Backtesting 2013 - Oct 25, 2013 Entry

Account: Blog backtesting 2013 Apr start

On Oct 25, 2013 the market was down and Average IV was 13.7% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Oct 31 - Sold 5 x 1080 to protect t+0 downside risk
• Nov 1 - Sold 5 x 1070 to protect t+0 downside risk
• Nov 4 - Sold 5 x 1110 to protect t+0 upside risk
• Nov 6 - Sold 3 x 1060 to protect t+0 downside risk
• Nov 7 - Rolled BF down 40 pts b/c can't keep DELTA and VEGA negative

• Nov 8 - Sold 10 x 1060 to reduce  - DELTA outside tent
• Oct 25 - There was a volatility hit which resulted in market makers taking the price out of my butterflies. As a result my absolute loss (ABS Loss) was increase to -$4000
• As a result of an increase in ABS Loss, my threshold when assessing t+0 line will be $1500 - $1800
• Sold 5 x 1060 to protect t+0 upside risk
• Nov 15 - Sold 5 x 1070 to increase - VEGA
• Nov 21 - Rolled the BF up 40 pts b/c can't keep VEGA and DELTA negative

• Nov 22 - Sold 10 x 1110 to reduce - DELTA inside edge of tent
• Nov 25 - Sold 4 x 1120 to protect t+0 upside risk
• Nov 26 - Sold 6 x 1120 to control - DELTA outside tent
• Dec 3 - Sold 5 x 1110 to protect t+0 downside risk
• Dec 6 - Sold 5 x 1120 to reduce - DELTA inside edge of tent
• Dec 11- 9 DTE left exited this trade for a slight profit + $315 < In a real trade I probably would have taken profits here.

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Continued to trade this to 7 DTE

• Dec 12 - Sold 10 x 1100 to reduce + DELTA inside tent
• Dec 13 - Sold 10 x 1110 to reduce - DELTA inside tent
• Dec 14 - 7 DTE and exited the trade for a slight profit of + $975

Backtesting 2013 - Aug 23, 2013 Entry

Account: Blog backtesting 2013 Apr start

On Aug 23, 2013 the market was down and Average IV was 17.5% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Aug 27 - Sold 5 x 990 to protect t+0 downside risk
• Aug 29 - There was a volatility hit which resulted in market makers taking the price out of my butterflies. As a result my absolute loss (ABS Loss) was increase to -$400
• As a result of an increase in ABS Loss, my threshold when assessing t+0 line will be $1500 - $2000
• Sep 9 - Sold 5 x 1020 to control - DELTA outside tent
• Sep 17 - Rolled the BF up 40 pts b/c can't keep VEGA and DELTA negative

• Sep 18 - Sold 6 x 1050 & 2 x 1060 to reduce - DELTA inside edge of tent
• Sep 24 - Sold 7 x 1060 to reduce - DELTA inside edge of tent
• Oct 1 - Sold 8 x 1070 to reduce - DELTA outside tent
• Oct 7 - Sold 2 x 1050 to protect t+0 downside risk
• Oct 8 - Sold 3 x 1060 & 3 x 1050 to reduce + DELTA inside tent
• Oct 9 - Sold 1 x 1060 & 1 x 1050 to reduce + DELTA inside tenta
• Oct 10 - Sold 6 x 1080 to reduce - DELTA inside tent
• Oct 11 - 7 DTE left exited this trade at a Loss - $997
• 
  

Backtesting 2013 - Jun 21, 2013 Entry

Account: Blog backtesting 2013 Apr start

On Jun 21, 2013 the market was down and Average IV was 20.9% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Jul 1 - Sold 7 x 940 to reduce + VEGA 
• Jul 5 - Rolled the BF up 40 pts b/c RUT was 19 pts above upper wing

• Jul 8 - Sold 10 x 980 to protect t+0 upside risk
• Jul 12 - Sold 10 x 990 to increase - VEGA and protect t+0 upside risk
• Jul 15 - Rolled the BF up 40 pts b/c RUT was 22 pts above upper wing

