Welcome To My Option Project! A Venture In Discovery with a Mission To Excel!

January 16, 2010

This blog is dedicated to discussing/detailing (of course without me giving away the secrets) a proprietary commodity futures option trading strategy (“Option Project”) that is highly modular yet fully integrated and extremely customizable based on a vast array of metrics. Some links to a Powerpoint file providing an overview of the five year research/testing period (2004-2008) and an Excel spreadsheet showing the 1st year actual results of live trading within a hedge fund (2009) of the first iteration can be accessed on the “About” page.

Note that a newer strategy (Option Project 2) went live 12/09 after a 6 month enhancement period relative to the original Option Project (from 5/09 to 11/09) and basically continued until 05/31/10 with continual advancements, improvements, & optimizations. An even more advanced version went live as of 09/23/10 (OPv3) and as was operated was light years ahead of the original OP and if one were solely to use performance as the metric all that can be said is that it simply BLEW IT AWAY! In fact this version operated for over 3 years without major enhancements although behind the scenes I was building the next-gen version to roll out all at once instead of piecemeal.

Note that my latest and newest version – live as of 12/13 – (OPv4) is no longer a single strategy black box one horse module but in fact is now more of a hybrid and taking in the best features of black box, grey box, opportunistic, & discretionary models and is based on over 15 different modules (overview on About page) all working simultaneously while still retaining the ability to weight any individual module as per one’s own preferences.

I’ll now refer to my current iteration (as of 12/1/13) as “OPv4” (or Option Project Version 4) – monthly results posted on “About” page.

Note the superior results below of the prior iteration. That strategy was UP 20 straight months until an extremely small dip in May 2012 – but down about 80% less then the major markets for that month – & up approx 55% for the year in 2012)!

Below is a basic summuray of the results relative to the major U.S. indices up to 11/27/13 (Oct. ’11 was the 1st 3 month string of up 10%+ months). August 11,2013 VAMI surpassed the 6,000 mark for a sextuple in under 3 years!:

Thru 12 Noon, 11/27/13

Thru 12 Noon, 11/27/13

As you can easily see, I am CONSISTENTLY beating the major indices not only every year – BY A SUBSTANTIAL MARGIN – but moreso, over almost any multi-month period as well and additionally, as you can note from the above, there have been NO periods longer than two months since 9/10 that my Option Project DID NOT beat ALL major indices.

See THIS BARCLAY REPORT* of all CTA’s & Hedge Funds classified as operating/offering an option strategy. The BEST one YTD (out of a total of 141 CTA’s/Funds) for 2011 was up 86.3%. I was up 156.3% (12/31/10 VAMI 1231.69. 12/31/11 VAMI 3107.54)!

*A more up to date Barclay Option Strategy Report updated thru 4/13/16 shows now that the 1st quarter is in the books, many well known names are struggling and losing money. Only question is when (or if) they will turn things around and will they bring in outside experts with a fresh set of eyes to do so. If I were a fund investor in ANY of the funds showing losses year to date I’d be VERY worried right now – especially if the 1 Year Return showed an even bigger loss.

Note: VAMI is calculated in the traditional manner using period to period (daily) compounded returns based on the beginning and ending net equity for each period. Sharpe & Sortino are calculated using the 30 year T-Bond as the risk-free rate. Percentages on last dated row are compound monthly returns of all percentages above in each respective column. The last 3 rows are self-explanatory but a note about the total return of the strategy to date since inception as an unannualized percentage of the average initial margin (calculated daily). I feel this is a more accurate measure of return since only the funds actually required to be held/tied up/utilized by the open positions are taken into account to calculate return and all excess funds over and above these amounts are ignored. This is basically a utilization measure of “assets in play”.


Over a Sextuple!

A special WELCOME to T. Boone Pickens, an Itnternational investing legend and a Texas gem, Eric “Wolfman” Wilkinson, arguably the most plugged in trader on the CME,  & Jon Najarian, noted option expert of Optionmonster.com & a CNBC regular as some  of my LinkedIn buddies! I’m honored to be a part of your networks!!!