Thursday, April 28, 2011
Feature slated: "Sample Variance" for options backtesting
Our feature "Sample Variance" will appear in the July 2011 issue of Technical Analysis of Stocks and Commodities. It covers how to use this approach to quickly and easily backtest options strategies, as does our newest product, Option Wizard® Simplified Options Strategy (SOS) Backtester.
Saturday, March 19, 2011
Option Wizard® Simplified Options Strategy (SOS) Backtester shows that despite earthquakes, tsunami's and nuclear catastrophes, probabilities prevail
On Wed. March 16, 2011, we used the new Option Wizard® Simplified Options Strategy (SOS) Backtester to determine some expiration probabilities for SPY.
Previous close: SPY 128.56 Tues Mar 15, 2011
THE PROBABILITIES FOR SPY CLOSE 2 DAYS LATER:
So where did it close, Friday, March 18, 2011 -- options expiration?
Very near our highest probability 128, which Option Wizard® put at 54% probability. Doesn't mean SPY couldn't have closed at 136 or 118, it could have. Theoretically. But where should we put our confidence? Where should we place our positions.
Btw, I mentioned this exercise to a colleague as I was doing it. He is a financial engineer, Chicago firm, fan of fat tails, black swans, and N. Taleb. He scoffed. I understood, he had/has a point.
Still, even in a week (a prior month) of
Previous close: SPY 128.56 Tues Mar 15, 2011
THE PROBABILITIES FOR SPY CLOSE 2 DAYS LATER:
| 136 | 0.79% |
| 134 | 1.97% |
| 132 | 6.71% |
| 130 | 22.11% |
| 128 | 54.64% |
| 126 | 11.69% |
| 124 | 4.11% |
| 122 | 1.66% |
| 120 | 0.95% |
| 118 | 0.63% |
| 127.76 | |||
Very near our highest probability 128, which Option Wizard® put at 54% probability. Doesn't mean SPY couldn't have closed at 136 or 118, it could have. Theoretically. But where should we put our confidence? Where should we place our positions.
Btw, I mentioned this exercise to a colleague as I was doing it. He is a financial engineer, Chicago firm, fan of fat tails, black swans, and N. Taleb. He scoffed. I understood, he had/has a point.
Still, even in a week (a prior month) of
- Big moves, bull & bear
- Aftermath: Earthquake, 5th worst
- Aftermath: Tsunami
- Ongoing and raging and worsening nuclear catastrophe
Saturday, March 5, 2011
OWTM Gold signal update -- still climbing....
| 1429.50 | 3/4/11 |
| 1408.60 | 2/25/11 |
| 1389.10 | 2/18/11 |
| 1355.90 | 2/11/11 |
| 1348.90 | 2/4/11 |
| 1337.90 | 1/28/11 |
| 1341.90 | 1/21/11 |
Saturday, February 19, 2011
Signal update: gold (good), SPX (too early)
Since our Jan. 21, 2011 call, looking for a near-term bottom in gold, and based on our program Option Wizard® Trading Method Gold, after a rather slight $4 more to the downside, we have been some $48 to the good on gold:
On Jan. 7, 2011 we posed the question: is the SPX running out of steam?
Now we have our answer: no...at least, not yet. (1343.01, close, Friday, February 18, 2011.) And the way things are going, we could as easily pose the question, will the market ever go down again? We think we know the answer to that one: a) eventually and b) when you least expect it and c) when everyone is "all in." Again, stay tuned. We will be.
| 1389.10 | 2/18/11 |
| 1355.90 | 2/11/11 |
| 1348.90 | 2/4/11 |
| 1337.90 | 1/28/11 |
| 1341.90 | 1/21/11 |
On Jan. 7, 2011 we posed the question: is the SPX running out of steam?
7-Jan-11 | 1,271.50 | -2.35 | -0.18% | |
Now we have our answer: no...at least, not yet. (1343.01, close, Friday, February 18, 2011.) And the way things are going, we could as easily pose the question, will the market ever go down again? We think we know the answer to that one: a) eventually and b) when you least expect it and c) when everyone is "all in." Again, stay tuned. We will be.
Friday, February 4, 2011
New: two-click options strategy backtesting
Say you're interested to initiate a condor or calendar or butterfly on, let's say, the RUT (Russell 2000), but you'd really like to know how many times it has moved more than, say, 6%, in say, 20 days, over the last 5 years.
And how does that compare to the SPX or SPY --- or the DIA, or QQQQs? Which trade is best -- in terms of "variance?" Actual market movement?
Now, you can find out in seconds via the new Option Wizard® Simplified Options Strategy (SOS) Backtester.
This will be of special interest to those among the options community who have spent hundreds of hours (literally) clicking through data, day-by-day, in other programs -- and we know there are legions of you other there (and we have been among you).
We use sample variance, and the (still amazing) power of Microsoft Excel and Visual Basic.
