Potential Apex OTM Binary Trade System Using Deviation Levels

#41

Ok Brand thanks for the clarification youve made, Ive re read all the thread just to make sure I understand 100% the system before giving my feedback or thoughts.

1- Ive seen you changed from a 25% to a 5% (+/- from the entry/strike deviations) Why you did that change? I think a 5% of a half deviation doesnt give enough room for a trade to get triggered?

2- Also when you looked at prices of the strikes you took into consideration if it was a bid or an ask price what you need for the pending order to get filled? (I dont care about bid/ask spreads Im just asking for purposes of orders being filled)

3- on your profitability analysis on ā€˜ā€˜C Tradesā€™ā€™ , Strategy 1, Option A. you got a total profit of $525ā€¦ you took in to consideration the x3 $75 loosing trades you had?

Esteban

#42

I thought the same.

#43

CHEVA - 1 - it should be 25% (which means 5 ticks either side on Y). I changed the post to reflectā€¦ 2 - donā€™t understand your question. The strike is within the +/- 25% range and I am looking at $25 profit potential (buy for $75, sell for $25). 3- Yes I did. I sent Darrell the spreadsheet, which you can look at once he posts.

Thanks again, Brad

#44

Updated XLS courtesy of DCA - Brad

http://apexinvesting.com/wp-content/uploads/2013/10/UPDATE-INDICES-TEST-1.xlsx

#45

All- now that the methodology is set, I will just provide the updated stats and the spreadsheet. It is quite time consuming to mark up the charts, and I want to start working on adding other markets to see if this works on othersā€¦

I will still put the date on the spreadsheet of the trade entries, so if someone wants to look at it they can use market replay.

Happy Trading!!! Brad

#46

thanks Brad! continue with your work! hope it works on other markets! been looking to some medium-low volatility forex pairs like USDCAD and USDCHF maybe the strategy works on them too.

keep it up! Esteban

#47

I know Brad is wanting to get a lot of markets tested on this. If you want to take the stragegy and XLS and do some fx pairs would be great!

[quote=cheva282]thanks Brad! continue with your work! hope it works on other markets! been looking to some medium-low volatility forex pairs like USDCAD and USDCHF maybe the strategy works on them too.

keep it up! Esteban[/quote]

#48

All- I appreciate the offers of help, it really was taking a lot of time. This weekend I will finish up the spreadsheet (makes data collection and calculations easier) and then post it here. I believe that there is something worthwhile here to share with people here and let them make money!!!

Thanks again for the help, Brad

#49

Folks - here is the data for all of US Indices thru 10-11:

Data Thru 10-11 Instrument Wins Total Trades Probability YM C Trade 67 73 91.8% YM Cā€™ Trade 69 73 94.5%

TF C Trade 65 81 80.2% TF Cā€™ Trade 70 81 86.4%

NQ C Trade 51 54 94.4% NQ Cā€™ Trade 47 54 87.0%

ES C Trade 32 41 78% ES Cā€™ Trade 37 41 90.2%

                       Strategy 1                                   Strategy 2

Instrument OPT A OPT B OPT A OPT B YM C Trade $550.00 $146.50 $675.00 $437.50 YM Cā€™ Trade $225.00 $301.50 $200.00 $118.50

TF C Trade -$450.00 -$2587.80 $75.00 -$1216.30 TF Cā€™ Trade -$275.00 -$1514.30 $75.00 $14.80

NQ C Trade $275.00 $364.00 $275.00 $290.50 NQ Cā€™ Trade -$25.00 -$224.00 $100.00 $74.50

ES C Trade -$475.00 -$1378.00 -$75.00 -$185.00 ES Cā€™ Trade $175.00 $2.50 $175.00 $226.50

I will send the spreadsheet to DM. I will also write up a short description of the different types of trades, strategies and options this week. That way, there will be a concise explanation, instead of going through the long thread.

For those that want to help out gathering data/testing, I appreciate it. The Excel spreadsheet is plug and play. All of the calculations are automatic, and all you have to add is the actual trade info (date, dev level entry, W, L, Characterization of trade (P, LP, SP). Once I get the write up done, I will add a data collection portionā€¦

Enjoy!!! Brad

#50

Brad, thank you for sharing that.

#51

Here is the latest XLS Brad made http://apexinvesting.com/wp-content/uploads/2013/10/UPDATE-INDICES-TEST-2.xlsx

#52

Darrell - I am wondering why the indices in this test have such different profit potentialsā€¦

I understand, just by looking at the charts and the numbers, that the much larger losses in TF are due to the fact that TF more than any other index, reaches the entry strike level and passes through it. TF reached 27 times on C trades, 19 on Cā€™ trades, compared to: YM - 13 on both, NQ 9 C Trades and 16 Cā€™ Trades, and ES had 11 C Trades and 12 Cā€™ Trades reach.

