Tonight’s post will be short as I’m running a long optimization in the backtesting software and it will not be complete until tomorrow. Without the software, I can’t publish all my nifty little charts and corresponding statistics.
I’m considering shorting a little SPY on tomorrow’s open, especially if we open higher. I think the conditions are ripe for a little pullback; a test of the 50 day average would be normal.
The optimization I’m running is testing breakouts of an X day high against an N day holding period. When it is complete, I will post the results. The idea is to see if there is a robust intersection between the X day high and an N day holding period. If there is, then those variables will likely serve as the baseline variables in future testing. I’m hoping that what will be found is that a shorter hold period yields a better return than a longer hold period. If so, this will mean more opportunity and more turnover and greater potential for profits.
step 1: buy September puts
step 2: go on vacation
step 3: profit $$
Didn’t we just have 3 days f testing the 50 period ma? imo. we did.