Investment Strategies / Mechanical Investing
No. of Recommendations: 0
This is mostly directed at Elan:
How have the 6/3 options on the VL1/2 RRS126-2sigma been doing of late. I know that at some point the returns got small, but have they returned?
--G
No. of Recommendations: 3
How have the 6/3 options on the VL1/2 RRS126-2sigma been doing of late. I know that at some point the returns got small, but have they returned?
This month has been very good, but I'm a long way from the previous high point of my portfolio.
Elan
No. of Recommendations: 0
This month has been very good, but I'm a long way from the previous high point of my portfolio.
Since the options are 6/3, do you run 3 overlapping sets of options,so you have one set expiring each month? Or do you simply do it once per quarter? What is your base vs active ratio (e.g.: do you have 10% of the money in options, 90% in cash)? How do you go about selecting which options to buy once you have located the set of stocks?
Thanks, G.
No. of Recommendations: 9
Since the options are 6/3, do you run 3 overlapping sets of options,so you have one set expiring each month? Or do you simply do it once per quarter? What is your base vs active ratio (e.g.: do you have 10% of the money in options, 90% in cash)? How do you go about selecting which options to buy once you have located the set of stocks?
I've shared all this in the past, but anyway;
Yes, there are 3 overlapping sets, with one rolling over each month. Every set begins with 1/9th of the current portfolio total, so on average I always have 1/3 invested in options. The remaining 2/3 are in cash or fixed income investments.
The options selected are 6 to 8 months from expiration and 0 to 10% OTM. Five different options are selected each month, in stocks for which I don't already hold options in the prior sets.
BTW, I responded from memory yesterday about the recent performance. June was actually a very good month too for my options.
Elan
No. of Recommendations: 4
Hi Elan,
Yes, I know you have gone over this before, but I wanted to refresh and review what you were currently doing.
Also, since GTR1 is down, are you using the old RRS spreadsheet to generate the RRS126-2Sigma, and if so, what are you using to get the historical data (as yahoo has gotten a bit weird).
I wound up writing a google sheet to grab the data and then pasted it into that spreadsheet to do so. Happy to share that if people on the board are interested. It is a bit finicky, and I keep thinking I will write a python script to automate it, but other things take up my time. ;)
--G
No. of Recommendations: 7
Also, since GTR1 is down, are you using the old RRS spreadsheet to generate the RRS126-2Sigma, and if so, what are you using to get the historical data (as yahoo has gotten a bit weird).I've always used the RRS spreadsheet and continue to do so. But the historical data fetch is broken. So I use Jason Strimpel's data
fetch and I copy and paste into the RRS spreadsheet. It takes multiple data manipulation steps which took me many rounds of practice to get it to work smoothly.
Here is Jason's web page -
http://finance.jasonstrimpel.com/bulk-stock-downlo...Elan
No. of Recommendations: 1
Hi hiphop,
Will you be kind enough to send me the google sheet and the old RRS spreadsheet. I lost my old RRS spreadsheet as my computer's hard drive got damaged.
Thanks in advance.
AJ
