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Saturday, January 27, 2018

Weekend Portfolio Analysis (January 27, 2018)

This week's analysis has been published at LTOptions.com

Download Weekend Portfolio Analysis (2018-01-27).pdf

If the above link doesn't work for you, simply log in to LTOptions.com, navigate to the "Weekly Analysis" tab and download the document from there.

The Weekend Portfolio Analysis will be available on this site next week for historical reference.

All currently open positions can be seen on the 2018 Track Record page


Last Weekend Analysis now publicly available:
Weekend Portfolio Analysis (January 20, 2018) 
Important Note 1: New material has been added to the LTOptions's library. Elephants vs Iron Condors (Full Comparison) is an eBook that details among other things: key differences between the two strategies; pros and cons; which one performs better according to the environment; evolution of the T+0 line over time, etc. This new eBook is visible on the page that comes right after logging in: 


Important Note 2: Some modifications have recently been made to the 2018 Options Trading Plan. The changes are focused on efficiency and simplicity when defending Credit Call spreads. Log in to LTOptions.com and consult the 2018 Options Trading Plan ebook.


Recent Trading Activity

- On Monday I closed the Feb SPX 2825/2830 Credit Call spreads along with the partial hedges that had been added: Feb SPY 282 Long Calls. A loss on the Credit Calls plus a gain on the long Call hedge. Net net it was a $3300 loss.

- Purchased SPY March 290 Calls as an upside hedge for the 2900/2905 Credit Call spreads on Tuesday.


There's no denying that we are off to a bad start. The bleeding however, is over. Or almost over, as those March SPX Credit Call spreads are suffering losses and they are still in play. Combining all the losses that are direct result of this historic rally, the portfolio will be down by about 9% (2.8% with January positions, about 4.2% with February positions, and about 2% more with March positions - See Track record page).

Usually, Iron Condor / Credit spread traders are down 25% to 30% after a rally of these proportions. Countless of them have sadly disappeared in recent years due to rallies that are nothing compared to this one. This is the worst possible environment for index premium sellers (unless all you do is sell Puts of course). Prior to 2013 the Credit spreads selling business looked almost too easy. It wasn't hard to find several websites discussing Iron Condors, Bear Call Spreads and Bull Put spreads showing impressive returns. Especially after 12 cruel years (1999 - 2011) where the market went nowhere and pundits were saying things like "Buy and Hold is dead" or "The 60/40 portfolio doesn't work anymore". How times change!

Back to our current situation. It has become clear to me that overcoming this draw-down will be a challenge if we intend to do it purely based on Credit Spreads. It is doable, but to achieve it using only that tool takes some months. Consequently, part of our recovery will be based on adopting new tactics, which will be explained below in the Action Plan section.

Thursday, January 25, 2018

Sharing more strategies and results

From the beginning this site has been about sharing and learning as much as possible, rather than showing off my heroism in the financial markets. In the same way that you may have learned a thing or two from me, I have learned a lot over the years thanks to the feedback of like-minded readers from all over the world. Without a question, this site has done wonders to my own education as an Investor and Trader.

Saturday, January 20, 2018

Automated Forex Strategies - 2017 Results

Forex has been a tough arena in the last couple of years. Looking at Barclay's Currency Traders Index, it  shows a +0.01% among audited Forex Trading firms in 2017. That's the bench-mark I use for my FX Trading activity, which is all automated.

Once again I purchased high quality data from several brokers via forextester.com to run all these tests on the MetaTrader4 platform. Bid-Ask spread used of 2 pips in the simulations for currencies and 0.40 points in the case of Gold. These are normal spreads, nothing out of this world nowadays. The time zone in the quotes was adjusted to GMT+2 so that the trading weeks only have 5 daily candles (Monday through Friday), all of them full 24 hour candles, instead of the shortened Sunday night and shortened Friday.

Weekend Portfolio Analysis (January 20, 2018)

This week's analysis has been published at LTOptions.com

Download Weekend Portfolio Analysis (2018-01-20).pdf

If the above link doesn't work for you, simply log in to LTOptions.com, navigate to the "Weekly Analysis" tab and download the document from there.

The Weekend Portfolio Analysis will be available on this site next week for historical reference.

All currently open positions can be seen on the 2018 Track Record page


Last Weekend Analysis now publicly available: Weekend Portfolio Analysis (January 14, 2018) 
Important Note: Some modifications have been made to the 2018 Options Trading Plan. The changes are focused on efficiency and simplicity when defending Credit Call spreads. Log in to LTOptions.com and consult the 2018 Options Trading Plan ebook.


Recent Trading Activity

- Put spreads of January SPX Unbalanced Iron Condor expired for a combined $1,600 profit on Friday.

- Put side of January RUT Elephant expired for a $1,100 gain on Friday.

- Initiated a March RUT Unbalanced Iron Condor position for $1,680 credit on Friday.

We're done with January positions and now shifting the focus to February and March. The January expiration cycle resulted in a 2.85% loss for the portfolio (See Track record page). February positions have also been a challenge. Chances exist that February will also bring negative results. After that the portfolio should be in full recovery mode. We've never suffered three consecutive months of losses and an unprofitable March is very unlikely.

Friday, January 19, 2018

March RUT Unbalanced Iron Condor


Trade Details:
20 March RUT 1440/1450 Credit Put spreads  @0.62 Credit ($1240)
  5 March RUT 1680/1690 Credit Call spreads @0.88 Credit ($440)

Net Credit: $1,680
Days to Expiration: 56

Sunday, January 14, 2018

Weekend Portfolio Analysis (January 14, 2018)

This week's analysis has been published at LTOptions.com

Download Weekend Portfolio Analysis (2018-01-14).pdf

If the above link doesn't work for you, simply log in to LTOptions.com, navigate to the "Weekly Analysis" tab and download the document from there.

