StockFetcher Forums · Filter Exchange · RSI(3) QQQ Trade System<< >>Post Follow-up
gmg733
623 posts
msg #103588
Ignore gmg733
12/2/2011 3:58:45 PM

All,

Greetings! Found this on the web and thought I would show off my coding capabilities. :)

http://ripetrade.blogspot.com/2011/03/make-money-trading-qqqq-20-annual.html

_____

Enter: Daily RSI(3) close is below 15
Exit: Daily RSI(3) close is above 60

Filter:

symlist(qqq)

RSI(3) is below 15
_____

Impressive hugh! It gives pretty good results backtesting (which I always take with a grain of salt). Nonetheless, it makes money. I have played with it a little bit trying different variations (like including spy, 2x ETFs) and on equities. Anyhow, I'll see if I can't come up with some fairly mechanical with a broader portfolio of equities. Just goes to show you, you can make money without all the complication and squiggley lines as TRO would say.

I am in no way affiliated with this site. I just thought it was interesting and would share.

Enjoy.


fortyfour
185 posts
msg #103610
Ignore fortyfour
12/4/2011 2:47:13 PM

gmg733,

I will use Stratasearch and keep it simple by still using QQQ and RSI(3) and allow
optimization for entry and exit values...... and..... allow index "SPX" breadth/volatility to be considered.
I will get back to you on this. I will set for yaers 2009-2011 initially.
If you have any requests regarding parameters let me know.

fortyfour
185 posts
msg #103614
Ignore fortyfour
modified
12/4/2011 8:45:39 PM

I tested your entry and exit rsi(3) < 15/rsi(3) > 60 for 1/1/2004 to 3/1/2011( when qqqq changed to qqq).
58 trades total, anual return of 12.4%, 100k equity (1 position) ended at 188k, 72% profitable, avg win 2.9k,
avg loss 2.5k, 8.6% max drawdown, sharpe ratio = .25 , 2.8 profit factor, 4 day hold for winners, 9 day hold for losers

Max adverse move show 4 trades > -10% so a market health test and 5% stop reduced drawdown, num of trades to 48 ,
increased profitable to 76% reduced days to hold losers to 6 but reduced anual return to 9% (fewer trades)
*****************************
Better results cluster around rsi(3) crossing ABOVE 30-40 range for entry and rsi(3) crossing BELOW the 70-60 range
for exit.
For a 100k account and allocating ALL ( 1 position) you end with about 300-340k with an anual return of 30% (compound 17%) and around around 110 trades, 15 trades a year average...sharpe ratios around .4 to .5 for the stated ranges, max drawdowns of 4-5%....average days held, 7day hold for winners, 4 day hold for losers, 4k avg win, 2.5k avg loss, about 65% profitable.

You get more trades due to entries when market is rising( rsi(3) < 15 more rare). holds longer and wins bigger..no stops
Adverse max excursion is better..here is a sample of 1 run below...import to excel...plot etc...


The best parameters I can come up with are...where rvi is a good/bad market health check
*********ENTRY*************
crossabove(rsi(3),39) and
sector("nas100", rvi(20) )> 45
*****EXIT************************
crossbelow(rsi(3),62)
********************************

I cant post this stuff as Kevin so... thats about it !





I am working/ studying setups described below and would use a system very similar ( maybe identical)
to the one above. The example below is using todays numbers so is not a good setup...only an example... (rsi(3) is very high so it is only an example setup).
I am looking for systems with good Max adverse excursions for option trades like those below..
Any comments.. welcome........

*********************BULL CALL SPREAD WITH NAKED PUT ON DESIRABLE STOCK WAY OTM*************

QQQ ITM (.6 delta) 56 dec17 call is 1.49...to buy 1800 deltas or equiv 100k of qqq need 30 of these calls for total
value of $4470....profit target is 3% of 100k or $3000. the call needs to increase from 1.49 to 2.33 or 84 cents.
I dont have an option calculator but I expect qqq needs to rise from 56.62 to about 58.20 (3%) in a few days.

