Trading on deskriders

Short Straddles with Laddering

Fri, 10 Jan 2025 11:10:08 +0000

Short Straddles

For e.g. Given that our account can trade 5 SPX contracts at once.

We can either trade 1 contract every day - 5 different positions
Or we can trade all 5 contracts at the same time in a single trade - 1 position
Or we can stagger 5 contracts in a single trade. Add 1 contract every day

Here are the results

(a) 1 Contract Every Day (Max 5 Positions) > 45 DTE Expiry

Short Straddles with RSI based market filters

Tue, 07 Jan 2025 11:55:48 +0000

Hypothesis: What if we avoid new trade if RSI is overbought or oversold?

Backtest with different RSI thresholds and different RSI periods

RSI Thresholds:

RSI Period: 4

rsi_low_values=(0 10 20 30)  
rsi_high_values=(70 80 90 100)

Best Parameters by Expectancy Ratio:

rsi_low_threshold=20, rsi_high_threshold=100
Expectancy Ratio: 1.08
This combination shows the highest expectancy ratio, indicating it provides the best risk-adjusted returns.
rsi_low_threshold=30, rsi_high_threshold=100
Expectancy Ratio: 1.06
Second-best expectancy ratio.
rsi_low_threshold=30, rsi_high_threshold=70
Expectancy Ratio: 1.04
Third-best expectancy ratio.

Key Observations:

Key Metrics for Evaluating Trading System Performance

Sun, 15 Dec 2024 19:51:50 +0000

Summary from this tweet from Laurens Bensdorp

Here’s what seems to matter most:

Core Performance Metrics:

CAGR (Compound Annual Growth Rate) and its variants
CAGR/UI (Ulcer Index) ratio
CAGR/MaxDD (Maximum Drawdown)
Some use RAR (Risk-Adjusted Return) instead of CAGR for more date-independent analysis
Risk Management Metrics:

Maximum Drawdown

Average Exposure (particularly important for mean reversion strategies)
Drawdown Correlation
Total Drawdown
Ulcer Index
Trade Quality Indicators:

Profit Factor

Expectancy
System Quality Number (SQN)
Win Ratio
Standard Deviation of Returns
Coefficient of Variation
Strategy-Specific Considerations:

For Stocks:

Individual trade statistics
Capital utilization efficiency
Average capital use per trade

For Futures:

Risk metrics
Drawdown analysis
Trend gain patterns

Advanced Analysis:

Walk-forward testing results consistency
Performance during “black swan” events (1987 crash, flash crashes)
Stagnation periods
Monthly Return on Risk (RoR)
Monthly dollar performance

Evaluation Method Tip:

Some traders use conditional formatting with color ranking to aggregate multiple metrics, helping identify top-performing systems more easily.

Analysing a very simple Short Straddle strategy

Thu, 12 Dec 2024 11:47:51 +0000

Gather data

The Options data is retrieved from optionsdx. This page documents the field definitions

The downloaded files will be zipped, so extract them into a single directory. It’ll look something like this:

Import data

Use the optionsdx-data-importer.py script to import all the data in an SQLite database

$ uvr optionsdx-data-importer.py --input $(pwd)/data/spy_eod --output data/spy_eod.db -v

The finished database will have an options_data table with all the data from the downloaded files.

Tracking Stocks which could 2x in 1 to 3 years (Reddit Thread)

Fri, 29 Nov 2024 11:25:30 +0000

Came across this reddit post about asking for recommendations where the stock could go at least 2x in 1 to 3 years. I thought it would be interesting to track the recommendations and come back in 1 to 3 years and see how they perform.

Link to Google Sheet:

https://docs.google.com/spreadsheets/d/1ti14jCFZmWEzYf_FxkefI8v-NX-7Y_-_biZIXC5wO2g/edit?usp=sharing

Here is the table with current prices:

Symbol Name	Current Price (Dec 2024)	Price in 1 Year (Dec 2025)	Price in 3 Years (Dec 2027)
ACHR	$8.08
AEYE	$26.80
AMD	$136.24
AMZN	$205.74
ASTS	$23.29
AVGO	$159.67
AXON	$634.96
BABA	$86.59
BITF	$2.15
BRK.B	$483.08
BTBT	$4.43
CAVA	$141.20
CCJ	$57.81
CELH	$28.37
CLSK	$13.86
COIN	$310.98
CRSR	$7.31
CWBK	$36.50
ET	$19.42
EVLV	$3.91
FBTC	$84.51
GOOG	$170.82
GOOGL	$169.23
GSAT	$1.90
GME	$30.89
HIMS	$30.34
HOOD	$37.65
IBIT	$55.03
INTC	$23.65
IONQ	$32.21
KOS	$3.90
LAC	$3.95
LUNR	$14.45
MARA	$26.92
MDGL	$331.45
META	$569.20
MSTR	$388.84
MSTU	$161.00
MSTX	$100.44
MYNZ	$0.26
NEE	$78.52
NVDA	$135.34
NVDL	$68.98
PLTR	$66.05
QBTS	$2.74
QS	$5.18
QUBT	$6.75
RCAT	$9.27
RDDT	$140.04
RGTI	$2.40
RKLB	$25.67
RYCEY	$6.86
S	$28.08
SAVA	$3.98
SHAK	$132.35
SIDU	$1.38
SMCI	$35.07
SOFI	$16.12
SOUN	$7.88
SPY	$598.83
SSYS	$9.55
TMDX	$87.11
TSLA	$332.89
VOO	$550.55
VTI	$298.20
WMT	$91.88
Z	$85.45

Workflow to get the symbols and current prices

With the help of Claude Sonnet, I scraped the symbols and retrieved current prices.