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Mike,
>Mark wrote in response to me:
>> computer tested you say?
>
>Gotta start somewhere. Surely OB didn't get to go play out in the street
>without a few clacks on the abacus.
Actually, Mark had a good point. I computer-tested it, but not with
TradeStation. Frankly I didn't see how that was possible. It's a
double-covered-call strategy that manages declines in a way that
they often end up profitable. The system would require historical
data on ALL optionable stocks and ALL their near-term options, as
well as fundamental data on each stock such as earning-per-share
ranking and relative-strength ranking.
Rather than busting my gut trying to find all this data and do it
in TS, I decided instead to develop my own way to evaluate it using
my own programming skills and other tools at my disposal (notably
Excel, www.stocktables.com, and cboe.com).
So instead of analyzing the system as a time series, I analyzed a
whole bunch of trades as a collection of independent events.
I learned through this that I can find situations every month
that will give me a risk-adjusted annualized return of around 35%
or more. Theoretically, then, if I allocate my entire equity to
these positions, the account growth should approximate the average
risk-adjusted return of the individual positions.
>> human tested you say?
>
>Think of the infinite range of possible returns.
The developer paper-traded it for a year and has been real-trading
it for a year, acheiving better than 20% annual returns. His
methods, however, are pretty basic. His stock selection strategy is
essentially random ("pick quality companies").
After I added a risk assessment based on volatility, an additional
interim exit strategy, and a bottom-fishing stock selection
technique using company performance and fundamentals, my father has
been real-trading it for 3 months, and I have done so for 1 month.
My Dad's pretty active, constantly monitoring new opportunities to
see if return on existing positions can be increased by buying back
old options and selling new ones. I'm going for the once-a-month
retirement-account approach.
>> so what did oddball have to do with it?
>
>Just think OB could become the bogey to beat!!!!!!!
Just a point of comparison, that's all. I have NO idea what is
considered a "good" return. I understand that Oddball's is rather
high. However, my personal view is that a system returning 30% or
more annually, with only monthly attention, is a good return on the
effort expended.
I only mentioned it because I put a lot of work into it and I
was pleased with how it turned out. Mark's sarcasm was probably
deserved but I didn't expect it. The system's good points are:
(a) decent, consistent return; (b) minimal effort to trade;
(c) manageable downside risk; (d) BORING! The latter point is
important for a retirement account -- the last thing I need there is
excitement.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
//___) Unicorn Research Corporation -- http://unicorn.us.com
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