To offset this cost...sell the qqq dec 17 59 call for $630 56/59 bull call spread

To further offset cost sell naked AAPL dec 17th 360 put for $1050

Total cost now 4470-1050-630 = $2730 (+commissions etc...) ( I would love to own AAPL at 360)
I would need to lock $36k until cover or exercise of this naked put in my account.

Ideally you own a a call that may return $2500-3000 for a cost of $2730 and risk of owning AAPL at $360 (or covering before
for additional loss to the $2730)

********************************

Here is a table of typical system results described above..




Product,Symbol,L/S,EntryDate,EntryPrice,ExitDate,ExitPrice,Gain/Loss,DaysHeld,TradeAmt,EntryComm,ExitComm,Shares,PointVal,Margin,MinTick,LotSize,EntryRate,ExitRate
Stock,QQQQ,Long,1/27/2004,37.11,1/28/2004,36.56,-1.48%,1,100071.24,0,0,2696.6112,,,,,,
Stock,QQQQ,Long,2/9/2004,35.98,2/13/2004,36.03,0.14%,4,98620.5,0,0,2740.9812,,,,,,
Stock,QQQQ,Long,2/18/2004,36.15,2/20/2004,35.65,-1.38%,2,98771.1,0,0,2732.2573,,,,,,
Stock,QQQQ,Long,2/26/2004,35.15,3/3/2004,35.19,0.11%,4,97420.99,0,0,2771.5788,,,,,,
Stock,QQQQ,Long,3/5/2004,35.1,3/19/2004,34,-3.13%,10,97537.2,0,0,2778.8375,,,,,,
Stock,QQQQ,Long,3/25/2004,33.39,4/8/2004,36,7.82%,10,94496.02,0,0,2830.0694,,,,,,
Stock,QQQQ,Long,4/15/2004,35.42,4/27/2004,35.61,0.54%,8,101902.03,0,0,2876.9629,,,,,,
Stock,QQQQ,Long,5/6/2004,33.95,6/4/2004,35.02,3.15%,20,102473.94,0,0,3018.3782,,,,,,
Stock,QQQQ,Long,6/7/2004,35.11,6/10/2004,35.36,0.71%,3,105712.3,0,0,3010.8888,,,,,,
Stock,QQQQ,Long,6/16/2004,35.44,6/29/2004,35.75,0.87%,9,106482.55,0,0,3004.5865,,,,,,
Stock,QQQQ,Long,8/11/2004,31.65,8/31/2004,32.78,3.57%,14,107540.55,0,0,3397.8057,,,,,,
Stock,QQQQ,Long,9/2/2004,32.94,9/7/2004,33.15,0.64%,2,111386.17,0,0,3381.4866,,,,,,
Stock,QQQQ,Long,9/30/2004,33.74,10/8/2004,34.77,3.05%,6,112166.89,0,0,3324.4485,,,,,,
Stock,QQQQ,Long,10/12/2004,34.14,10/20/2004,34.53,1.14%,6,115603.75,0,0,3386.1673,,,,,,
Stock,QQQQ,Long,10/27/2004,34.54,11/11/2004,36.53,5.76%,11,116946.76,0,0,3385.8355,,,,,,
Stock,QQQQ,Long,12/9/2004,38.06,12/13/2004,38.77,1.87%,2,123779.49,0,0,3252.2199,,,,,,
Stock,QQQQ,Long,12/22/2004,38.47,12/28/2004,38.6,0.34%,3,126119.65,0,0,3278.3896,,,,,,
