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American Capital Agency Corp. Message Board

  • jess_1554 jess_1554 Feb 12, 2013 11:15 PM Flag

    GLAD strategy cont'd

    Doc -
    I've been tinkering with your GLAD strategy and have results for the past three years similar to those in your previous post. I added a term to limit losses to $0.02. The trade would therefore consist of sell limits at a gain of $0.1 (or 0.05), or 0.02 loss, from yesterday's close. The trade is terminated by one of these limits during the day, or by order just before the close at some point between these limits.

    The loss limit can also have an adverse effect in that it could kick out a trade early that might turn into a gain later in the day. However, there were only 4 instances of this historically in 78 trades, and the stop loss added about 25% overall to the gain. I'm not sure in actual practice the results can be fine tuned this much, but it is worth a shot.

    My big concern is the relatively low trading volume. At order levels of, say 1000 shares, the commission cost eats up much of the potential profit, so it only becomes worth doing at considerably higher levels. Higher levels might be difficult to achieve without complicating the trading.

    I plan to give GLAD a try starting tomorrow, but I'm looking for something similar with more volume.

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    • Hey Jess,

      Will be anxious to hear about your fills on GLAD.

      ""I plan to give GLAD a try starting tomorrow, but I'm looking for something similar with more volume""

      I ran the numbers again on PSEC for 2011 and 2012, using a combination of the Ten day Rule for PSEC(for others, that is buying on the 10th trading day previous to EX date, IF the GLAD rules are met on that day from the previous day...if they are not, you keep going forward each day until they are, always stopping within EX-2). Hold each month for .40.

      2011 came out at 2.80 win and .63 loss for 2.17 profit
      2012 came out at 2.29 win and .35 loss for 1.94 profit

      Check my numbers as I crank them out in my head....;-)

      BTW, I think Jim adds another real nice possibility(Thanks Jim!) in simply purchasing near month Calls. I bought an extra 50 Mar10Calls @ 1.40 today @ BE 11.40, and will sell or exercise @ 11.60. I am holding another 7,000 shares but the Calls give less exposure. The Calls are "tight" so slippage/spread shouldn't be an issue.

      Good Luck!!

      DocReits

 
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