More info...
And how does that compare to the SPX or SPY --- or the DIA, or QQQQs? Which trade is best -- in terms of "variance?" Actual market movement?
Now, you can find out in seconds via the new Option Wizard® Simplified Options Strategy (SOS) Backtester.
This will be of special interest to those among the options community who have spent hundreds of hours (literally) clicking through data, day-by-day, in other programs -- and we know there are legions of you other there (and we have been among you).
We use sample variance, and the (still amazing) power of Microsoft Excel and Visual Basic.
More info...
Friday, January 21, 2011
Gold nearing a bottom?
This indicator is not foolproof, just one of many indicators. Still, over time, the big commercials have an excellent track record. At high net shorts, the market is poised to decline; at relatively lower net shorts, the market is poised to bottom, and perhaps rise.
For your consideration, (you can purchase the full file from the OW store):
For your consideration, (you can purchase the full file from the OW store):
| COMMERCIALS NET SHORT | ||
| 1341.90 | 1/21/11 | 206,471 |
| 1359.10 | 1/14/11 | 225,064 |
| 1369.60 | 1/7/11 | 254,582 |
| 1421.20 | 12/31/10 | 259,770 |
| 1384.00 | 12/24/10 | 251,808 |
| 1375.50 | 12/17/10 | 268,135 |
| 1387.10 | 12/10/10 | 278,673 |
| 1408.50 | 12/3/10 | 270,469 |
| 1364.00 | 11/26/10 | 263,893 |
| 1352.20 | 11/19/10 | 264,908 |
| 1368.40 | 11/12/10 | 290,953 |
| 1394.20 | 11/5/10 | 276,612 |
| 1358.10 | 10/29/10 | 282,435 |
| 1327.70 | 10/22/10 | 293,082 |
| 1366.90 | 10/15/10 | 300,022 |
| 1345.90 | 10/8/10 | 299,498 |
| 1317.40 | 10/1/10 | 302,740 |
| 1297.00 | 9/24/10 | 292,308 |
| 1274.30 | 9/17/10 | 292,939 |
| 1246.70 | 9/10/10 | 287,680 |
| 1247.70 | 9/3/10 | 284,561 |
| 1235.90 | 8/27/10 | 264,300 |
| 1227.50 | 8/20/10 | 249,570 |
| 1215.40 | 8/13/10 | 230,980 |
| 1207.75 | 8/6/10 | 222,029 |
| 1182.10 | 7/30/10 | 227,555 |
| 1188.30 | 7/23/10 | 215,664 |
| 1190.80 | 7/16/10 | 248,348 |
| 1209.60 | 7/9/10 | 249,142 |
| 1211.70 | 7/2/10 | 289,956 |
| 1254.40 | 6/25/10 | 288,916 |
| 1257.00 | 6/18/10 | 278,944 |
| 1226.90 | 6/11/10 | 273,577 |
| 1217.40 | 6/4/10 | 267,623 |
| 1216.00 | 5/28/10 | 268,379 |
| 1177.00 | 5/21/10 | 279,744 |
| 1234.80 | 5/14/10 | 282,644 |
| 1209.20 | 5/7/10 | 271,586 |
| 1178.30 | 4/30/10 | 265,522 |
| 1155.20 | 4/23/10 | 257,396 |
| 1135.50 | 4/16/10 | 263,484 |
| 1161.00 | 4/9/10 | 244,906 |
| 1127.00 | 4/2/10 | 207,691 |
| 1107.80 | 3/26/10 | 223,823 |
| 1106.60 | 3/19/10 | 242,295 |
| 1102.60 | 3/12/10 | 251,787 |
| 1132.00 | 3/5/10 | 251,537 |
| 1116.70 | 2/26/10 | 238,044 |
| 1117.70 | 2/19/10 | 219,878 |
| 1091.20 | 2/12/10 | 213,427 |
| 1065.30 | 2/5/10 | 244,579 |
| 1080.60 | 1/29/10 | 248,618 |
| 1092.30 | 1/22/10 | 273,647 |
| 1130.40 | 1/15/10 | 282,488 |
| 1136.60 | 1/8/10 | 278,551 |
| 1095.00 | 1/1/10 | 278,942 |
| 1104.50 | 12/25/09 | 285,665 |
| 1112.50 | 12/18/09 | 303,791 |
| 1115.00 | 12/11/09 | 299,186 |
| 1161.40 | 12/4/09 | 308,231 |
| 1166.50 | 11/27/09 | 306,104 |
| 1150.10 | 11/20/09 | 281,546 |
| 1118.50 | 11/13/09 | 282,784 |
| 1097.00 | 11/6/09 | 283,852 |
Sunday, January 9, 2011
Scan Wizard™ poses the question: is the SPX rally losing steam?