Stock,QQQQ,Long,1/13/2005,37.54,1/20/2005,36.63,-2.42%,4,126601.36,0,0,3372.4389,,,,,,
Stock,QQQQ,Long,1/27/2005,36.08,2/4/2005,36.15,0.19%,6,123556.11,0,0,3424.5041,,,,,,
Stock,QQQQ,Long,2/7/2005,36.78,2/10/2005,36.25,-1.44%,3,123805.99,0,0,3366.1227,,,,,,
Stock,QQQQ,Long,2/14/2005,36.67,2/18/2005,36.47,-0.55%,4,122035.31,0,0,3327.9332,,,,,,
Stock,QQQQ,Long,2/25/2005,36.37,3/1/2005,36.36,-0.03%,2,121393.03,0,0,3337.7243,,,,,,
Stock,QQQQ,Long,3/7/2005,36.58,3/9/2005,36.65,0.19%,2,121379.62,0,0,3318.1964,,,,,,
Stock,QQQQ,Long,3/15/2005,36.41,4/1/2005,35.82,-1.62%,12,121631.88,0,0,3340.6174,,,,,,
Stock,QQQQ,Long,4/5/2005,35.5,4/11/2005,35.75,0.70%,4,119674.03,0,0,3371.0996,,,,,,
Stock,QQQQ,Long,4/22/2005,34.5,4/25/2005,34.34,-0.46%,1,120553.11,0,0,3494.293,,,,,,
Stock,QQQQ,Long,5/2/2005,34.15,5/11/2005,34.85,2.05%,7,120017.05,0,0,3514.4086,,,,,,
Stock,QQQQ,Long,6/10/2005,36.87,6/22/2005,37.01,0.38%,8,122577.94,0,0,3324.5983,,,,,,
Stock,QQQQ,Long,6/29/2005,36.28,7/7/2005,35.62,-1.82%,5,123066.97,0,0,3392.1437,,,,,,
Stock,QQQQ,Long,8/10/2005,38.52,8/31/2005,37.63,-2.31%,15,120940.7,0,0,3139.6858,,,,,,
Stock,QQQQ,Long,9/19/2005,38.29,10/5/2005,38.28,-0.03%,12,118207.94,0,0,3087.1752,,,,,,
Stock,QQQQ,Long,10/31/2005,37.44,11/16/2005,39.56,5.66%,12,118261.31,0,0,3158.6887,,,,,,
Stock,QQQQ,Long,12/2/2005,40.84,12/6/2005,40.93,0.22%,2,125012.45,0,0,3061.0295,,,,,,
Stock,QQQQ,Long,12/12/2005,40.77,12/15/2005,40.9,0.32%,3,125308.52,0,0,3073.5472,,,,,,
Stock,QQQQ,Long,12/22/2005,40.13,1/18/2006,41.02,2.22%,16,125732.16,0,0,3133.1213,,,,,,
Stock,QQQQ,Long,1/20/2006,41.45,2/1/2006,40.74,-1.71%,8,128527.68,0,0,3100.7884,,,,,,
Stock,QQQQ,Long,2/9/2006,40.23,2/21/2006,40.23,0.00%,7,126353.8,0,0,3140.7854,,,,,,
Stock,QQQQ,Long,2/23/2006,40.21,3/1/2006,40.25,0.10%,4,126360.72,0,0,3142.5197,,,,,,
Stock,QQQQ,Long,3/14/2006,39.67,3/17/2006,40.38,1.79%,3,126531.53,0,0,3189.6024,,,,,,
Stock,QQQQ,Long,3/23/2006,40.14,4/10/2006,41.42,3.19%,12,128817.33,0,0,3209.2009,,,,,,
Stock,QQQQ,Long,4/17/2006,41.07,4/24/2006,40.98,-0.22%,5,132950.58,0,0,3237.1703,,,,,,
Stock,QQQQ,Long,4/28/2006,41.03,5/1/2006,40.95,-0.19%,1,132673.76,0,0,3233.5793,,,,,,
Stock,QQQQ,Long,5/5/2006,41.12,5/10/2006,40.95,-0.41%,3,132429.59,0,0,3220.564,,,,,,
