Historical Trading System: AAPL, SPX, RUT, NDX

Activetrader999

Junior member
34 0
I trade options (usually vertical spreads) on AAPL, SPX, RUT, and NDX based on historical trading patterns. While brokerages can provide probabilities of success based on historical moves and standard deviations, the ability to make further adjustments is limited. For example, they may provide success rates based on 1 standard deviation (68%) or 2 standard deviations (95%) but with my online calculators you can set any success rate % you want to use.

My online calculators also offer the ability to further limit the historical data to periods of similar volatility. I do this by only extracting historical data when it falls within a range you specify for the specific volatility indicator. For AAPL, this is VXAPL. For SPX, this is VIX. NDX and RUT have their respective volatility index that is used.

For example, VIX is currently at 18.95. Here is what the calculator shows for historical moves when VIX is between 11.5 and 23. It assumes you are looking for a weekly spread for next week and opening on Wednesday (8-days).

http://screencast.com/t/rCHceRlv

It finds historical 8-day moves only that fall within the same VIX range. It then converts the historical % moves into today's dollars based on the current SPX price. Note that at the far right it shows you the date of the move so you can see how recent it happened.

This shows a Bull Put Spread (BuPS) with a short strike of 1925 has a 95% success rate of not being pierced intra-week. A Bear Call Spread with a short strike of 2110 has a 95% success rate of not being pierced intra-week.

You can then decide based on these historical moves where you want to set your strikes for a spread. You can adjust the success % rate, number of days, and VIX range. There are other more advanced features such as only looking at time periods when SPX has had a certain % move on that day or when VIX has had a big move.

The above example used Friday as the "pivot day" and a historical move from 8 days prior. You can change the pivot day to any day of the week or use "any" for a move over any days regardless of what day it is. You can use this to look for patterns such as Friday to Monday moves.

Using the SPX - VIX correlated tool I was able to double an account from January to August. I have started my 2015 Double $$ Strategy to try and do the same.


The AAPL calculator is set up the same way. It has the additional feature of being able to put in "EarnDay" for the pivot day. Here is what that looks like:

http://screencast.com/t/IoIAcWj0S4l

I used 3 days when it should have been 4 as we are 4 days out until earnings. But it still shows you how it works. If earnings day was 3 days from now, this shows that historically (since 1-1-13 / past 8 quarters) AAPL was up 5 times / down 3 times. Looking at the "Earnings Low Close" / "Earnings High Close" columns you can see how AAPL would close if it followed a similar pattern of those past 8 quarters. It takes the historical % move and adjusts it to current AAPL price moves.

You can look at the far right to see what earnings day each of the moves happened.

You can find a sample version of these calculators at my Active Trading Online Tools site. The full versions are included with the membership to my Active Trading Group (small donation of $120 annually is required).

http://activetrader999.wix.com/online-tools

The sample calculators do not have all the features and are not as up to date as the full calculators.

I do also operate an Active Trading forum and chat-room where we discuss strategies daily. It is a great place to learn about options or discuss trades in a positive environment.

You can see some examples of data / info I provide on my old website:
http://aapltrader99.home.comcast.net/~aapltrader99/Apple_Trading/Welcome.html
 
 
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