Update Schwalbe trade

I

Ignatz

Guest
new emini trade will start today with adjusted strikes. All changes and setup will be discussed in the meeting today.
As expected the old trade expired with no risk for a long time and a nice profit on friday. New trade will have nearly no margin at the beginning !
 
I

Ignatz

Guest
i made a short backtest running from March 07 to March 09 using quartely options in SPX !!! no emini data available. .
here the results:

März 07​

571​

Juni 07​

-297​

Sept 07​

169​

Dez 07​

-135​

März 08​

1581​

Jun 08​

-175​

Sept 08​

-588​

Dez 08​

436​

März 09​

2153​


but to be honest, can i trust this results ? :) but strictly following the rules, commissions at 1.42 as at IB




more details in the weekly meeting

9 trades and 6 of them with -5% exits !
an exit doesn´t mean a big loss everytime

Strikes has been adjusted to V=10 and A = 20 when below 1000 (Dec 08 and March 09)
 

Sohil

New member
Hi Ig,

Could you please clarify your statement?
"Strikes has been adjusted to V=10 and A = 20 when below 1000 (Dec 08 and March 09)"

You meant to say *below 3000*?

Currently, with the latest eMini trade, V=20 and A=25 right?

Like Reply
 
I

Ignatz

Guest
hi Sohil
dec 2008 the SPX was below 1000. the A and V was adjusted to a smaller width.
the current trade Dec 2019/March 2020 has V = 20 points and A = 30 points because SPX/Emini is above 3000.
 
I

Ignatz

Guest
today i closed all positions. My loss per tranche is 532.5 plus commissions. The trade left my comfortzone so it is better to close it.
Staying in the trade would be now difficult because the distance to the upper vertical is pretty big and only 4 weeks left. And on the way to the upper expiration line you have negative theta.
making an adjustment by buying back the sold PCS will move the middle expiration line down to about 1.100, which is DOUBLE than the taken loss now. Getting to the upper expiration line will also be not profitable because it will be at zero after adjusting, but of course PCS can be sold on the way up but also raise the risk to the downside and very important: there are now less than 4 weeks left and prices for selling PCS are getting lower day by day IF price will move up again.
No adjusting and just hoping can cause the max loss of 1380 if it is getting lower and stay there.
Also selling the "V"-butterflies adds a lot of risk to the trade and you still don´t get a good price for selling them.
buying back the sold vertical is very expensive now and doesn´t give any benefit to the trade.
SO it is better to close, take a small loss and open the next trade im March.
i am sad about having a negative trade just at the beginnig for some of you but it is a good example, what happens in the "worst case", when i close the trade.
The loss is now at 532,5 plus comm, the upper expiration line was after the adjustment at plus 620 minus comm with the potential to sell another PCS when going up again to raise the upper expiration line to min. 1k (but will also add risk of about 1k to the downside).

Not really a desaster, i got out of the trade with an acceptable loss in a situation, when we had a drop of nearly 15 % !
the theoretical max loss in this trade was 1.380 plus comm, my loss is only 39 % of it.

this is absolute inside my risk calculation and lower than the average winner

Screenshot 2020-02-27 22.05.46.png
 
I

Ignatz

Guest
Schwalbe live performance

So far we had the highest volatility spike of the last 10 years, VIX at 54.39 !
My tradingsystem stopps when market is leaving my definition of a comfort zone.
And i think it really did !

But much more important than this: Did i survive ? How much stress i was forced to accept ?
Do i have a loss which might eliminate the profit of months or even many years ?

let´s look at the results and make up your own opinion:

results live performance:
Sept-Dec 2019: $ 524.5 incl commissions
Dec-March 2020: $ -532.5 plus commissions

which was my max risk (max RegT margin) in the current trade Dec 2019 to March 2020 ?
$ 1 403 (lower expiration line)
the realized loss was less than 38 % of the max loss

theoretical profit $ 596 (possibly higher by more adjustments following the rules if no exit happened)
max SPAN margin: much lower, estimated about $ 900
planned capital RegT (very conservative): $ 7 000

is it as expected from the backtests ?
Yes absolutetly, no unexpected loss
It was successful in being a reliable system, resilent against volatility spikes ( and we had the biggest of the last 10 years, VIX peak at 54.39).
ES dropped by 16 % and party might not be over.
I don´t know, how other systems performed. My loss was as expected and amount was NOT bigger than a normal winner.
And this was the worst case which can happen to my system.
Ratio win/loss backtest and live since Dec2014: 17/4

If you need a proof, if my system has not fat tail risk and is resilent against volatility spikes - here it is.

how many adjustments were made ?
Sept-Dec (old version): 11
Dec-March (new version): 2

heavy stress or sleeples night ?
Not at all, no fat tail risk ever during the whole trade.

clear signal when to exit ?
Yes, below -5% of entry price is ALWAYS an exit signal. No exception.

What if there was no exit ?
One day later loss would be at about $ - 1,022. and starting rollercoaster.