Stock,QQQQ,Long,8/3/2006,35.69,8/7/2006,36.08,1.09%,2,132189.61,0,0,3703.8276,,,,,,
Stock,QQQQ,Long,8/11/2006,35.83,8/22/2006,37.5,4.66%,7,133648.74,0,0,3730.0792,,,,,,
Stock,QQQQ,Long,9/11/2006,37.54,9/20/2006,39.32,4.74%,7,139954.57,0,0,3728.1452,,,,,,
Stock,QQQQ,Long,9/26/2006,39.64,10/2/2006,39.71,0.18%,4,146614.79,0,0,3698.6576,,,,,,
Stock,QQQQ,Long,10/4/2006,39.35,10/18/2006,41.29,4.93%,10,146881.74,0,0,3732.6997,,,,,,
Stock,QQQQ,Long,10/20/2006,41.12,10/25/2006,41.24,0.29%,3,154131.61,0,0,3748.3369,,,,,,
Stock,QQQQ,Long,11/7/2006,41.61,11/10/2006,41.9,0.70%,3,154636.53,0,0,3716.331,,,,,,
Stock,QQQQ,Long,11/30/2006,43.08,12/7/2006,43.37,0.67%,5,155799.67,0,0,3616.5197,,,,,,
Stock,QQQQ,Long,12/11/2006,42.87,12/19/2006,42.74,-0.30%,6,156865.66,0,0,3659.101,,,,,,
Stock,QQQQ,Long,12/28/2006,42.31,1/18/2007,43.87,3.69%,12,156428.56,0,0,3697.2006,,,,,,
Stock,QQQQ,Long,1/25/2007,43.44,2/7/2007,43.36,-0.18%,9,162227.27,0,0,3734.5136,,,,,,
Stock,QQQQ,Long,2/14/2007,43.12,2/27/2007,43.44,0.74%,8,161959.59,0,0,3756.0201,,,,,,
Stock,QQQQ,Long,3/7/2007,41.97,3/14/2007,41.55,-1.00%,5,163197.27,0,0,3888.4269,,,,,,
Stock,QQQQ,Long,3/15/2007,42.01,3/28/2007,42.91,2.14%,9,161568.57,0,0,3845.9549,,,,,,
Stock,QQQQ,Long,4/3/2007,42.94,4/12/2007,43.25,0.72%,6,165057.05,0,0,3843.8995,,,,,,
Stock,QQQQ,Long,5/14/2007,45.82,5/24/2007,45.92,0.22%,8,166394.55,0,0,3631.4831,,,,,,
Stock,QQQQ,Long,5/29/2007,45.57,6/7/2007,45.97,0.88%,7,166780.55,0,0,3659.8761,,,,,,
Stock,QQQQ,Long,6/11/2007,45.94,6/21/2007,46.38,0.96%,8,168262.94,0,0,3662.6674,,,,,,
Stock,QQQQ,Long,6/22/2007,46.71,6/25/2007,46.39,-0.69%,1,169879.17,0,0,3636.8907,,,,,,
Stock,QQQQ,Long,6/28/2007,46.6,7/11/2007,47.43,1.78%,8,168729.22,0,0,3620.7987,,,,,,
Stock,QQQQ,Long,8/3/2007,47.31,8/10/2007,46.28,-2.18%,5,171842.81,0,0,3632.2725,,,,,,
Stock,QQQQ,Long,8/30/2007,46.9,9/7/2007,47.59,1.47%,5,168193.77,0,0,3586.2212,,,,,,
Stock,QQQQ,Long,9/12/2007,47.89,9/18/2007,48.14,0.52%,4,170691.67,0,0,3564.2444,,,,,,
Stock,QQQQ,Long,10/23/2007,52.6,10/25/2007,52.87,0.51%,2,171747.26,0,0,3265.157,,,,,,
Stock,QQQQ,Long,11/14/2007,50.43,12/4/2007,49.53,-1.78%,13,172723.45,0,0,3425.0139,,,,,,
Stock,QQQQ,Long,12/13/2007,50.36,12/28/2007,51.12,1.51%,10,169682.79,0,0,3369.3961,,,,,,
