Sunday, October 2, 2016
Saturday, October 1, 2016
DayTrading Algo
Below is a virtual One Side DayTrading robot tested on SPX.
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Rules
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Rules
| 1. Every trading day: If no position open SPX position at the end of the trading day. 2. Next day close the position if losses > 0.25%. ---------------------------------------------------------------------------------------- | ||||||||
| LONG | SHORT | |||||||
| year | % change | drawdown | win/loss ratio | year | % change | drawdown | win/loss ratio | |
| 2005 | 14.16 | -1.60 | 0.65 | 2005 | 1.97 | -1.77 | 0.4 | |
| 2006 | 17.26 | 0.35 | 0.68 | 2006 | -4.49 | -5.3 | 0.43 | |
| 2007 | 31.34 | -1.30 | 0.54 | 2007 | 25.7 | -2.6 | 0.45 | |
| 2008 | 51.61 | -7.10 | 0.26 | 2008 | 99.05 | -0.26 | 0.35 | |
| 2009 | 57.07 | -2.65 | 0.39 | 2009 | 52.95 | -0.67 | 0.31 | |
| 2010 | 39.13 | -1.70 | 0.52 | 2010 | 21.76 | -1.1 | 0.37 | |
| 2011 | 55.32 | -1.30 | 0.54 | 2011 | 61.12 | -0.65 | 0.45 | |
| 2012 | 25.88 | -1.09 | 0.53 | 2012 | 10.77 | -5.08 | 0.47 | |
| 2013 | 30.43 | -0.42 | 0.79 | 2013 | 2.97 | -2.72 | 0.47 | |
| 2014 | 21.81 | -0.75 | 0.65 | 2014 | 0.03 | -3.03 | 0.38 | |
| 2015 | 33.40 | -0.52 | 0.53 | 2015 | 37.94 | 1.07 | 0.63 | |
| 2016 | 16.62 | -3.16 | 0.52 | 2016 | 18.02 | -0.26 | 0.57 | |
Thursday, September 29, 2016
+$500.00 Saudi's Ramp: Closed All Naked Puts in WTI
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price |
| 9/29/2016 12:21 | SINGLE | BUY | 1 | TO CLOSE | /CLZ6 1/1000 DEC 16 | /LOZ6 | 37.5 | PUT | 0.21 |
| 9/29/2016 12:21 | SINGLE | BUY | 1 | TO CLOSE | /CLF7 1/1000 JAN 17 | /LOF7 | 32.5 | PUT | 0.12 |
Friday, September 23, 2016
+$200.00 from NASDAQ Short
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price |
| 9/23/2016 10:00 | FUTURE | BUY | 1 | TO CLOSE | /NQZ6 | 16-Dec | FUTURE | 4867.5 | |
| 9/22/2016 9:29 | FUTURE | SELL | -1 | TO OPEN | /NQZ6 | 16-Dec | FUTURE | 4878.25 |
Thursday, September 22, 2016
Short NASDAQ Pure Delta
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price |
| 9/22/2016 9:29 | FUTURE | SELL | -1 | TO OPEN | /NQZ6 | 16-Dec | FUTURE | 4878.25 |
Tuesday, September 20, 2016
Position Statement on 9/20/16
| using Beta Weighing on 'SPY' | |||||||||
| Instrument | Qty | Days | Strike | Break Mark | Delta | Theta | Vega | BP Effect | |
| /CL | 46.32 | 24.1 | -71.2 | ($2,579.00) | |||||
| Light Sweet Crude Oil Futures,Dec-2016,ETH | 0 | 62 | 0 | 44.12 | 0 | 0 | 0 | ||
| Light Sweet Crude Oil Futures,Jan-2017,ETH | 0 | 91 | 0 | 44.79 | 0 | 0 | 0 | ||
| 1/1000 DEC 16 /LOZ6 37.5 PUT | -1 | 57 | 37.5 | 0.51 | 0.7 | 32.23 | 16.13 | -42.26 | |
| 1/1000 JAN 17 /LOF7 32.5 PUT | -1 | 86 | 32.5 | 0.33 | 0.35 | 14.09 | 7.97 | -28.94 | |
| /ES | -101.57 | 12.4 | -102.09 | ($3,687.50) | |||||
| E-mini S&P 500 Index Futures,Dec-2016,ETH | 0 | 87 | 0 | 2136.25 | 0 | 0 | 0 | ||
| 1/50 OCT 16 (EOM) /EWV6 2200 CALL | -1 | 41 | 2200 | 9 | 8.25 | -101.57 | 12.4 | -102.09 |
+$2100 of Green Bucks by Crack Spread
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price | Crack |
| 9.9644 | ||||||||||
| 9/20/2016 10:50 | FUTURE | BUY | 3 | TO CLOSE | /RBZ6 | 16-Dec | FUTURE | 1.2982 | ||
| 9/20/2016 10:50 | FUTURE | SELL | -3 | TO CLOSE | /CLZ6 | 16-Dec | FUTURE | 44.56 |
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