Since, more often than not, the indices move in step with each other, I figured that maybe volume has something to do with it, and crunched the average daily volume for each index. ES had the highest daily volume (for a month) of 1,541,800, NQ was second highest with 229,550, then TF at 106,800 and finally, YM at 98,150.

So, I know there is a link between reaching the entry strike and profitability, but volume has no correlation to the profitability. So, I am assuming there is a part that I am missingā€¦and it is bugging me!!! (Canā€™t help it, I am an engineer by trainingā€¦)

Any ideas???

Brad

#53

I wonder if itā€™s simply because of the ā€œaccuracyā€ of the deviation levels themselves?

#54

Mark - I thought so (and think so), but was trying to figure out if there was some seasonality bit that I am missing. Because the dev levels are accurate, but why does this work better for some and not others when the entry is based on dev levels. Like I said, I am an engineer, and even though it works pretty well, I need to know whyā€¦:confused:

Brad

#55

What I meant is that maybe the deviation levels arenā€™t as ā€œaccurateā€ for TF as compared to the others.

#56

I think thereā€™s a typo in cell AA38 - shouldnā€™t it be ā€œC Primeā€ rather than ā€œC Tradeā€

Also, what is ā€œdcā€

Because selling strike on a green E & buying strike on a red E, might consider exchanging the 06 APEX Color Long & 07 APEX Color Short parameters.

[quote=darrell]Here is the latest XLS Brad made http://apexinvesting.com/wp-content/uploads/2013/10/UPDATE-INDICES-TEST-2.xlsx [/quote]

#57

This has to do with the underlying instrument index and what stocks it follows not the deviation levels. The formulas is the same on all four - pulling the Unique IV for that instrument. Its not a deviation accuracy issue so much as unique parameters to that instrument.

TF is comprised small cap stocks. Its in a class of its own. It often moves much faster, more volatility, and has much lighter volume. It overall normally has lighter volume than YM - look at a monthly chart to get a bit better view of volume

NQ is technology stocks which can be prone to move a bit faster as well

YM and ES are more prone to move in lockstepwith each other. (large cap stocks)

So as you are seeing either A it works better on this indice versus that indice. On the one does not work as well on what alternatives are available how could you change up the strategy on the other indice or use that to your advantage etcā€¦ (ie otm versus ITM etcā€¦) or possibly due to the increased volatiltiy you need to widen the parameters on the strike

[quote=dca78_00]Darrell - I am wondering why the indices in this test have such different profit potentialsā€¦

I understand, just by looking at the charts and the numbers, that the much larger losses in TF are due to the fact that TF more than any other index, reaches the entry strike level and passes through it. TF reached 27 times on C trades, 19 on Cā€™ trades, compared to: YM - 13 on both, NQ 9 C Trades and 16 Cā€™ Trades, and ES had 11 C Trades and 12 Cā€™ Trades reach.

Since, more often than not, the indices move in step with each other, I figured that maybe volume has something to do with it, and crunched the average daily volume for each index. ES had the highest daily volume (for a month) of 1,541,800, NQ was second highest with 229,550, then TF at 106,800 and finally, YM at 98,150.

So, I know there is a link between reaching the entry strike and profitability, but volume has no correlation to the profitability. So, I am assuming there is a part that I am missingā€¦and it is bugging me!!! (Canā€™t help it, I am an engineer by trainingā€¦)

Any ideas???

Brad[/quote]

[quote=dca78_00]Mark - I thought so (and think so), but was trying to figure out if there was some seasonality bit that I am missing. Because the dev levels are accurate, but why does this work better for some and not others when the entry is based on dev levels. Like I said, I am an engineer, and even though it works pretty well, I need to know whyā€¦:confused:

Brad[/quote]

#58

Mark - thanks for the catch on AA38ā€¦youā€™re right and I changed it.

DC was just my notes for having double checked the formulasā€¦

The colors werenā€™t meant to be indicative of the type of trade that it was, more for just helping to organize the spreadsheet. If it is confusing, I can certainly change it.

Thanks for the second set of eyes on thisā€¦ Brad

#59

Updated XLS from Brad

http://apexinvesting.com/wp-content/uploads/2013/10/UPDATE-INDICES-TEST-3.xlsx

#60

Just to clarify, Iā€™m referring to APEX pattern chart colors, not the spreadsheet.

Thanks again for sharing your work.

[quote=dca78_00]

The colors werenā€™t meant to be indicative of the type of trade that it was, more for just helping to organize the spreadsheet. If it is confusing, I can certainly change it.[/quote]