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SteadyOptions 2012 Performance 53 comments
SteadyOptions performance has been updated.
November was a good month for SteadyOptions. We closed 35 trades in November, 20 winners and 15 losers. Total gain in November was $1,000 based on $1,000 allocation per trade. Assuming maximum of 6 trades open (the average number is much lower), that's 16.6% non-compounded gain. The YTD non-compounded ROI is 149.8% based on the same 6 maximum trades. Check out the Performancepage to see the full results. Please note that those results are based on real fills, not hypothetical performance.
The performance was negatively impacted by two earnings plays that we kept through earnings (AKAM and ADM) and carried from the previous month. Removing those two trades would almost double the performance.
Like in October, most losers were in the 3-7% range. But we also had few decent size winners (OVTI, ARO, GPS and CF). The ability to keep the losers small remains the key factor.
We continue expanding the scope of our trades beyond the earnings trades, Iron Condors and calendars. We started playing GLD and added the double calendar as an additional earnings strategy. We closed our second SPY butterfly trade for 39% gain and the GLD strangle for 20% gain. We will continue refining those strategies to get better results. This gives members a lot of choice and flexibility.
Key statistics 01/01/2012-11/29/2012 (based on $1,000 per play, scalable to any amount):
• Total trades: 254
• Winning ratio: 60%
• Average holding period: 5.5 days
• Average return per trade: 3.6%
• Average gain per winning trade: 11.9%
• Average loss per losing trade: -9.1%%
• Average number of trades at any given time: 4.3
• Maximum number of trades at any given time: 6.0
• Average capital on risk: $4,300
• Maximum capital on risk: $6,000
• Cumulative non-compounded return: $8,990 (899.0%)
• Total ROI based on maximum capital on risk: 149.8%
Please note that those results are based on real fills, not hypothetical performance. Unlike many others who can claim baseless numbers, all my trades are backed up by screenshots with actual fills.
SteadyOptions subscription is now open to new members for a limited time.
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This post has 53 comments:
How many of the earnings plays were done with weekly options?
Everyone pays different commissions, so it would be impossible to reflect commissions in the results. With cheap broker. commissions should reduce the results by ~1.0-1.2% per trade.
I think that it would be useful and more accurate to include commissions in your results although every broker have different pricing.
I'm with OptionsXpress Canada, and I pay $1.50 per leg. If I buy 5 $3.75 RIC, I will pay $30 to open 20 contracts, and another $30 to close them. The RIC needs to appreciate at least $60 in order to profit, which is 3.2%. Is this typical? If not, can you recommend a more commission-efficient Canadian broker?
What is you capital allocation for these trades vs your total portfolio? I am talking about your real portfolio and not a hypothetical 10K.
Could you please post your actual trades with commissions?
For example, you made 1.5% on CRM RIC x-commissions but depending on the trade size and broker the same trade may have been lost.
What was your real result with this trade?
Thanks
Commissions are definitely important for those strategies. But it depends on so many factors that it would cause more confusion if I posted the results with commissions.
First of all, 1.0-1.2% can make a big difference if you compound it. Just like in your CRM trade your account was flat instead of being up 1.5%. If you repeat it 10 times, it'll still be flat vs being up 16% hypothetically. Posting results with commissions would add a degree of reality to them. Just make a remark that commissions are for IB.
As for 10%, is this 10% or account value per trade (max 5 trades?) or 10% for all option trades combine?
How many option trades (earnings or others) do you typically hold at the same time?
Do you consider 100% of all your non-cash holdings (options, stocks, etc.) being at risk or only as portion of them? If so what portion?
Thanks again
10% is per trade, so the CRM example would apply. If you have 5 trades open, it would allocate 50% of the account. I typically hold 4-5 trades, or 40-50% of my options account. The allocation is based on risk - I know that those trades rarely lose more than 7-10%, worst case scenario maybe 15-20%, so you don't risk more than 2% per trade.
Thank you for the position size verification. I tend to view any option position as a 100% risk, especially considering that it may expire soon.
Also, at what point do you decide that a trade is loser worth closing?
Thanks
When I hold 2-5 days, I never lost more than 15-20%, so no stop losses. many times the trade was down 15% and the recovered due to IV increase or stock move.
What are your overall stats? Could you please share the following:
- how long have you been trading earnings
- what is your total number of trades
- how many of them are winners
- what is your overall result including commissions for this strategy (% of growth since inception)
Thank you
Thank you!
During July-August the results were unreal. I was getting 18-20% return per trade. Of course at some point it had to come down to earth, but I still think that with right management, 7-10% over time is doable.
Considering all your ups and downs and learning curve, where are you now comparing with your starting balance in June'11? What is your overall ROI?
Also, how small is very small? What is the smallest position size that can still make 10+% after commissions?
Thanks again
Obviously I won't go into my personal account details, but if I had a 10k account and allocated 1k per trade, and traded only those trades, my account would be worth around 20k today, not compounded.
With 1K per trade, trading straddles or strangles on AAPL, GOOG, or PCLN would be problematic. Do you only do RICs for those?
Thanks
I do lots of option trading, both long and short, in mostly uncovered calls and puts with a medium to long time horizon. It has resulted in very volatile results: up to 100% or more in profit or loss!!!!!!!
I would like to learn strategies of less volatility with consistent positive returns. (2-3% month is too much to expect?)
Your suggestions including other links will be appreciated.
