Search found 12 matches

by al2000
Wed Sep 17, 2003 12:06 pm
Forum: Money Management
Topic: Increasing leverage through LEAPs
Replies: 16
Views: 13207

Your point about theta decay is correct. With LEAPs, theta decay is a relative non-issue for 2 reasons: the long time period where you are in the flat part of the decay curve and the fact that you are buying an ITM option. However, regarding your second point, my suggestion was to ACT AS IF you were...
by al2000
Tue Sep 16, 2003 12:40 pm
Forum: Testing and Simulation
Topic: Parameter Assignments and Optimization
Replies: 13
Views: 9125

Good point, SSidley. I suspect that, for long term trend-following systems like the Turtle breakout system, one might not need to re-optimize as often since the time horizon is longer. However, for shorter term, counter-trend type systems or even short term trending systems (3-4 days duration), re-o...
by al2000
Fri Sep 12, 2003 5:14 pm
Forum: Testing and Simulation
Topic: Parameter Assignments and Optimization
Replies: 13
Views: 9125

Point well taken, Kiwi. Thank you.
by al2000
Fri Sep 12, 2003 1:16 pm
Forum: Testing and Simulation
Topic: Parameter Assignments and Optimization
Replies: 13
Views: 9125

My own testing has indicated that while performance in the shorter term (i.e. less than a year or so) is indicative of better trading markets, that doesn't hold up if you look back over many years. However, as with many things, conclusions draw in one circumstance may not apply in others. For insta...
by al2000
Thu Sep 11, 2003 4:25 pm
Forum: Money Management
Topic: Increasing leverage through LEAPs
Replies: 16
Views: 13207

Vince,

What's a SpreadBetter? I've never heard that term before. Can you elaborate?
by al2000
Thu Sep 11, 2003 1:15 pm
Forum: Money Management
Topic: Increasing leverage through LEAPs
Replies: 16
Views: 13207

Jason, The open interest on the Jan 05 QQQ 32 calls is 25,782, while the open interest on the Jan 05 MSFT 25 calls is 92,379 and the 27.5 calls is 59,265. All 3 of these open interests are very high, suggesting that the issues are actively traded. I would have no problem trading with these open inte...
by al2000
Thu Sep 11, 2003 1:04 pm
Forum: Money Management
Topic: Increasing leverage through LEAPs
Replies: 16
Views: 13207

Enigma: I like the concept of SSFs, but the problem with them is that they haven't been around long enough to do adequate backtesting. The LEAPs strategy would enable me to do the backtesting on the individual stock and just use the calls for doing the trading. I don't know if it is advisable to do ...
by al2000
Thu Sep 11, 2003 11:52 am
Forum: Money Management
Topic: Increasing leverage through LEAPs
Replies: 16
Views: 13207

Hi, Jason: It has always been my understanding that the options market makers HAVE to take the other side of the trade, by law, if the no. of options is less than or equal to 20 (of course, the bid/ask spread would likely be huge, but at least you'd be able to get out). Is this correct? Also, isn't ...
by al2000
Thu Sep 11, 2003 11:00 am
Forum: Money Management
Topic: Increasing leverage through LEAPs
Replies: 16
Views: 13207

Increasing leverage through LEAPs

Hi, all: I have a question about increasing one’s leverage in trading. It involves buying LEAPs rather than the underlying stock. Here is how I envision using LEAPs. Suppose my equity is $100 K, and I want to risk 1% on a given trade. So, my risk is $1000. Suppose also that I want to trade the QQQ...
by al2000
Wed Sep 10, 2003 7:53 pm
Forum: Testing and Simulation
Topic: Parameter Assignments and Optimization
Replies: 13
Views: 9125

Parameter Optimization and Assignments

c.f.: Very interesting and appropriate reply. It raises some more issues I'd like to expand upon. First of all, in regards to your point about curve fitting, your extreme example where your system gives you one big R-multiple profit that significantly influences your total profitability is a point w...
by al2000
Wed Sep 10, 2003 4:18 pm
Forum: Testing and Simulation
Topic: Parameter Assignments and Optimization
Replies: 13
Views: 9125

Parameter Assignments and Optimization

Thanks, Vince, for your reply. From a purely technical standpoint, the Turtle system, as I understand it, is simply a breakout system in which a buy or short signal is given after a consolidation and after a theoretical loss. So, if I ask myself why do the rules work, the answer is simply that they ...
by al2000
Tue Sep 09, 2003 9:04 pm
Forum: Testing and Simulation
Topic: Parameter Assignments and Optimization
Replies: 13
Views: 9125

Parameter Assignments and Optimization

I am a new member, and this is my first post. My question concerns using the Turtle entry system with the same parameter values for all stocks or optimizing on individual stocks. For example, suppose in backtesting, you find that XYZ gives historically best results using 55 in/20 out. However, YXZ g...