• Jul 17 - Sold 5 x 1030 to protect t+0 upside risk
• Jul 19 - Sold 5 x 1030 to reduce DELTA inside tent
• Jul 22 - Sold 10 x 1040 to reduce - DELTA outside tent
• Jul 24 - Sold 5 x 1030 to protect t+0 downside risk
• Jul 31 - Sold 2 x 1040 to reduce - DELTA inside edge of tent
• Aug 1 - Sold 6 x 1050 to reduce - DELTA outside tent
• Aug 2 - Sold 3 x 1050 to reduce - DELTA outside tent
• Aug 5 - Sold 1 x 1050 to reduce - DELTA outside tent
• Aug 7 - 9 DTE left and decided to take this trade off slightly below Max Profit + $2283

Backtesting 2013 - Apr 26, 2013 Entry

Account: Blog backtesting 2013 Apr start

On Apr 26, 2013 the market was down and Average IV was 17.3% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• May 1 - Sold 3 x 900 to protect my t+0 downside risk
• May 2 - Sold 3 x 930 to protect my t+0 upside risk
• May 10 - Sold 3 x 930 to increase - VEGA
• May 13 - Sold 3 x 930 to increase - VEGA
• May 14 - RUT moved 24 pts above my upper wing, therefore rolled BF up 40 pts

• May 15 - Sold 4 x 970 to protect t+0 upside risk
• May 17 - Sold 3 x 970 to reduce - DELTA outside tent
• May 20 - Sold 1 x 970 and 2 x 980 to reduce - DELTA outside tent
• May 22 - Sold 1 x 960 and 3 x 950 to reduce + DELTA and protect t+0 downside risk
• Note - Increasing my t+0 threshold to 1500 - 1800 on each side.
• May 28 - Sold 5 x 980 to reduce - DELTA outside tent and protect t+0 upside risk
• Jun 7 - Sold 1 x 960 and 4 x 980 to reduce DELTA inside tent
• Jun 8 - Sold 3 x 990 to reduce DELTA inside edge of tent
• Jun 12 - Sold 2 x 970 and 1 x 960 to reduce + DELTA inside tent
• Jun 13 - Sold 4 x 990 to reduce - DELTA inside edge of tent
• June 14 - Hallahuah!!! 7 DTE left and I had to take this trade off no matter what! Exited trade at Max Profit + $2764

Backtesting 2013 - Mar 22, 2012 Entry

On Mar 22, 2013 the market was slightly up and Average IV was 14.3% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Apr 3 - Sold 10 x 920 to reduce + DELTA under tent
• Apr 9 - Sold 5 x 930 to protect t+0 upside risk
• Apr 10 - Sold 5 940 to reduce - DELTA and protect t+0 upside risk
• *NEW adjustment* - Discarding below adjustments, I did the below adjustments to see if I could minimize my drawdown, but in fact I made it worse. I've traded this position twice now and I can't pull it out of a greater than Max Loss situation, therefore I've realized that if I have a drawdown that is greater than my Max Loss (-$2500) around -$3500, its better to just close the trade. 
• Apr 15 - Exit trade for above MAX Loss - $3465
• Apr 15 - Rolled the BF down 40 pts

• Apr 15 - there was a sharp down move of -35 pts in the RUT, this volatility hit resulted in market makers taking the price out of my butterflies. As a result my absolute loss (ABS Loss) was increase to -$4000 to $ -5000
• As a result of an increase in ABS Loss, my threshold when assessing t+0 line will be $1500 - $2000
• Apr 15 - Sold 8 x 890 to protect t+0 upside risk
• Apr 16 - Sold 8 x 900 to protect t+0 upside risk
• Apr 18 - Sold 2 x 870 to protect t+0 downside risk (doesn't protect me from my MAX loss of $5000, just hanging in there to minimize my loss through adjustments + BREACHED MY MAX LOSS & KEPT ON MANAGING THE TRADE)
• Apr 19 - Sold 2 x 910 to protect t+0 upside risk
• Apr 22 - Sold 2 x 890 and 1 x 910 to flatten out t+0 and protect upside risk
• Apr 23 - Sold 2 x 910 to protect t+0 upside risk
• Apr 29 - Rolled the BF up 30 pts

• Apr 29 - Sold 5 x 940 to protect t+0 upside risk
• May 1 - Sold 5 x 920 to protect t+0 risk in both directions
• May 2 - Sold 5 x 930 and 5 x 950 to protect t+0 upside risk
• May 3 - Sold 3 x 940 and 2 x 950 to protect t+0 upside risk
• May 7 - Sold 3 x 950 to reduce + VEGA
• May 9 - Exited at MAX LOSS - $ 4806

Very tough trade need to review with Dave.

