Hedge roll-over
I just rolled-over the SPY put option hedge from the Sep 144 to the Dec 144 contract. The September contracts were purchased for $1.55 on June 1 and sold for $2.80. The Dec 144 contracts were bought for $4.80.
Please read the disclaimer at the bottom of this page
11 comments:
Hello Science trader,
A question regarding your performance chart - is this the overall performance after any offset by the hedge?
If this is after the hedge, there's been a substatial drawdown, hasn't there? Do you consider the SPX to be a good hedge? I trade a portfolio of systems and use the SPX, NDX and Russel 2000 - after realising the SPX was a poor overall hedge for me.
Keep up the fantastic blog and work.
Regards,
Richard
Hi Richard,
Thanks for your kind words. Yes, it is overall performance including the options positions. I agree that the drawdown is substantial. Part of the reason is that I made a major change in the portfolio (got rid of extreme-os), which can mean in theory that you hit a drawdown in the earlier portfolio, and then again in the new portfolio. So, normally I don't like to make these major changes, but because of technical problems with autotrading I had to change things quite suddenly, instead of more gradual. At the same time, all systems currently in the portfolio are in drawdown, and some are close to or exceeding their historical max drawdown (e.g. Longstoch-ST and Weekend Trader).
I have been thinking about setting up a multi-index hedge, but the fit of the model doesn't get a lot better when going from one index to two or three in my case. Even though, it is safer in theory to hedge against multiple indices and perhaps I will replace some of the SPY options by QQQQ options (which trade in pennies, so that would be an additional advantage).
Do you trade a portfolio of your own systems, or third-party systems?
One more thing: I use twice the leverage as the systems do on C2. So, it is expected that in case of a sell-off in the general market, drawdowns without the hedge will be unacceptably high. I.e. I would never use 2x leverage without a hedge in place. The worst case scenario would be (apart from the systems simply stopping to work) when all 4 systems would suffer a major drawdown at the same time, while no simultaneous sell-off would occur in the broader market. I see that as highly unlikely, and the more systems I add to the portfolio the smaller that probability will become.
ST,
aha, I'd missed the 2X margin factor. That explains somewhat.
I trade my own systems, and 3rd party systems. My long portfolio comprises about 20(the beauty of mechanical) systems, about 15 of which (60% of portfolio) are derived from Stock investor pro fundamental screens. I have a few of my own (more price momentum based) and subscribe to Trend Plays at C2.
On the short side I'm 110% hedged * against a mix of FTSE100, SPX, NDX and Russsel 2000 indeces.
*This hedge is then reduced proportionaly (to 70% min) based on long signals from numerous 3rd parts signal providers. These are;
CTS Snapback (at C2)
Druster
EOD trading signals (under trial)
It's working well over the last few years but I suspect as much by luck as judgement.
I will work full time at this from Christmas and intend to get deeper into systems development.
Cheers,
Rich
Wow, that's a lot of systems--quite diversified. To further clarify my hedging philosophy: I assume that to some extent long-only systems don't have to be hedged, e.g. for the last years all systems I trade dealt reasonably well with the periods the S&P500 was in drawdown. If the market would continue to behave the way it did during the past year, I'd prefer not to be hedged. But because that's an unlikely scenario, I want to hedge against more extreme scenarios, e.g. a crash like 1987 or a more gradual 50% decline like in 2001-2003. For that reason I have the strikes of my put options about equal to the largest drawdown the index has seen over the past year. In other words, the hedge (in a beta or delta sense) is far smaller when the index is in no or minor drawdown, and gets to 100% once the index approaches its max drawdown for the period I can observe the performance of the systems I trade.
Hello !.
might , perhaps curious to know how one can make real money .
There is no initial capital needed You may begin to get income with as small sum of money as 20-100 dollars.
AimTrust is what you need
The firm incorporates an offshore structure with advanced asset management technologies in production and delivery of pipes for oil and gas.
Its head office is in Panama with structures around the world.
Do you want to become a happy investor?
That`s your choice That`s what you wish in the long run!