Yo might consider joining my Mastering The Non-Directional Trading forum to learn about those strategies. If you want steady and consistent results and reduced volatility, this is exactly what we are doing. Try it for free for one week.
You provide excellent information in your articles. Why not give everyone what they want and include returns with and without commissions? You state that including commissions would be confusing - isn't that like a dictator saying people are too ignorant to be trusted to vote? Try it out and see what happens - if it's mass confusion and markets swoon as a result, you can always stop. I predict it will be helpful to your audience and your business.
My performance numbers include real, not hypothetical fills. In addition, I calculate portfolio value including cash (most of the time the significant portion of the model portfolio is in cash). Very few traders do that. By doing that, I'm already in a huge disadvantage compared to how others report performance.
Calculating performance with commissions is easy, but everyone has to adjust it to his personal situation.
As for doing what everyone asks - you can never please everyone. If I include my commissions, there will be always people who will say that they pay more and my performance is still not realistic.
Why did you not include the 15% allocation this time?
If an investor allocates 10% of their portfolio every trade they would have returned 11.5% of their portfolio this past quarter.
If an investor allocates 15% of their portfolio every trade they would have returned 17.3% of their portfolio this past quarter.
If a particularly risky investor allocates 20% of their portfolio every trade they would have returned 23% of their portfolio this past quarter.
Quite impressive for non-directional trading.
Your calculations are pretty accurate. My average commissions are around 1.2%, so the return would be slightly higher. However, last three months were actually less successful due to low volatility environment. Since I started trading it in July 2011, the average return was 6.6% after commissions based on 153 trades. Based on conservative 10% allocation, it would give you 101% return on the whole portfolio.
On a separate note using this techniqueI opened trades on CREE and GS on Thursday and closed them on Friday. I made a solid 10% after commissions on GS and 6.5% on CREE. My limit on GS hit its mark in the morning and I didn't want to hold CREE through the weekend and decided to just take the profit. I'm looking forward to a full earnings season.
I have some feedback.
- I really like your performance report as it gives the total picture of your returns when following your suggestions.
- Also I want to thank you for providing the dividend companies which are probable opportunities and pointing out your successful trading method.
- I'm interested in your service, however, I don't think I could do the monitoring necessary to get in and out of trades to get similar results as you do. I also work full time. Have you considered offering an automated service which duplicates your trades?
I'm not a fan of autotrading. I think that once the service has too many autotraders, the results will suffer. When too many contracts come at once, market makers start playing games and it will be difficult to get good fills. I know few services which have been doing very well till they started autitrading, and the results started suffering.
We do however, do some longer term trades like condors and calendars. And even for those earnings trades, you can always place a limit order to sell at predefined profit target.
You are absolutely right that commissions are critical for trading, but this holds for any strategy. In fact, we have a lot of discussions about brokers and commissions on my SteadyOptions forum.
I don't have any special deal, 0.70 per contract is a standard fee charged by Interactive Brokers. In fact, if you trade many contracts, eOption is even cheaper - they charge 3.00+0.10 per contarct. So for 20 contracts, that's 0.25 per contract. If people insist paying higher fees, there is not much I can do about it.
eOption has decent rates. $3.00+.10. Reviews on Investimonials have not been great, but as long as you can manage your portfolio in a paper account or something like that, it can probably get you by.
Lightspeed is one that I am thinking about trying out. $.60 per contract, no ticket.
BTW, Kim. Thank you for your articles, they have taught me much.
I don't know why people still insist staying with brokers who charge those ridiculous commissions. If more people transferred their business, those brokers would probably adapt. Paying this $10 ticket fee makes a huge difference. Plus IB typically has better fills.
I follow your strategy for a long time . I think it a very good protential .
couple of questions :
1- How many hours per week do you think your strategy requires " I am trying to make sure that I can handle it time wise "
2- Did you try or some of your followers tried to fill those legs , one leg at a time to get a better pricing . I read some articles about trying to use extrme over bought or oversold on an intraday basis in order to squeeze a little on fills . Please elaborate as much as you can on that .
Many Thanks
Sam
We are doing extensive discussions on SteadyOptions on each trade, including potential best timing, price etc. It does require some level of involvement, and if you do it by yourself, it definitely requires 2-3 hours per day to filter the candidates, doing backtesting etc.
I don't leg in. The whole idea is to trade non-directionally. If I could predict direction, I would probably do better by just trading calls and puts. Sometimes you can save few cents, but you are taking directional risk, and if you are wrong, you can lose much more than gains.
Kim
Thanks for all the invaluable assistance and insight you are providing on SA. I am still working my way through your articles, so I apologize if you have addressed this already, but I have the following questions:
- Are you delta-hedging when you put on your iron condor or straddle earnings plays? How much delta are you comfortable with, and does the answer depend on the duration of your trades?
- Do you "backtest" / believe in backtesting? I've read conflicting schools of thought on this, one of which suggests that doing so may only result in curve fitting a system, the other which says there are so many factors which can't practically be modeled that it's a waste of time?
Thank you.
-J
Yes, I do backtest every trade to determine the best time and price to enter. It's not perfect, but it's definitively helpful.
I've been testing your ideas since mid-September and would like to email the Excel file to you for your comments. Please advise method to send you the file. Thank you.
in which you said that you plan on having about 40% in iron condor/butterflies.
When looking at the trades in the performance section, I don't see any iron condor/butterflies, only straddles, strangles and rics.
Do you maintain an iron condor-ish portfolio in addition to or outside of the steady options trades?
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