Yeah, today was a horrible day for an oil buying, option writing strategy. Volatility exploded and oil crashed to new multi-year lows. This is something I was very worried about when developing my strategy because I expected the recent rally to only last a few months. I had hoped it would last the duration of the competition but that's why they call it the slope of hope. Stocks are headed lower along with the commodities so I don't expect my program to recover. My program might not have taken such a large hit today if it had been running and able to exit positions, but I was busy and it didn't run at all today. Oh well, I'll continue to post the progress but unless there is a major reversal in stocks by the end of the week, DT2009 will likely end up in the red for this year's competition.
On a surprising note, most of the top ten competitors lost significantly last week. If they lost last week, they prob got killed today too.
3 comments:
Ya,market has been mostly volatile and range bound b/w 870/790 levels.So lack of trend is really killing everyone's algos.And ofcourse you are long but i dont think so oil will rise as there is mediocre demand/supply now a days. your short vega positions might be profitable at the end of competition.But no scope for crude oil,i guess.
Hey Chintan,
Market has definitely not been range bound during the competition, its been trending lower. The first day of the competition was the highest the S&P500 has been and today was the lowest:
http://stockcharts.com/h-sc/ui?s=$SPX&p=D&yr=0&mn=1&dy=9&id=p36262385788
A range bound market would actually be the ideal thing for my program. It doesn't seek to be bullish or bearish, however it has accumulated a bullish position because volatility has been expanding on the downside and my program shorts volatility. That being said, the entire position is in naked shorts of February puts. So after Friday there will be no net position either way aside from oil. Hopefully, my program will be able to recover into the green by the end of the competition because I want that $1k!!
The oil strategy was definitely a bad call and it has cost my program about 100k$ or 10% to date.
So how is your strategy doing?
Yeah,for VIX ranging 50 we can say that things are not as volatile as it should be.Ya I saw that chart of s&p,its trending lower.But I guess it would be tough for algorithm to anticipate such a trend.As that trend makes sense only if you make 1/2 trades in 8 weeks.
After 5 weeks of losses..I was finally up 8% yesterday.I have taken extreme leverage so even I might get wiped out again(As I was so far now with a bottom 75% down of mine equity).Well I wont disclose my position yet as I am still in that position.
All the best.I wish we both end up in +ve territory.
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