Smb options tribe_6_4_2013

507 views

Published on

  • Be the first to comment

  • Be the first to like this

Smb options tribe_6_4_2013

  1. 1. The Development of3D Channeling
  2. 2. Disclaimer
  3. 3. The Objectives of the 3D Channeling Strategy• Use the statistical benefits of LRC Channel• Maintain positions on both sides of the market• Reduce draw down in extended cycles• Increase theta decay by holding contractscloser to expiration• An entirely systematic strategy• Reduce Gamma and Vega exposure withdouble diagonals
  4. 4. The Back Testing Team• Cesar Huaman• Roland Smitas• Chris Stockton• Dave Stewart• Preston Girard• Jerry Roberts• Jeff Thompson• Joe Moore• Andrew Falde• Vincent Jean• Ken Brandeu
  5. 5. The Data• June 2012 was the launch of multiple weeklyexpirations in SPX• This is a relatively new opportunity and wehave just enough data to build a strategy usingthese contracts• Ideally, a back test includes many marketconditions. We saw mostly rally with one 9%correction in the fall of 2012.
  6. 6. The Data
  7. 7. The Modified Channel• Rounded to $10 increments• Exported to Excel• Back tested ten versions (so far)
  8. 8. Results• 150% on max margin• Close to 200% on max risk• Over 7 times max draw downThese are hypothetical results; simulated using historical data.
  9. 9. Benefits of the Strategy• The 3D Channeling strategy adapts to thetrends, maintains a statistical bias, and benefitsmost from sideways marketsStatistical(Contrarian)Trend Neutral•LRC Credit Spreads•SwingSET•Iron Condors•Double Diagonals•Momentum•Directional
  10. 10. Continued Development• We have begun the third and final round ofplanned back testing of the 3D ChannelingStrategy.• The end result will actually be a few versionsthat can be traded based on individualpreferences and account size.
  11. 11. How to Learn 3D Channeling• Start with LRC Credit Spreads course that willbecome available later this month• Email me– andrew@lessthanrandom.com– afalde@smbcap.com• Subscribe for free at lessthanrandom.com forback test reports and training announcements

×