The Weekend Portfolio Analysis will be available on this site next week for historical reference.

All currently open positions can be seen on the 2018 Track Record page


Last Weekend Analysis now publicly available: Weekend Portfolio Analysis (January 7, 2018) 
Important Note: Some modifications have been made to the 2018 Options Trading Plan. The changes are focused on efficiency and simplicity when defending Credit Call spreads. Log in to LTOptions.com and consult the 2018 Options Trading Plan ebook.


Recent Trading Activity

- Closed Jan. RUT Elephant Call side for a small $103 gain on Monday. This was, as planned, to reduced risk concentration on Call side of Elephants. It was the right decision.

- Closed 2780/2785 Call side of Feb. SPX Iron Condor at $2,300 loss on Monday. Deployed 2825/2830 Call spread ($900 credit), 2625/2620 Put spread ($300 credit). Later in the week (Friday), added SPY Long Calls, strike price 282.

- Closed Call side of Feb. RUT Elephant on Thursday at a $632 loss. The Put side is still in play and it is almost a sure winner by now. With its net $1,060 credit it can turn the Elephant into a winner.

- Closed Jan. SPX 2785/2790 Credit Call spread on Friday at a $1,620 loss. Immediately deployed a March 2900/2905 Credit Call spread right after for $600 credit to eventually mitigate the loss. With this adjustment, the January Iron Condor has been defended three times. This is extreme. Never in the past have I needed to adjust four times. The defense game on the Call side is a challenging one and at times a really frustrating one. Consequently, I have modified the 2018 Trading Plan with new go to moves when the Call side of our Iron Condors is threatened. I think we will be better off in the long run with these changes. Check them out over at LTOptions.com.

Thursday, January 11, 2018

ETF Momentum Rotation Systems - 2017 Results

In the ETF Rotation Systems to Beat the Markets series, written more than three years ago, we discussed the idea behind this dynamic, and yet fairly laid back way of investing, which evidence suggests is superior to simply following an index (Mebane Faber's work, back-testing some of these principles over a century of data is a good starting point). With 2017 in the rear-view mirror, it's a good time to compute the most recent results. Once again I bought a one-month membership over at ETFReplay.com to run the tests and show you the results.

Wednesday, January 10, 2018

Investing - 2017 Results

Quick update on my passive investment activity.
This all happens in my TFSA account (Canadian equivalent to a ROTH IRA in the US).
In the previous update, reflecting 2016 results, the performance of this account was a solid +24.53%. Article here for more details.

In 2017 the Canadian TSX index was not remotely as strong as in 2016, but it stilled grew +6.03%: from 15,287.59 to 16,209.13 points. The Canadian market by far under-performed the American market in 2017. It has been looking more attractive in terms of valuations for a while, but this hasn't been reflected in performance so far.

Sunday, January 7, 2018

Weekend Portfolio Analysis (January 7, 2018)

This week's analysis has been published at LTOptions.com

Download Weekend Portfolio Analysis (2018-01-07).pdf

If the above link doesn't work for you, simply log in to LTOptions.com, navigate to the "Weekly Analysis" tab and download the document from there.

The Weekend Portfolio Analysis will be available on this site next week for historical reference.

All currently open positions can be seen on the 2018 Track Record page


Last Weekend Analysis now publicly available: Weekend Portfolio Analysis (December 31, 2017) 
Recent Trading Activity

- Closed 2745/2450 Call side of January SPX Unbalanced Iron Condor at a $1920 loss on Friday. Immediately deployed a 2785/2790 Credit Call spread for a $480 credit. I'm a little frustrated. Losses are part of the game, but basically this position should have been closed two weeks ago simply due to risk concentration around SPX 2740 along with the February position. It's a rule. I never thought these levels would be tested. I became overconfident and didn't follow the basic tenet of the system that urges to avoid concentration of risk on the spectrum of prices of the index. Iron Condors were my best performing strategy in 2017. No need to abandon them. The rule is in place, the situation could have been avoided. I chose to ignore it, taking more risk, expecting greater returns.

- Initiated the February RUT Elephant position on Friday for a total credit of $1,456.

Friday, January 5, 2018

February 2018 RUT Unbalanced Elephant

Trade Details:

40 RUT 1455/1460 Credit Put  spreads 0.30 Credit ($1200)
16 RUT 1625/1630 Credit Call spreads 0.48 Credit ($768)

plus

17 IWM Long 163 Calls @0.22 (-$374)
2   IWM Long 147 Puts @0.70 (-$140)

Net Credit: $1456
Days to Expiration: 42

Monday, January 1, 2018

Options Trading reflections (2017 Edition)

2017 was good Options Trading wise. Prior to it (2016), it was my actual passive investing activity that excelled, and earlier it was Forex. So, it looks like every year the "leading" component of my money that is at risk in the markets tends to change. But in 2017 the results I got from Options were fairly good.

The final performance number is +20.27%. The SPX benchmark was up 19.42%. Now, if we include dividends, then the number is 21.7%. Strictly comparing starting and ending prices, I outperformed the index. Comparing against the ETF that pays dividends, I under-performed it. Of course the pure SPY holder does not get that return due to broker commissions plus the ETF's management fees, but that aside, it is undeniable that the markets had a spectacular year for passive investors.