ok so I have given up on the co-integration idea for now, started working on something temorarily more profitable.
Basically going to program my Ichimoku indicator into matlab. Back testing the 6 signals the indicator produces to test for: A. Legnth of trade in days B. profit of signal in pips.
basis being that I wish to use covered calls to help fix my money management strategy. Basically, as ichimoku has a trailing stop loss built in, calculating the average movement of each signal and its legnth would make me able to create a generalised covered call strategy. Effectively limiting my topside, but virtually destroying my downside.
My worries:
Greeks. I am very bad with them, and the only two I see as being against me would be volatility and delta. Delta can be managed by activly changing the size of the spot trade to match the short option position, but still not sure.
I am sick of my positional stragies being right, but at the wrong time. I figure that this strategy can help with that by recovering the cost of being early or just plain wrong.
currently @ parents so will post more later.
Subscribe to:
Post Comments (Atom)
No comments:
Post a Comment