Monthly Income with Options (and/or Futures and/or Equity)

pannet1

Well-Known Member
#61
I think you could tune my strategy to get around 2% returns per month on intra-day (at 5X leverage)
lets focus on the buy order above open price and the 1st 5 min bar
assume that the 1st 5 min bar made a high amounting more than 2% change
two things could happen

scene 1
---------
subsequently, price reversed without making any more new high.

scene 2
-----------
price continued to make new highs.

scene 2 may not need optimization assuming that the new highs were made without hitting out stop below our Low. In case of scene 1 will the system become more profitable, if we exit at lets say 5% change before the end of the 1st 5 min bar.

hope my thinking is in line with your expectation.
 

UberMachine

Well-Known Member
#62
lets focus on the buy order above open price and the 1st 5 min bar
assume that the 1st 5 min bar made a high amounting more than 2% change
two things could happen

scene 1
---------
subsequently, price reversed without making any more new high.

scene 2
-----------
price continued to make new highs.

scene 2 may not need optimization assuming that the new highs were made without hitting out stop below our Low. In case of scene 1 will the system become more profitable, if we exit at lets say 5% change before the end of the 1st 5 min bar.

hope my thinking is in line with your expectation.
Actually my system look only till preopen data; so there is no case of looking at the 5 minute daily bar (this is because I work only with end of day data which is open source) and I need intraday data to give an objective view of the above scenario.

In general, regarding your scenarios; you make a guess (an educated guess) that once the price moves beyond 2% in the opening 5 minute bar, then it would make new highs. So, if this is the most probable event then we would make money. And, according to me, actually scene1 and scene2 are outcomes of the same scenario; if scene1 plays out more, we make more profit.
 

pannet1

Well-Known Member
#63
Actually my system look only till preopen data; so there is no case of looking at the 5 minute daily bar (this is because I work only with end of day data which is open source) and I need intraday data to give an objective view of the above scenario.
OH I MISSED THAT. SO WHAT THAT IS MENTIONED BELOW IS IRRELEVANT NOW. BUT JUST TO CLARIFY ... I HAVE ADDED BELOW.

In general, regarding your scenarios; you make a guess (an educated guess) that once the price moves beyond 2% in the opening 5 minute bar, then it would make new highs. So, if this is the most probable event then we would make money. And, according to me, actually scene1 and scene2 are outcomes of the same scenario; if scene1 plays out more, we make more profit.
YOU ARE RIGHT. LET ME ELOBERATE THE RATIONALE BEHIND THIS

IF THE FIRST 5 MIN BAR IS CLIMBING HIGHER THAN ITS AVERAGE 5M RANGE (FOR SIMPLICITY LETS KEEP IT AS 2%) ... AND THE BAR HAD NOT YET CLOSED ... THIS ALSO MEANS THAT WE ARE ALREADY IN THE TRADE BECAUSE OUR ORDER WOULD BE SLIGHTLY ABOVE YESTERDAY'S CLOSE.

SINCE WE HAVE KEPT THE STOP UNDER YESTERDAYS LOW AND WOULD HAVE MISSED THE PROFIT FROM THE INITIAL MOMENTUM AND ALSO WOULD HAVE TAKEN A LOSS BECAUSE PRICE IMMEDIATELY REVERSED AFTER THE BIG 1ST 5 MIN BAR.
 

UberMachine

Well-Known Member
#64
Actually, my strategy shorts. So I sell at the OPEN price.

Regarding your query,
OH I MISSED THAT. SO WHAT THAT IS MENTIONED BELOW IS IRRELEVANT NOW. BUT JUST TO CLARIFY ... I HAVE ADDED BELOW.



YOU ARE RIGHT. LET ME ELOBERATE THE RATIONALE BEHIND THIS

IF THE FIRST 5 MIN BAR IS CLIMBING HIGHER THAN ITS AVERAGE 5M RANGE (FOR SIMPLICITY LETS KEEP IT AS 2%) ... AND THE BAR HAD NOT YET CLOSED ... THIS ALSO MEANS THAT WE ARE ALREADY IN THE TRADE BECAUSE OUR ORDER WOULD BE SLIGHTLY ABOVE YESTERDAY'S CLOSE.

SINCE WE HAVE KEPT THE STOP UNDER YESTERDAYS LOW AND WOULD HAVE MISSED THE PROFIT FROM THE INITIAL MOMENTUM AND ALSO WOULD HAVE TAKEN A LOSS BECAUSE PRICE IMMEDIATELY REVERSED AFTER THE BIG 1ST 5 MIN BAR.
Let me put it this way
  1. We see the first 5 minutes bar to check whether the price has moved by 2%.
  2. If yes, we place a BUY order and a corresponding stop loss, say 3% (the stop loss is from the increased price)
  3. I just wait till the end of the day (you may close the positions earlier based on your preferences)
  4. If the stock closes by more than 2%, I get a profit else I have a loss and if the stock has reversed way too much, my maximum loss is 3% since I have a stop loss.
So, I know my loss and now I have to estimate the probability of winning (and losing) and the expected profits while winning. The better the figure, the better my prospects of making a profit. If we have reliable intraday data and an accurate execution model, we can make profit.

Any more queries are welcome :)
 

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