Some changes were made in the system, simplified but no higher risk or less profit.
Clear limits depending on entry price, when to make an adjustment.
Limits are fixed right from the beginning until expiration
Basic rules when to adjust are fix, only few adjustments are discretionary, depending on DTE, Volatility, numbers of adjustments already made etc.

You have seen, there is no unexpected loss, you experienced the quality of not having a fat tail risk at all.

This was a situation which doesn´t happen very often and still inside expected results.

Here is the special offer:
For new members March until June 19th 2020 $ 201
or regular price per month $ 101

the new trade starts on monday, March 23rd
 

Chuck Moore

New member
Good job Igi. I would guess at this level of VIX you're not going to get close to $1.00 for the V but I guess the Put Credit Spread will give you some nice premium. For the A do you still target 5% in this environment since it will be inside 1 standard deviation? Any other tweaks or thoughts here with VIX at 50 plus?
 
I

Ignatz

Guest
hi Chuck i am flat since Thursday Feb 27th , not invested at the moment. It´s no fun to be in the market. Too much rollercaster and out of my "comfort zone". for the new trade i will look at the numbers in 2 weeks. But i think i will enter as usual, i enter in low and high volatility, only argument is monday after 3rd friday quarterly.
i personal bought VXX puts with longest possible expiration which is June 2022.
 
I

Ignatz

Guest
Livetrades since Sept 2019

i am out of the market since Feb 27th.
My exit was not "lucky" but part of my rules and could even have been better, if there was no cross of 2 lines in one day which happened twice since 2004. So far one winner, one loser. Still better than being thrown back in SPY on the level of Nov 2017 which means 28 months "in vain"

Next trade starts in 10 days. Look at the special price above.

Livetrades ab Sept 2019.PNG
 
I

Ignatz

Guest
On monday afternoon i start my new schwalbe trade for a special price for 3 months.
some reasons for the schwalbe trade:
very resilent against volatility spikes
NO fat tail risk like a broken wing butterfly, no "insurance" like backratios needed, which always cost money and lowers profit target.
a loser in Schwalbe is not bigger than an average winner
in Spy you are at the level of more than 3 years ago, Schwalbe just one trade back.
live trades confirm backtests, no "surprise" or "unmanageable" situations (which always means big losses)
trigger levels are fix for the whole life of the trade
only end of day signals
most of the time a very "boring" trade, means not many adjustments during 3 months
 
I

Ignatz

Guest
go out before sh... happens
(exit always when crossing the blue line to the downside, no exception, no may be etc. )


Screenshot 2020-03-18 20.02.43.png
 

Ignatz

New member
i entered as announced on monday 23rd half an hour before market closes.

nice entry. Congratulations to all my members who took the trade

trade March 23.PNG
 

Ignatz

New member
there is a good chance of NO adjustment until expiration in 3 months. As long as it stays above the vertical there will be NO adjustment and we are already quite a bit away from it :cool: . (~15 % up now)
 

Ignatz

New member
hi folks
if you ever need a proof or confirmation, if my Schwalbe system works as shown in the backtests, here i compare a backtest with real trading.
I think there might be no chance to enter the running trade, but IF it happens i will give you an advice.

And here the offer: from now on until friday Sept 18th 2020 for $ 201. After that the normal monthly amount of $ 101. The next quarterly trade starts in June.

Screenshot 2020-03-26 14.24.53.png
 

Marcas

Member
Hi Ignatz,
I do not follow Schwalbe system but I'm interested in comparison of bactest results with real trades. Can you explain me how to look at this comparison you posted? I can't figure it out.
 

Ignatz

New member
it´s just to show: My Schwalbe system is only trading in the "comfort zone" (above the blue level) and will exit when it crosses to the downside. This system reacts in backtests and also in reality like it should. It stopps trading in times of rollcoaster. You don´t have to look at the trade all the time, only end of day data used. Nothing for adrenalin junkies, often pretty boring as long as you stay above the blue line withich happens most of the time. And if you cross you get out with a small loss which is not bigger than a normal winner (see posting above), can calm down because you are NOT in the market. I don´t wanna know, how many traders got trouble or even lost their account. Not me, i am pretty relaxed, no trouble, stayed outside and entered again at a very nice level and may be there wil be NO adjustment until expiration in June, because above the red line there will be NO adjustments. At the moment we are more than about 20 % away from this level. ratio win loss from 2014: 20 trades, 16 winners, 4 loser
 

Ignatz

New member
If you only have 2 orders in some trades, an entry and an exit 3 months later, what do you expect for a difference between backtest and real performance ? You might have a little more or less slippage, the time when you enter may be a little different (about half an hour difference) ?
The number of adjustments per quarter is from zero to about max 4. And you sell and buy at the same time IF there is an adjustment. The (loss in) time value is the most important benefit in my trade without having a big or a fat tail risk.
 

Marcas

Member
I didn't expect anything. Just read your post where you said "here i compare a backtest with real trading'. I stared at the pic you posted and couldn't figure it out. This comparison is the only thing I was interested in. Any additional questions would probably appear after seeing the comparison.
My misunderstanding of your words., no problem. Thanks for explanation.
 
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