My plan going forward.. (HS3, BSH Factory, TTTBSH)

Finally finished up a deep backtest run of the newest trade setups and am finalizing my plan for 2018 which I am confident will be a break out year re profits. The trade plans setup are so robust.

Since Jun I’ve just been testing and testing and testing all the various concepts trying to cohesively setup a plan for end of 2017 and 2018. Majority of my free time has gone into this testing and I think I am finally in the homestretch. I have a plan and I have extensive testing completed for the majority of that plan. Testing was completed for the HS3 from Jan 2014 to present and here are the compounded results:

I’ve been waiting for a high vol red day since Sep 5th, and one has just not really come. I need vol to enter this trade. I’ve tested that there are about 20-24 entries per year but some years can be as low as 12-15. Good enough as the trade will return 10-15% on margin. So not only has the trading from Jan to Aug sucked, but I can’t get a damn entry for these new trades 🙂 Frustrating. I guess a year end is just a date, so patience is what I’ll exercise.

As for live trading, basically up to August, trading has been not going my way. I was live trading the STT and BSH w/ financing and just had a terrible time paying off the BSH structures (as I mentioned several times). I underperformed relative to my goals. Couple that with the legacy Rhinos from the beginning of the year that did AWFUL, it’s just been such a “meh” crappy year. I mean, this year has broke records in all metrics for volatility and down day magnitudes and frequency, it went as badly as it could for these types of trades. Coupled that with the fact that I am waiting to enter large trades, and time is ticking, I doubt I’ll have much chance for even a modest year.

When we do get that down day, I am using the trade desk to put on a 100 unit trade and I am not messing about with filling it myself. If we get another few down days after that, I’ll put on another couple of 100 unit sets on. Fun.

Yeah, so when I look back at the year, it sucked for trading live and results therein but it was the biggest learning and trading maturity step I’ve taken. It feels good. The entire year was probably 500+ hours of testing and analysis. Lots of dead ends, but lots of discoveries Jeez, the latter half of the year was so much back testing that I was dreaming about it. When I was on my trip, I’d use the 3 hour nap (my newborn baby) period during the day to backtest and test concepts and lately, it’s been testing in day and at night when the wife and kids go to bed. Since June, I think there have been 15 or so concepts introduced and I think we’re nearing the end of the runway of what’s possible re overall conceptual structures in the equities options market. Anything from here on in will likely be plays off what we’ve already tested. You can see this manifest as the group naturally is moving towards the next level of complexity—>VIX trading.

I’ve been liking the idea of a TTTBSH protecting the initial setup of a BSH factory and have done some extensive testing on that. Even if you do it in low vol, it seems to work out just fine as the TTT will protect until its adequately setup (the factory).

4 thoughts on “My plan going forward.. (HS3, BSH Factory, TTTBSH)”

  1. Hello, really enjoy your blog. Thank you for sharing your experience. If you wouldn’t mind, I’d like to submit a humble request. If you have time, could you sometime share some of your experience related to trade execution, especially as it relates to 100+ lot trades of 3+ leg structures, both on entry and exit. Thank you kindly.

    1. Good question. Simple structures like a PCS, PDS or condor are easy to fill if the widths are standard. As soon as you go above 200 width in the PCS, especially if you use weekly expirations, will be very difficult to fill and generally only fill when it moves way against you.

      This is where some strategies in backtests look good but fail to deliver in real life. They’re just too hard to fill due to unorthodox structures that aren’t low hanging fruits to MMs and are perhaps not easy for them to hedge against after filling.

      If you are filling butterflies, condors, PCS, PDS etc that are normal type widths, I’ve had no problems with size.

      1. Hi T&T,

        You mention that PCD / PDS are easy to fill at standard widths, as long as you don’t go above a 200 width. By standard widths, are you just talking about the width, or also talking about the strike placement on 25s and/or 10s.

        Thanks and Great Blog!

        1. Hi CC,

          I use 25 multiple strikes and width of 200 150 100 50 25. The 10s just don’t have as much OI.

          Thanks for the comment!

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