James Bond Trade
The James Bond trade is a bull put spread with a term of 7 days.
The entry is based on a trend following indicator.
The return/risk ratio is very positive.
Past performance results are no guarantee of future results.
MAR Ratio and Profitability
For the trade we plan a capital of €20,000
The win rate of over 70% is very good.
Psychologically important is the maximum drawdown.
This is a very good 6.3%
The annual return (CAGR) for 2 years is a good 31%.
The MAR ratio indicates the relationship between drawdown and return.
Values above 1 are considered good, this strategy has a value above 5.
Winners and losers
The ratio of average winner ($233) to average loser ($310) is great.
On average, you are only in the trade for 3 days.
Introduction
The trade is only opened when the indicator gives a signal.
The indicator is included in the bot, but can also be deactivated.
The indicator is composed of various sub-indicators.
The indicator is a trend following indicator.
Exit
Take Profit: 80% on the Bull Put Spread
Stop Loss: 150% on the short leg.
One day before expiration 30 minutes after the stock market opens.
When the S&P 500 loses 1% compared to its entry value.
The Greek Delta
The initial delta is about 5-6
In a rising market, the delta decreases.
In a falling market, the delta increases. Since the trade then becomes bullish and no longer matches our market opinion when entering, we have built in a stop loss at -1% of the underlying.
The Greek Delta
The initial delta is about 5-6
In a rising market, the delta decreases.
In a falling market, the delta increases. Since the trade then becomes bullish and no longer matches our market opinion when entering, we have built in a stop loss at -1% of the underlying.
The Greek Theta
The initial theta is 20-25
In a rising market, theta slowly decreases and we continue to earn the delta through theta.
In a falling market, theta quickly decreases. This is because the long option now increases in value significantly. At around -1.5% of the S&P 500, theta even becomes negative.
To avoid this, we have built in a stop loss at -1% of the S&P 500.
The James Bond Trade vs. Investing in the S&P 500
Configuration options
Order types Exit
The stop loss exit is defined as a REL order on the short leg.
The advantage of the REL order on a single leg is that it is executed faster and with less slippage.
The offset amount is $0.25
The Stop Loss Exit Order is linked to the Take Profit Order via OCA group.
In addition, the sale of the long put hedge is attached via a hedging order / pair trade.
Thus, after the stop loss has been executed, the hedge is also sold. Also via REL order. (Offset: $0.10)
Order types Entry
The bull put spread is purchased via a buy limit order.
The limit price is calculated from the midprice of the short put and long put.