The SPX has pressed mightily ahead since Dec. 1. When the optimized slow Force Index (here still positive 3.7 million) turns negative, Scan Wizard™ will go short. Are we close? Another potential warning sign is the unusually low volatility, at least for recent years, which Scan Wizard™ measures at 13.3% (100 DMA).
Our feeling is with the slow turn in employment, improvement in corporate profits, etc. the retreat may be only a classic 5% to 10% bull market correction, but that's still 60 to 120 points. Could we go back to 1210, or even 1150? So far the bull has mightily resisted any effort to rein him in. Stay tuned, meanwhile, we invite your free Scan Wizard™ trial.
Our feeling is with the slow turn in employment, improvement in corporate profits, etc. the retreat may be only a classic 5% to 10% bull market correction, but that's still 60 to 120 points. Could we go back to 1210, or even 1150? So far the bull has mightily resisted any effort to rein him in. Stay tuned, meanwhile, we invite your free Scan Wizard™ trial.
| Time | Last | Change | % Change | Slow Force(12) | L/S Force | P/L |
| 7-Jan-11 | 1,271.50 | -2.35 | -0.18% | 3,712,409,367 | - | - |
| 6-Jan-11 | 1,273.85 | -2.71 | -0.21% | 6,480,216,769 | - | - |
| 5-Jan-11 | 1,276.56 | 6.36 | 0.50% | 11,961,571,555 | - | - |
| 4-Jan-11 | 1,270.20 | -1.67 | -0.13% | 6,821,729,210 | - | - |
| 3-Jan-11 | 1,271.87 | 14.23 | 1.13% | 15,948,844,587 | - | - |
| 31-Dec-10 | 1,257.64 | -0.24 | -0.02% | 4,028,670,501 | - | - |
| 30-Dec-10 | 1,257.88 | -1.9 | -0.15% | 4,142,333,174 | - | - |
| 29-Dec-10 | 1,259.78 | 1.27 | 0.10% | 4,994,736,185 | - | - |
| 28-Dec-10 | 1,258.51 | 0.97 | 0.08% | 7,316,390,020 | - | - |
| 27-Dec-10 | 1,257.54 | 0.77 | 0.06% | 8,690,868,649 | - | - |
| 23-Dec-10 | 1,256.77 | -2.07 | -0.16% | 9,606,399,685 | - | - |
| 22-Dec-10 | 1,258.84 | 4.24 | 0.34% | 11,227,631,560 | - | - |
| 21-Dec-10 | 1,254.60 | 7.52 | 0.60% | 12,109,166,162 | - | - |
| 20-Dec-10 | 1,247.08 | 3.17 | 0.25% | 9,774,479,404 | - | - |
| 17-Dec-10 | 1,243.91 | 1.04 | 0.08% | 14,249,844,586 | - | - |
| 16-Dec-10 | 1,242.87 | 7.64 | 0.62% | 25,362,403,019 | - | - |
| 15-Dec-10 | 1,235.23 | -6.36 | -0.51% | 14,886,418,601 | - | - |
| 14-Dec-10 | 1,241.59 | 1.13 | 0.09% | 19,292,469,457 | - | - |
| 13-Dec-10 | 1,240.46 | 0.06 | 0.00% | 17,465,106,521 | - | - |
| 10-Dec-10 | 1,240.40 | 7.4 | 0.60% | 24,782,592,298 | - | - |
| 9-Dec-10 | 1,233.00 | 4.72 | 0.38% | 15,784,798,546 | - | - |
| 8-Dec-10 | 1,228.28 | 4.53 | 0.37% | 13,582,022,169 | - | - |
| 7-Dec-10 | 1,223.75 | 0.63 | 0.05% | 11,467,704,151 | - | - |
| 6-Dec-10 | 1,223.12 | -1.59 | -0.13% | 16,779,695,900 | - | - |
| 3-Dec-10 | 1,224.71 | 3.18 | 0.26% | 18,740,053,058 | - | - |
| 2-Dec-10 | 1,221.53 | 15.46 | 1.28% | 15,660,536,203 | - | - |
| 1-Dec-10 | 1,206.07 | 25.52 | 2.16% | 12,667,703,010 | LONG | 65.43 |
| 30-Nov-10 | 1,180.55 | -7.21 | -0.61% | -13,057,740,116 | - | - |
| 29-Nov-10 | 1,187.76 | -1.64 | -0.14% | -10,178,049,070 | - | - |
| 26-Nov-10 | 1,189.40 | -8.95 | -0.75% | -8,569,272,688 | - | - |
| 24-Nov-10 | 1,198.35 | 17.62 | 1.49% | -4,940,900,931 | - | - |
| 23-Nov-10 | 1,180.73 | -17.11 | -1.43% | -21,140,261,108 | - | - |
| 22-Nov-10 | 1,197.84 | -1.89 | -0.16% | -8,363,546,215 | SHORT | -8.23 |
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