I`m happy and lucky, I began to get real money with the help of this company,
and I invite you to do the same. It`s all about how to choose a correct companion utilizes your money in a right way - that`s AimTrust!.
I earn US$2,000 per day, and my first investment was 500 dollars only!
It`s easy to get involved , just click this link http://sumogalep.wtcsites.com/anocaw.html
and lucky you`re! Let`s take our chance together to feel the smell of real money
Good day !.
You may , probably very interested to know how one can make real money .
There is no need to invest much at first. You may begin earning with as small sum of money as 20-100 dollars.
AimTrust is what you haven`t ever dreamt of such a chance to become rich
The company incorporates an offshore structure with advanced asset management technologies in production and delivery of pipes for oil and gas.
Its head office is in Panama with offices everywhere: In USA, Canada, Cyprus.
Do you want to become a happy investor?
That`s your chance That`s what you wish in the long run!
I feel good, I began to get real money with the help of this company,
and I invite you to do the same. If it gets down to choose a correct partner who uses your money in a right way - that`s the AimTrust!.
I make 2G daily, and my first investment was 500 dollars only!
It`s easy to get involved , just click this link http://exiqizexu.exactpages.com/ukyfaken.html
and go! Let`s take this option together to get rid of nastiness of the life
Good day !.
You re, I guess , probably curious to know how one can make real money .
There is no initial capital needed You may begin to get income with as small sum of money as 20-100 dollars.
AimTrust is what you thought of all the time
The company incorporates an offshore structure with advanced asset management technologies in production and delivery of pipes for oil and gas.
Its head office is in Panama with affiliates around the world.
Do you want to become really rich in short time?
That`s your chance That`s what you wish in the long run!
I feel good, I began to take up income with the help of this company,
and I invite you to do the same. If it gets down to select a correct companion who uses your money in a right way - that`s the AimTrust!.
I make 2G daily, and what I started with was a funny sum of 500 bucks!
It`s easy to start , just click this link http://sivubajuja.servetown.com/bubyly.html
and go! Let`s take our chance together to become rich
Good day !.
You re, I guess , probably curious to know how one can collect a huge starting capital .
There is no initial capital needed You may start to receive yields with as small sum of money as 20-100 dollars.
AimTrust is what you need
The firm represents an offshore structure with advanced asset management technologies in production and delivery of pipes for oil and gas.
Its head office is in Panama with affiliates everywhere: In USA, Canada, Cyprus.
Do you want to become really rich in short time?
That`s your choice That`s what you really need!
I feel good, I started to get real money with the help of this company,
and I invite you to do the same. If it gets down to choose a correct partner who uses your savings in a right way - that`s it!.
I take now up to 2G every day, and what I started with was a funny sum of 500 bucks!
It`s easy to get involved , just click this link http://ubucuwifyk.virtue.nu/nonoga.html
and lucky you`re! Let`s take our chance together to get rid of nastiness of the life
Hi there!
I would like to burn a theme at here. There is such a thing, called HYIP, or High Yield Investment Program. It reminds of ponzy-like structure, but in rare cases one may happen to meet a company that really pays up to 2% daily not on invested money, but from real profits.
For several years , I make money with the help of these programs.
I'm with no money problems now, but there are heights that must be conquered . I get now up to 2G a day , and I started with funny 500 bucks.
Right now, I managed to catch a guaranteed variant to make a sharp rise . Visit my blog to get additional info.
http://theblogmoney.com
Hi there!
I would like to burn a theme at here. There is such a thing, called HYIP, or High Yield Investment Program. It reminds of ponzy-like structure, but in rare cases one may happen to meet a company that really pays up to 2% daily not on invested money, but from real profits.
For several years , I earn money with the help of these programs.
I don't have problems with money now, but there are heights that must be conquered . I get now up to 2G a day , and my first investment was 500 dollars only.
Right now, I managed to catch a guaranteed variant to make a sharp rise . Turn to my web site to get additional info.
[url=http://theinvestblog.com] Online investment blog[/url]
Post a Comment