Stock,QQQQ,Long,2/25/2008,42.85,2/29/2008,42.87,0.05%,4,172522.13,0,0,4026.1874,,,,,,
Stock,QQQQ,Long,3/6/2008,42.32,3/13/2008,41.47,-2.01%,5,172631.03,0,0,4079.1832,,,,,,
Stock,QQQQ,Long,4/11/2008,44.25,4/23/2008,45.88,3.68%,8,169298.26,0,0,3825.9493,,,,,,
Stock,QQQQ,Long,5/9/2008,47.22,5/20/2008,48.63,2.99%,7,175611.51,0,0,3719.0071,,,,,,
Stock,QQQQ,Long,5/28/2008,48.44,6/3/2008,48.74,0.62%,4,180894.98,0,0,3734.4134,,,,,,
Stock,QQQQ,Long,6/5/2008,49.04,6/9/2008,48.29,-1.53%,2,182025.29,0,0,3711.7718,,,,,,
Stock,QQQQ,Long,6/16/2008,47.3,6/18/2008,47.44,0.30%,2,179275.83,0,0,3790.1867,,,,,,
Stock,QQQQ,Long,6/20/2008,47.54,6/23/2008,46.83,-1.49%,1,179816.31,0,0,3782.4214,,,,,,
Stock,QQQQ,Long,6/26/2008,45.92,7/10/2008,44.09,-3.99%,9,177145.35,0,0,3857.6948,,,,,,
Stock,QQQQ,Long,7/22/2008,43.31,7/25/2008,44.24,2.15%,3,170141.68,0,0,3928.4619,,,,,,
Stock,QQQQ,Long,8/25/2008,46.39,9/2/2008,46.1,-0.63%,5,173942.75,0,0,3749.5743,,,,,,
Stock,QQQQ,Long,12/31/2008,29.04,1/8/2009,29.95,3.13%,5,173424.66,0,0,5971.9235,,,,,,
Stock,QQQQ,Long,1/20/2009,28.88,1/30/2009,29.37,1.70%,8,178917.91,0,0,6195.2184,,,,,,
Stock,QQQQ,Long,4/1/2009,29.56,4/8/2009,31.33,5.99%,5,182257.95,0,0,6165.6953,,,,,,
Stock,QQQQ,Long,4/22/2009,32.08,4/29/2009,33.32,3.87%,5,193245.3,0,0,6023.8558,,,,,,
Stock,QQQQ,Long,5/12/2009,33.98,5/22/2009,33.36,-1.82%,8,200786.38,0,0,5908.9575,,,,,,
Stock,QQQQ,Long,5/27/2009,34.25,6/15/2009,35.84,4.64%,13,197149.82,0,0,5756.1992,,,,,,
Stock,QQQQ,Long,6/22/2009,35.42,6/23/2009,34.78,-1.81%,1,206341.73,0,0,5825.5711,,,,,,
Stock,QQQQ,Long,6/25/2009,34.95,7/6/2009,34.97,0.06%,6,202624.46,0,0,5797.5526,,,,,,
Stock,QQQQ,Long,7/13/2009,34.55,8/6/2009,39.36,13.92%,18,202779.3,0,0,5869.1547,,,,,,
Stock,QQQQ,Long,8/10/2009,39.29,8/11/2009,39.02,-0.69%,1,231035.25,0,0,5880.2558,,,,,,
Stock,QQQQ,Long,8/13/2009,39.65,8/17/2009,38.51,-2.88%,2,229460.16,0,0,5787.1415,,,,,,
Stock,QQQQ,Long,8/19/2009,38.13,9/1/2009,39.43,3.41%,9,222875.04,0,0,5845.1361,,,,,,
Stock,QQQQ,Long,9/4/2009,39.13,9/24/2009,42.17,7.77%,13,230492.65,0,0,5890.4331,,,,,,
Stock,QQQQ,Long,9/29/2009,41.97,9/30/2009,41.95,-0.05%,1,248433.61,0,0,5919.3141,,,,,,
