Sunday, January 6, 2019

Delta Neutral ALT Limit Stops....01.06.2019

Here's a look at what happens to our performance metrics as we adjust the value of the limit stops.
Our current "Best Odds" indicate a 3.8% value ....which I tend to discount by almost 30% based solely on discretionary gut feelings and the historical long term value of the QLD limit stop of 2.5%.
Without further comment here are the metrics using alternate values of 2.5, 3.0 and 3.5%.
Note how increasing the stop value decreases the number of triggered trades and affects the linearity.