superticker wrote:
That's the basics. I only trade short puts because the risk is limited. Tastytrade doesn't believe in technical analysis but i do.
QUOTE:
I'm not interested in profit. I want to combine a high win rate strategy with a high win option strategy.
So you're saying that "timing" the exit (or position metrics) aren't interesting to you. (I wonder why you're using Analysis Series in the first place?)
So how would you design a novel performance visualizer that would help you design an options strategy? Can you offer some ideas? (I don't know. I don't trade options.)
From the little I know about options, it seems like the Metrics Report, which looks at the overall performance of the strategy, would be your only choice today. And it does include WinRate as "% Profitable" in the Metrics Report.
QUOTE:
TASTYLIVE APPROACH
Short “naked” options are calls or puts that are sold that have nothing to limit their risk (shares of stock, long options).
Since “naked” options have no options that are purchased against them, they benefit the most from the passage of time (theta decay) and any decreases in implied volatility (IV). As a result, the ideal environment for selling naked options in terms of the premium collected is when IV is high.
BEST PRACTICES
45 & 21 Days
DEC 12, 2018
There are several important numbers to remember when trading the tastylive methodology, however two of the most important are 45 and 21. These are the number of days we use to help determine entry and exit points for our trades.
When selling premium, we prefer to sell options with approximately 45 days to expiration and manage those trades with 21 days to expiration. Selling options with 45 days to expiration optimizes theta collection while also providing enough time to manage against adverse price movements. Managing trades at 21 days to expiration greatly reduces gamma exposure and delta expansion improving cumulative portfolio performance.
That's the basics. I only trade short puts because the risk is limited. Tastytrade doesn't believe in technical analysis but i do.
Rename
Because this strategy is based on volatility i'm using bollinger bands and exit after x days. That's why i wanted to see this winrate in the analyse series but it's not possible. So i'm looking for a workaround. It would be interesting to see an analyse based on volatility, technical indicators and .... I understand that this would be out of scope of WL.
https://www.wealth-lab.com/blog/backtest-auto-trade-options
Extension for Tastytrade could help but not popular at the moment.
Extension for Tastytrade could help but not popular at the moment.
Bollinger squeeze is not the right strategy because volatility is too low but if win rate is high why not. Bollinger reversals would be better.
You've thrown a bunch of terms here - win rate, short puts, bollinger squeeze, etc.
But what's the point of all of it?
Like Glitch said in the other thread, WinRate is on the [Portfolio] Metrics Report - it's called % Profitable.
But what's the point of all of it?
Like Glitch said in the other thread, WinRate is on the [Portfolio] Metrics Report - it's called % Profitable.
I wanted to respond to superticker. If it's nog ok. You can remove this topic.
QUOTE:
Like Glitch said in the other thread, WinRate is on the [Portfolio] Metrics Report - it's called % Profitable.
I know but that's not what i want. No problem case closed.
QUOTE:
to see an analysis based on volatility, technical indicators
So you are plotting what-verses-what specifically? Is this plot(s) over one particular symbol or an entire dataset of symbols? You need to be precise because I don't know a thing about options. From your description, I can't tell if you want a time series plot or an XY scatter plot; I just don't have a clue.
ScottPlot comes installed with WealthLab and can 2-dimensionally plot anything including XY scatter plots. It also can do simple statistics. You will need to code things in C#, though. You can't create visualizations with blocks.
You might also want to explain how the proposed analysis will help in selecting the best options so we understand how this will come together. You need to be instructive with explaining your approach.
Thanks for the feedback. I will be back.
I've thought about your problem. In the Analysis Series plot below, the green dots are winning trades and the red dots are loosing trades. If we break that plot up into bins, we can compute the WinRate of each bin. What we find is the bins with 100% WinRate have an N of 1 or 2 trades (dots). And those with the highest N (N=5 or 6) have the poorest WinRate. So what's my point? My point is a WinRate without considering the N for each bin is useless. And any strategy will gravitate to the bin with the highest N (which has the poorest WinRate).
The solution is the do a 3-dimensional regression analysis and include the N as one of the dimensions. Neither WealthLab or ScottPlot can do 3-dimensional plots and analysis, so this will have to be done with a statistics package which can. I guess if this was easy to do, everyone one would be doing it. :-)
What WealthLab can do is export a dataset file with the needed points that you can import into your stat package. And you can probably publish your results in Technical Analysis of Stocks & Commodities magazine. We can help with exporting the data from WL, but you are going to have to do the 3-dimensional regression analysis, which includes N as one of the dimensions. Perhaps (WinRate)x(N)x(indicator).
This will also need to be done over many symbols because there simply won't be enough trades collected to do it over a couple symbols for a 3-dimensional analysis; that just won't work. Are you game for doing the multidimensional analysis on your stat package if we help with exporting a data file from WealthLab? You can use your stat package to slot the exported data into bins and compute results for each bin.
The solution is the do a 3-dimensional regression analysis and include the N as one of the dimensions. Neither WealthLab or ScottPlot can do 3-dimensional plots and analysis, so this will have to be done with a statistics package which can. I guess if this was easy to do, everyone one would be doing it. :-)
What WealthLab can do is export a dataset file with the needed points that you can import into your stat package. And you can probably publish your results in Technical Analysis of Stocks & Commodities magazine. We can help with exporting the data from WL, but you are going to have to do the 3-dimensional regression analysis, which includes N as one of the dimensions. Perhaps (WinRate)x(N)x(indicator).
This will also need to be done over many symbols because there simply won't be enough trades collected to do it over a couple symbols for a 3-dimensional analysis; that just won't work. Are you game for doing the multidimensional analysis on your stat package if we help with exporting a data file from WealthLab? You can use your stat package to slot the exported data into bins and compute results for each bin.
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