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Brian Johnson, a professional investment manager with many years of trading and teaching experience, is the author of two pioneering books on options: 1) Option Strategy Risk / Return Ratios: A Revolutionary New Approach to Optimizing, Adjusting, and Trading Any Option Income Strategy, and 2) Exploiting Earnings Volatility: An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements.
His new in-depth (100+ page) article, Option Income Strategy Trade Filters, represents the culmination of years of research into developing a systematic framework for optimizing the timing of Option Income Strategy (OIS) trades. His research was based on the analysis of 15,434 OIS trades, each with a comprehensive set of objective, tradable entry and exit rules. The results for each of the 15,000 plus trades were scaled to a constant dollar amount at risk, to ensure all trades were equally-weighted when calculating the performance metrics.
The back-test results were all based on actual option prices and are summarized in this article for a selection of back-testing filters, making this one of the most comprehensive studies of option income strategy results ever published. The results of over 100 different back-tests are provided.
The OIS strategy back-test results for ten different types of filters are evaluated in this article, including unique filter combinations that delivered exceptional results. One of the ten filters is proprietary and available only via subscription. A custom market-edge hypothesis was created in advance for each filter type, which was then used to evaluate the filter-specific results. This critical step helped identify robust, exploitable relationships, rather than spurious correlations.
Several of the resulting filters generated over 95% winning trades, with average returns of over six percent per trade (including losing trades). The ratios of cumulative gains to cumulative losses were over 20 to 1 for a few of the best performing filters.
Option Income Strategy Trade Filters is written in a clear, understandable fashion and provides detailed examples of how to create and test market-edge hypotheses using the recent advances in back-testing software. Very few formulas were included. As a result, the material in the article should be accessible to all option traders.
Useful for traders with a wide range of option trading experience, this practical guide begins with a detailed review of option income strategies, including basic examples that provide the requisite foundation for subsequent chapters. Portions of this crucial background material also appeared in Brian Johnson's first book: Option Strategy Risk / Return Ratios.
Chapter 2 includes a comprehensive description of the option income strategy, position model, and trade plan used to generate the back-test data. Every entry and exit rule is explained in detail, including actual graphical examples. The performance metrics for the 15,434 unfiltered OIS trades are summarized at the end of this chapter, which provide a performance benchmark for evaluating the effectiveness of the trade filters introduced in the next three chapters.
The trade filters are grouped by classification, with a chapter devoted to each class or type. The market-edge hypotheses and corresponding results for trend filters are analyzed in Chapter 3. Unlike trend filters, discriminating filters exclude an increasing percentage of trades as the filter condition or threshold becomes more extreme or restrictive. The discriminating filter market-edge hypotheses and results are analyzed in Chapter 4. Chapter 5 is devoted entirely to a very unique and powerful example of a discriminating filter: the OIS Universal Filter (OISUF).
The final chapter examines practical considerations and prospective applications of trade filters and other resources in managing option income strategies in actual market conditions.
- Sales Rank: #738366 in Books
- Published on: 2016-11-05
- Original language: English
- Dimensions: 9.00" h x .25" w x 6.00" l,
- Binding: Paperback
- 108 pages
About the Author
Brian Johnson designed, programmed, and implemented the first return sensitivity based parametric framework actively used to control risk in fixed income portfolios. He further extended the capabilities of this approach by designing and programming an integrated series of option valuation, prepayment, and optimization models. Based on this technology, Mr. Johnson founded Lincoln Capital Management’s fixed income index business, where he ultimately managed over $13 billion in assets for some of the largest and most sophisticated institutional clients in the U.S. and around the globe. He later served as the President of a financial consulting and software development firm, designing artificial intelligence-based forecasting and risk management systems for institutional investment managers. Mr. Johnson is now a full-time proprietary trader in options, futures, stocks, and ETFs primarily using algorithmic trading strategies. In addition to his professional investment experience, he also designed and taught courses in financial derivatives for both MBA and undergraduate business programs. He is the author of two groundbreaking books on options: 1) Option Strategy Risk / Return Ratios: A Revolutionary New Approach to Optimizing, Adjusting, and Trading Any Option Income Strategy, and 2) Exploiting Earnings Volatility: An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements. He has also written articles for the Financial Analysts Journal, Active Trader, and Seeking Alpha and he regularly shares his trading insights and research ideas as the editor of https://www.traderedge.net/. Mr. Johnson holds a B.S. degree in finance with high honors from the University of Illinois at Urbana-Champaign and an MBA degree with a specialization in Finance from the University of Chicago Booth School of Business.
Most helpful customer reviews
2 of 2 people found the following review helpful.
Another Outstanding Published Work from Brian Johnson
By John
I have been following Brian Johnson and TraderEdge for several years now and have used Brian's written works and blog posts extensively in building my own quantitative and evidence-based trading strategies. This e-book/article is yet another valuable piece of trading research and an outline for strategy development that I am so glad Brian was willing to share. Option income strategies are currently a void to be filled in my current portfolio, and I believe the research presented in Option Income Strategy Trade Filters has provided me with proof of a substantial statistical trading edge in the market along with the appropriate tools to execute such strategies effectively.
2 of 2 people found the following review helpful.
I am becoming a big fan of this writer, ...
By Amazon Customer
I am becoming a big fan of this writer, I see this book as appendix on the first book. The way it lets the reader think critically about concepts behind the trades and his way of explaining his way of thinking by using his plain simple calculations appeals to me and is an added value to the option trading scene. Mr Johnsen, I am already looking forward to your new book. Maybe a series where-in you look into trade filters of calender spreads, doubble diagonals of maybe the hybrid strategies you quickly mentioned in your first book?
2 of 3 people found the following review helpful.
measuring) and the filters themselves (were very useful to me)
By Michael
I appreciated the paper, both for what it provided and for the possibilities left for further thought (and work).
The paper explores the elusive concept of EDGE; namely the key to exploiting EDGE in Option Income Strategies is to take trades when odds are in your favor.
So, how do you do you get to the point where you can take advantage of that?
The paper summarizes performance metrics for the filters discussed, which is valuable for comparison purposes, but it also provides much more; such as the scientific framework (developing a market hypothesis, back testing, optimizing, measuring) and the filters themselves (were very useful to me), plus ... payoff functions, position sizing, hedging (brief, but important discussion), risk management, trading rules, etc. The research is well explained & straight forward and the performance metrics & trading plan rules were simple & applicable.
I will offer that it strikes me as suited for more experienced, structured traders (or traders who want to improve results). The author challenges the reader to develop their own market hypothesis based on their own trading style then use the backtesting/optimization process - I think this will stretch most individual investors (speaking of myself-there is a big divide between absorbing the takeaways and fully exercising the process the author has used), but this is really good work, it speaks to a broad range of extremely relevant topics and, in my opinion, any trader of Option Income Strategies will not experience remorse over a $10 investment for the information in the paper. I don’t think you have to have the author’s skills (or tools) to adapt the research from the paper to benefit one’s own trading.
Finally, the grand finale is being held back as proprietary (available on a subscription basis). While I wish it were included, the paper gives far more than it costs and if the proprietary filter supports a readers trading (by providing a return and possible psychological benefits), then everyone wins - that’s capitalism. Btw; a video demo of the proprietary filter in currently posted on the author’s website.
Lastly, I hope the author publishes more research - I will happily absorb because its skilled, supported, affordable and directly applicable to my trading (I read a previous book on Risk/Return Ratios and have put that material to good use).
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