Stock,QQQQ,Long,10/7/2009,41.45,10/19/2009,42.37,2.22%,8,248362.83,0,0,5991.8655,,,,,,
Stock,QQQQ,Long,10/30/2009,41.62,11/20/2009,42.97,3.24%,15,253951.9,0,0,6101.6795,,,,,,
Stock,QQQQ,Long,11/24/2009,43.66,11/30/2009,42.95,-1.63%,3,262217.89,0,0,6005.9068,,,,,,
Stock,QQQQ,Long,12/2/2009,43.7,12/4/2009,43.99,0.66%,2,257967.84,0,0,5903.1541,,,,,,
Stock,QQQQ,Long,12/10/2009,43.81,12/14/2009,43.96,0.34%,2,259722.44,0,0,5928.3826,,,,,,
Stock,QQQQ,Long,12/21/2009,44.3,1/4/2010,45.93,3.68%,8,260661.68,0,0,5884.0108,,,,,,
Stock,QQQQ,Long,1/14/2010,45.88,1/21/2010,45.65,-0.50%,4,270326.67,0,0,5892.0372,,,,,,
Stock,QQQQ,Long,1/28/2010,44.01,2/24/2010,44,-0.02%,18,269023.09,0,0,6112.7718,,,,,,
Stock,QQQQ,Long,2/25/2010,43.75,3/22/2010,46.93,7.27%,17,268969.33,0,0,6147.8704,,,,,,
Stock,QQQQ,Long,4/30/2010,49.82,5/3/2010,49.07,-1.51%,1,288828.03,0,0,5797.4313,,,,,,
Stock,QQQQ,Long,5/4/2010,48.94,5/14/2010,47.13,-3.70%,8,284487.74,0,0,5812.9903,,,,,,
Stock,QQQQ,Long,5/28/2010,45.6,6/1/2010,45.08,-1.14%,1,274071.37,0,0,6010.3371,,,,,,
Stock,QQQQ,Long,6/11/2010,44.27,6/22/2010,46.45,4.92%,7,271020.21,0,0,6121.9834,,,,,,
Stock,QQQQ,Long,7/8/2010,44.06,7/19/2010,44.21,0.34%,7,284490.77,0,0,6456.8945,,,,,,
Stock,QQQQ,Long,7/20/2010,43.75,7/22/2010,45.01,2.88%,2,285467.12,0,0,6524.9628,,,,,,
Stock,QQQQ,Long,8/2/2010,46.12,8/9/2010,46.73,1.32%,5,293777.13,0,0,6369.8423,,,,,,
Stock,QQQQ,Long,8/18/2010,45.02,8/20/2010,44.53,-1.09%,2,297736.17,0,0,6613.4201,,,,,,
Stock,QQQQ,Long,8/30/2010,43.61,9/30/2010,49.39,13.25%,22,294576.3,0,0,6754.7878,,,,,,
Stock,QQQQ,Long,10/6/2010,49.43,10/7/2010,49.34,-0.18%,1,333673.81,0,0,6750.4311,,,,,,
Stock,QQQQ,Long,11/19/2010,52.18,11/24/2010,52.4,0.42%,3,333458.89,0,0,6390.5498,,,,,,
Stock,QQQQ,Long,11/26/2010,52.6,11/29/2010,52.52,-0.15%,1,334883.15,0,0,6366.5998,,,,,,
Stock,QQQQ,Long,12/2/2010,53.09,12/16/2010,54.03,1.77%,10,334401.3,0,0,6298.7625,,,,,,
Stock,QQQQ,Long,1/4/2011,55.43,1/20/2011,56.19,1.37%,11,340499.36,0,0,6142.8714,,,,,,
Stock,QQQQ,Long,1/25/2011,56.09,1/31/2011,55.73,-0.64%,4,345215.24,0,0,6154.6665,,,,,,
Stock,QQQQ,Long,2/1/2011,56.34,2/23/2011,56.95,1.08%,15,343008.96,0,0,6088.196,,,,,,
Stock,QQQQ,Long,2/28/2011,57.8,3/1/2011,56.76,-1.80%,1,346770.26,0,0,5999.4855,,,,,,


