- Alexander HornKeymaster11/27/2014 at 6:58 pmPost count: 374
We are recently seing more and more interest from subscribers to execute our strategies using options. So I’m opening this thread for other interested subscribers, in case there is a common ground we will consider including adequate options into our monthly mails.
- Frank GrossmannModerator01/05/2015 at 10:04 amPost count: 151
We do not give specific option signals, as there are too much different possibilities. Beginning of December however I made an example of an option trade in a blog…….
For example you could sell 20 x OTM SPY put options with a strike of 195 and expiry of February 20. So, the strike is about 10% below the current SPY price. You will get 2.55$ premium.
At the same time you could sell 40 x OTM TLT put options with a strike of 115 and expiry of February 20. So, the strike is about 5% below the current TLT price and you will get 0.69$ premium.
For SPY I normally set a lower strike, because if the market crashes, then only SPY will go down. TLT normally goes down slowly. It is important to have some stop loss limits. You can set these for example at double the premium or you close the put position if the underlying ETF falls below the strike.
This is just an example. Option trading is not an exact science and there are hundreds of possibilities to do such a trade. Best is to inform you for example at http://www.tastytrade.com.
- sridharavlMember01/08/2015 at 1:34 pmPost count: 2
Thanks much for the detailed explanation on option straregies. Are there any option strategies for “Maximum Yield Rotation”. Both EDV, ZIV doesn’t have options. Can I replace TLT for EDV & VIXM as an inverse for ZIV ? For example if I want to place long option strategy on ZIV, instead I would use a short strategy on VIXM as replacement.
- VangelisModerator01/09/2015 at 4:07 pmPost count: 144
You can replace EDV for TLT. EDV is the zero coupon version, so more a pure play interest rates, more volatile and less liquid.
SVXY is a direct swap for XIV, with is the short duration and more volatile version of ZIV.
Trading these, and especially options
Tread carefully, slowly if you are not used to trading options on things like this, they obviously create new levels of risk. I trade and portfolio hedge with options on both, and they often require watching/managing daily & never ever use market orders as the bid/ask is often very large or you will get awful fills.
- Richard CarterParticipant02/16/2015 at 4:54 pmPost count: 1
I have been doing some research into all the ETFs etc and it would be a lot easier if you were to quote the CUSIP nr on all the funds as if you are outside of the US then you have to know this number to be able to trade exactly the the right instruments online. I figured it out but it took some time and research.
- Alexander HornKeymaster02/17/2015 at 4:54 amPost count: 374
Hi Richard, first post, thanks!
I’ve also tried to find a reliable data source for CUSIP because as you said it should be the easiest to map the ETF. However, at the end only paid S&P data might do this.If you have found another source please post for the benefit of other readers.
What I use to map US/EU ETF is the following list from XETRA FRA, it contains all important ticker, index and other data, best I’ve found so far. The ‘Xetra’-Symbol + exchange (ex .DE) gives you the historical quotes in Yahoo finance. Not sure if you’re invested in UK or DE, anyhow hope it helps.
Update: Here complete list of US ETF with CUSIP and ISIN
- xmonikaParticipant08/25/2015 at 9:58 amPost count: 5
Hello LI team,
these are not easy days in the market, VIX was yesterday around 50 and the indexes are in red. I was trying to play with the portfolio builder in order to find optimal strategy but the problem is that the most conservative ones (Bond, Bugs) are recommended with the portfolio builder in most scenarios (max sharpe, limit volatility etc) but they are somehow out of it’s characteristic – i.e. both Bugs are now in a larger drawdown than they experienced in the backtest also sleep well bonds are underperforming benchmark by 5% which is a lot for the bonds.
Probably more people than me would need to know your insight about these, if you still have confidence in them or how to deal with the break-the-drawdown problem.
- Mohamed YosryParticipant04/12/2017 at 11:11 amPost count: 7
I am trying to have a strategy combing 3 components of T.Rowe Price Funds (core, sectors and Bonds) to be balanced monthly. I can’t put a maximum allocation for the sectors which takes the top ranks of the total strategy. I think, and I might be wrong, sector rotation is riskier than the core funds and I want to limit it to a max of 30%. Also I noticed the bond hedge doesn’t rank at all, and I tried through portfolio management to put a minimum allocation but I get an error message when I try to save it. Finally will it be possible to replicate the consolidated signal using T.Rowe Price Funds to get Max Sharp, Max CAG Vol <15%, etc…. Attached, please find the portfolios I used. I appreciate if you can help put a hedged strategy of the the 3 components.
You must be logged in to access attached files.
- VangelisModerator04/12/2017 at 11:57 amPost count: 144
In QuantTrader you can set minimum and maximum allocations per asset under portfolio–>Components in the portfolio manager screen (see https://logical-invest.com/wp-content/csvrepository/QuantTraderHelp-web/index.html#Advanced%20Settings%20for%20Strategies%2C%20Meta-Strategies%20and%20Portfolios )
The hedge assets should be the last one on the list when you construct the strategy and should be used with the ranking algo that supports hedging (DR, DRRE).
If you want you can post your .ini file here (or email us privately) so we can better understand how you are setting up.
If you have not seen the webinar, please do, it is very useful https://www.youtube.com/watch?v=d_YpwxuJkhc
- AatiParticipant10/03/2017 at 1:52 pmPost count: 13
Newbie here. Currently I use Gary Antonacci’s Dual Momentum in my SEP account and it has been doing pretty well. Prior to that I was just Buy and Hold. But recently I have been reading up on a lot of different ETF rotation strategies for Equities, Bonds, REITS and Dividend Investing. I landed on your website via Seeking Alpha and since then I have been researching your websites and now very interested in testing the waters. I would like to hear from other subscribers about their experience with using LI Strategies and from LI Moderators if they have any recommendations on how to start with the strategies (I know that’s a loaded question), what I am asking is should I test 1 strategy or get a bundle. I have played around with the the Portfolio Builder and like MaxDD under 15%. But I am not sure how your subscription service works or what’s the optimal method to apply these strategies, is it best to subscribe to all strategies and then each month move into the strategies that are projected to do the best? I am looking to invest for 10+ years and seeking max performance with the least negative aspects such as volatility and draw downs etc. Looking forward to hear from all. Thank you.
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