Backtesting 2013 - Feb 22, 2013 Entry (Carried over from 2012)

On Feb 22, 2013 the market was down and Average IV was 15.6% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Feb 25 - Sold 1 x 870 to protect t+0 downside risk (I didn't make this adjustment b/c there was a vol hit and if I make an adjustment here I will be giving up my upside risk, therefore I will will increase my t+0 20 pts adjustment point to $1500 - $1800)
• Feb 26 - No adjustment same as Feb 25 reasoning (within threshold)
• Mar 5 - Sold 6 x 900 to reduce DELTA outside tent and protect t+0 upside risk
• Mar 8 - Sold 3 x 910 to increase negative VEGA 
• Mar 13 - Rolled BF up 30 pts
• Sold 1 x 920 and 9 x 930 to control DELTA after rolling up the position (it was hard to control DELTA when rolling up the BF, so I adjusted my rolled BF after I rolled the 10 pt BF and then did the adjustment for DELTA)
• Mar 14 - Sold 8 x 940 to control DELTA inside edge of tent and t+0 upside risk (a bit of VOL hit and therefore increasing 20pt adjustment threshold)
• Mar 19 - Sold 2 x 930 and 1 x 920
• Mar 20 - Sold 1 x 950 to control DELTA inside edge of tent
• Mar 28 - Sold 2 x 950 to control DELTA inside edge of tent
• Apr 1 - Sold 3 x 940 to balance out t+0 line in both directions
• Apr 1 - Sold 2 x 930 to balance out t+0 line in both directions
• Apr 3 - Sold 1- x 920 to control DELTA (Should I have rolled the BF down instead to balance out the t+0 line?)
• Apr 4 - Sold 5 x 930 to control DELTA
• Apr 5 - Decided to exit the trade (tired of trying to control t+0 without success) and exited below profit target + $792
• ------------------------------------------------------------
• Continued trading this position after closing it out
• Apr 8 - Could have taken profit of + $2132
• Instead Sold 5 x 940 to control DELTA
• Apr 9 - Sold 3 x 950 to control DELTA
• Apr 10 - Sold 7 x 950 to control DELTA
• Apr 11 - Sold 3 x 970 to control DELTA, but jumped over the upper wing (Is this a legitimate adjustment to make?)
• Apr 7 - Exited trade below profit target + $559 at 7 DTE per guidelines.

Backtesting 2013 - Jan 22, 2013 Entry

On Jan 18, 2013 the market was down and Average IV was 14.4% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Jan 25 - Sold 4 x 880 to reduce DELTA outside tent 
• Feb 5 - Sold 6 x 880 to reduce DELTA outside tent
• Feb 7 - Sold 4 x 890 to reduce DELTA outside tent
• Feb 13 - Sold 4 x 890 to reduce DELTA outside tent
• Feb 14 - Have to roll the BF up 30pts b/c I can't keep DELTA and VEGA negative

• Feb 19 - Sold 3 x 930 to reduce DELTA inside edge of tent
• Feb 20 - Sold 2 x 920 to reduce positive DELTA in the tent (I made this adjustment, but my 20 pt threshold rule is not being followed, i.e. 20 pts down I'm - $2000 - I don't know what I would have done)
• Feb 21 - Sold 5 x 910 to protect t+0 downside risk
• *Note* For Adjustments starting Feb 20, I had to increase my ABS Max Loss to $5000 and my adjustment thresholds.
• Feb 25 - Sold 5 x 900 to reduce DELTA under the tent
• Feb 27 - Sold 7 x 920 to reduce DELTA under the tent
• Mar 1 - Considered making an adjustment to protect t+0 upside risk, but decided that since my Greeks are within parameters that I won't over manage the t+0 line.
• Mar 4 - Sold 3 x 930 to reduce DELTA
• Mar 5 - Sold 7 x 930 to reduce DELTA
• Mar 6 - Sold 1 x 950 to reduce DELTA (sold this 1 over my upper wing)
• Mar 7 - Sold 1 x 950 to reduce DELTA (sold this 1 over my upper wing)
• Mar 8 - Exited at 7 DTE and below profit target + $1376