Stock Selection for Credit Spreads - Part II

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Stock Selection for Credit Spreads - Part II

Postby WebX99 » Fri Aug 03, 2012 2:46 pm

Also:

I will be using weekly options. I have already setup a separate sector containing just those stocks, eft's and indexes that have weekly options.
I have already setup a new "One Click Setup" just for this sector based on Minimal Drawdowns.

These options start trading on Thursdays and expire on Friday, eight days later.

So my system should focus on short term 8 day trades.

Some feedback on how to setup One Click Setup for this would be appreciated.
Based on my system needs in my previous post, what weights should I give to various Evalualtion Fields on the Strategy Performance Tab?

I have already choosen my custom Weekly Option Sector in the Sectors tab.

Should Dynamic Trading Strategies tab be setup for my short 8 day trades?

Again, I appreciate the help and tips from experienced members.

Rick
Columbus, Ohio
WebX99
 
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Joined: Thu Aug 02, 2012 1:12 pm

Re: Stock Selection for Credit Spreads - Part II

Postby Overload » Sat Aug 04, 2012 9:51 am

You could probably set up trading rules for entry and exit so that it only enters on Thursday, and will always exit on the following Friday a week later. There's a DayOfWeek() formula that will allow you to do this. You might also need to use the $daysheld macro to help exit on the following Friday rather than the day immediately after the Thursday entry. For example, your exit rule might be:

DayOfWeek() = 5 AND $daysheld > 3

Hopefully this helps.

Pete
Overload
 
Posts: 2248
Joined: Wed Nov 30, 2005 12:14 pm

Re: Stock Selection for Credit Spreads - Part II

Postby WebX99 » Mon Aug 06, 2012 2:37 pm

Overload wrote:You could probably set up trading rules for entry and exit so that it only enters on Thursday, and will always exit on the following Friday a week later. There's a DayOfWeek() formula that will allow you to do this. You might also need to use the $daysheld macro to help exit on the following Friday rather than the day immediately after the Thursday entry. For example, your exit rule might be:

DayOfWeek() = 5 AND $daysheld > 3

Hopefully this helps.

Pete

Hmmm...I was hoping there would be a way to do this.

However, there are only 157 securities that trade weekly options if I remember correctly. So I have to be aware that restricting this to opening a trade on a specific day of the week may result in too few trades.

I am also looking at using RANK and selecting those securitys that have moved DOWN the least times over XX% in the last XX days.

I will experiment with this concept and see what happens!

Question: Does SDaysHeld count only market days or calendar days?

Thanks,
Rick
WebX99
 
Posts: 22
Joined: Thu Aug 02, 2012 1:12 pm

Re: Stock Selection for Credit Spreads - Part II

Postby Overload » Tue Aug 07, 2012 10:34 am

Question: Does SDaysHeld count only market days or calendar days?

$daysheld looks at trading days, not calendar days.

Pete
Overload
 
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Joined: Wed Nov 30, 2005 12:14 pm


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