-Indexes-
Everybody pretty much knows what to expect. 813 has been the key level in ES and today we finally closed below. I was hoping for an inverted head and shoulder, but closing below 813 unfortunately invalidated it. I hate giving tax money to those Wall St. greedy banks, but unfortunately they are the backbone of our economy. All the banks got killed today. I wouldn't be surprised if Citi or Bank of America go bankrupt. I expect markets will go through the low of 2008 to run stops. At that point, we might see actions on the both sides, but I think markets will really scare away people looking like it'll clearly break, but then it'll snap back. But what do I know about markets.
-Natural Gas-
As stocks sink, all the commodities get sold to meet margins. My put option is currently in the money with only 1 week to go. Since I brought about $2K, I'm about b/e or a bit down overall. Ideally, I want NG to close right below 5 before expiration, so I get assigned and I sell Mar calls right away. A bigger question is either I sell another put at 4.5 or 4. This NG trade can be the trade of the year for me, but I don't want to over-trade or get too greedy. In order to get more positions, I made additional deposits. Hopefully my broker deposits quickly.
-Lumber-
What can I say about this trade. Look at the chart above. Basically, I got involved with Lumber since Jan 2008. Carrying costs have been killing me. Usually I can offset carrying costs by utilizing options, but so far I did only once. You can tell Lumber's carrying cost by looking at the difference between March and May contract. I am honestly getting pretty upset and I really like to see how low it can go. I have enough capital, so I'll keep adding until it goes to zero. Even if I get out at break-even, I'll be up quite a bit on my portfolio at year end.
9 comments:
Have you had any luck plotting the equity curve via the I_OpenEquity and I_ClosedEquity functions in TS? The following code is supposed to work but I haven't had any luck and didn't know if you had any experience or suggestions with plotting this:
inputs:
iToday(true),
iTotal(true),
iProfitColor(green),
iLossColor(red);
vars:
vTodayEquity(0),
vTotalEquity(0),
vBODEquity(0),
vTodayColor(green),
vTotalColor(green);
if currentsession(0) <> currentsession(0)[1] then
begin
vTodayEquity = 0 ;
vBODEquity = I_OpenEquity ;
end ;
vTodayEquity = (I_OpenEquity - vBODEquity ) ;
vTotalEquity = I_OpenEquity;
vTodayColor = IFF(vTodayEquity>=0,iProfitColor,iLossColor);
vTotalColor = IFF(vTotalEquity>=0,iProfitColor,iLossColor);
if iTotal then plot1(vTotalEquity,"Total",vTotalColor);
if iToday then plot2(vTodayEquity,"Today",vTodayColor);
plot3(0,"ZeroLine");
The purpose is to give an immediate snapshot of your strategy results without having to run the full results. Plus it's a starting point with regards to building basic adaptive strategies by monitoring and adjusting your strategy based on the equity curve. If you have had some success, are there any tips you may have or settings you had to change or did it just work right away? Any help would be appreciated.
Thanks,
Jeremy
Hey Bain,
If you can create a downloadable ELD link, I'm happy to download and put it into my TS for testing. I've done some TS programming.
You can download here: http://www.strategicmodeling.com/OPTIONSPOT.BLOGSPOT/PLOTEQUITY.RAR
I know others have gotten it to work just fine but I haven't been so lucky. Hopefully, you can get it to work and let me know if there is something obvious that I'm missing.
Thanks again.
Bain,
I tested your code and it seems to be working fine. In order to see it work, you need to have a working strategy in the chart.
For example, I added 4 following stragies to my chart (10 min on ES):
MovAvg Cross LE, LX, SE, SX
Once the above is inserted you should see cyan and red dotted lines. Now add your equity curve indicator. Let me know if this works.
Thanks for checking for me - I just wanted to make sure it actually worked and that the problem was just on my end. I attached a screenshot of the 'results' that I keep not getting:
http://www.strategicmodeling.com/OPTIONSPOT.BLOGSPOT/image.jpg
I'll keep working at it and if you can think of any reason for why my plot is not capturing the changes in the equity curve I'd appreciate it. Thanks.
I tested your code on TS 8.3 and I haven't done it on TS8.4. I have one indicator I built and that doesn't work on TS 8.4 and I'm wondering if that's an issue.
I would also try a different session (regular v.s. 24 hour) or different symbol (e.g. ES).
So, once you get assigned, you sell calls to protect yourself? Let's say if you get assigned for this NG $5 put, how much premium did you receive and what call will you sell after you get assigned?
Man, I'm still trying to understand your trade here. Have you ever used this strategy with stocks?
For 5 put, I received $2180 and it seems like I'll get assigned next Tue, I'll roll it over to March contract right away and try to sell either 5 to 5.5 call for $3000 depending on how close current market is to 5. I want to sell calls when markets are trending high because that's when calls are inflated due to panic and I'll take advantage of that panic.
You may not get filled on that call right away, but say you get filled on 5.25 call for $3000. At March expiration is NG closes above 5.25 your call will offset the futures long position. Your total profit is:
$2180 (Feb put premium) + $2500 (long from 5) + $3000 = $9680.
If I'm flat, I'll probably try to sell Mar 4.25 or 4 put for $3Kish. The lowest level I've seen on NG is about 3.
My math above is wrong. The profit would be $7680.
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