a devil's advocate, if i were to sell say, the July Monthly expiry (31 DTE) with the same deltas, my ROI% is actually higher? What am i missing here?
Thanks for the reply! I understand if doing further out the strikes are lower.. but isn't the likelihood the same since the deltas are theoretically the same? the probability % of them being OTM should be the same right?
Hello Ron
I am studying a possibility of output different from the system -2 + 3. Although studies tell us that 6 x IM can be enough to hold a position, this does not assure us that the next time it will be equal. A possible closing of the operation at 6 x IM would suppose about 3000 $ of loss by lot. In a situation like this we would lose the gains obtained with 1 lot in 5 years. Too hard to fit. Therefore I thought that a good way to manage the operation could be doing the opposite operation to cover us if the price is close to the short strikes and we reach a loss of 6 x IM. The opposite operation would be with continuous strikes to the originals. Example: -2PUT2190 + 3PUT1875. Once we reach the loss of 6 x IM we cover with + 2PUT2200 -3PUT1880. From here, if the SPX continues to go down, all are benefits. If SPX turns around the loss is practically frozen (6 x IM) but with the advantage that at an appropriate time we can close the coverage and continue managing the initial operation. I think that this exit strategy (no exit) is much more bearable psychologically.
Any comments will be welcome