boston
34 posts
msg #103615
Ignore boston
12/4/2011 9:56:36 PM

The mfi(3) below 5 or the rsi(3) below10 seem to work well when they cross above 25 or 30. Or you can add them together and buy when they cross 50.


gmg733
623 posts
msg #103616
Ignore gmg733
modified
12/4/2011 11:31:58 PM

44,

Nice work.

Won't your short put require margin by your broker? I only sell short puts on cheap stocks. I never like taking assignment. Need the funds for leverage. I think an OTM maybe better for this trade. If you think a stock I'd going from 9 to 10, why option do you buy. It all depends, but if I was pretty sure and there are no volatility issues, I would be look at the 10 contract.

Been reading the past few days about Mark Brown and his work. Interesting.


fortyfour
185 posts
msg #103618
Ignore fortyfour
modified
12/5/2011 1:35:50 AM

The logic of what Ive read of this method is to get good delta and leverage for cheap...I maybe would adjust this spread to the 57/59 and only pay $2790 reducing the total cost of the spread + short put to $1110 or approx 90-1 leverage with a delta > 43%.
Now profit drops to max 2k + and little more profit to buy back the now cheaper put.
I may actully look to decrease the cost of the spread further via another sold put but yes.... I would need to
maintain the puts strike price in my account...It needs to be an unlikely way OTM...delta 10% or less put that is sold.....Maybe also sell the Dec17 IBM 175 put for $420 reducing cost of spread to $690 for a QQQ 57-59 call on 100k of the underlying...and have a 65% chance to make max $2000 (approx 300%) in a few/several days.....now approx 54k locked up in the short puts(AAPL and IBM) both with deltas of approx 10% .... Sell puts on a "great" stocks....low probability of assignment .....like a standing limit order to buy AAPL at 360(not better) which is now approx 390
What I need to focus on here is being prepared for early covering/closing costs when QQQ goes down vs. abandonong the spread and risking the assignments .......


PS:
Choosing the 59 leg to sell and cap profit, corresponds to a 4.5% increase in QQQ....this appears to be a little too high.
Max Fovorable doesnt get there about 50% of the time.
2.5% would be much better...maybe a 57/58 spread...Still selling the same puts now turns this into a credit spread
+450 and max $1000 profit on the spread for $1450 total max profit and a higher probability of acheiving this.
And ,abandoning the call spread isnt an issue anymore....This is begining to masqurade a naked put writing strategy.
Anyway...will also look at the setups boston mentions...soon.





mhome
12 posts
msg #103620
Ignore mhome
12/5/2011 9:08:56 AM

Btw, as gmg733 mentioned Ripetrade in his first post (that's where the strategy was published), these Ripetrade guys mention another strategy about Gold / XAU spread - http://www.ripetrade.com/2011/09/trading-strategy-for-gold-stocks.html . Unfortunately I am no good coder and (AFAIK) SF doesn't allow looking back 95 weeks, so my not-so-accurate but perhaps somehow usable/adoptable strategy would look like this:

Fetcher[
symlist (gdx)
draw relative strength(gld,100)
and relative strength(gld,100) reached a new 14 day low
]



Last hit was on on Friday November 25, 2011, since then it would make +6.3%. Can any of you experienced guys take a look at this?

gmg733
623 posts
msg #103630
Ignore gmg733
modified
12/5/2011 2:59:36 PM

mhome,

Wouldn't you want to look at weekly data for this?

Not saying your wrong, but it looks like you are looking back 100 days and not 95 weeks to me.

symlist (gdx)
draw weekly relative strength(gld,95)
and weekly relative strength(gld,95) reached a new 14 day low

Something like this?

I need to look at it more.

StockFetcher Forums · Filter Exchange · RSI(3) QQQ Trade System<< >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus