Backtesting 2014 Yellow trades

Account: 2014 Yellow Trades

Trade entry: Jan 24, 2014

Adjustments:

• Jan 29 - Sold 10 x 1120 to reduce DELTA inside tent
• Jan 30 - Sold 5 x 1130 to protect t+0 upside
• Feb 3 - Sold 6 x 1110 to reduce DELTA inside tent (cut 90 delta in half after large drop in RUT, anticipating reversal / bounce)
• Feb 5 - Sold 4 x 1110 to reduce DELTA inside tent
• Feb 6 - Decided to not roll the BF down b/c after the move I felt that there was a good chance for there to be a bounce
• Feb 10 -  Sold 5 x 1120 to protect t+0 upside risk
• Feb 11 - Sold 2 x 1120, 3 x 1130 to protect t+0 upside risk
• Feb 13 - Sold 3 x 1130, 4 x 1140 to protect t+0 upside risk
• Feb 18 - Sold 6 x 1140 to reduce DELTA inside edge of tent
• Feb 21 - Sold 7 x 1150 to protect t+0 upside risk
• Feb 25 - Sold 2 x 1150, 1 x 1160 to reduce DELTA outside tent
• Feb 26 to 27 - There was no backtesting data, therefore resumed adustments on Feb 28
• Feb 28 - Sold 2 x 1160 to protect t+0 upside risk
• Mar 4 - Rolled BF up
• Mar 7 - Exited 14 DTE, below max profit of +$1285 b/c spent most of the trade in the negative PnL and was within 15 - 7 DTE, so live to trade another day.
• Mar 11 - Continued trading and exited at max profit of +$2805.

Summary:

I managed my adjustments systematically, I wouldn't jump over strikes. I'd systematically move my Put Verticals up / down to control my greeks. Also when looking to exit, I was going to exit on 14 DTE, but decided to continue trading because I was in the red with my PnL, but it wasn't unmanageable like with the May 20, 2016 trade where I was down -$4000. Therefore I decided to continue trading as long as volatility is no longer a factor (don't know if this makes sense).

 _________________________________________________________________________________

Trade entry: Mar 21, 2014

Adjustments:

• Mar 26 - Sold 6 x 1160 to reduce DELTA inside tent
• Apr 7 - Sold 10 x 1150 to reduce DELTA inside tent
• Apr 8 - Exited at max profit +$2610  (Continued to trade and ended up with a +$4101 PnL Apr 30, 2014)

Summary:

Good trade didn't make too many strong adjustments. When I was positive DELTA inside the tent I reduced my DELTA by half. Didn't jump strikes when making adjustments. Considered staying in the trade because entered position on low volatility and volatility increased 3.5%, but stuck to my rules and exited.

 _________________________________________________________________________________

Trade entry: May 23, 2014

Adjustments:

• Jun 6 - Rolled BF up (couldn't keep delta/vega negative)
• Jun 17 - Sold 10 x 1140 to reduce DELTA outside tent
• Jun 18 - Sold 5 x 1140 to reduce DELTA outside tent
• Jun 23 - Sold 2 x 1150, 3 x 1160 to reduce DELTA outside tent
• Jun 30 - Sold 5 x 1160 to control VEGA
• Jul 1 - Rolled BF up
• Jul 7 - Sold 10 x 1190 to reduce DELTA inside tent
• Jul 8 - Sold 5 x 1170, 5 x 1160 to reduce DELTA inside tent
• Jul 10 - Exited 8 DTE below max profit +$1805  
• (Continued to trade)
• Jul 10 - Sold 5 x 1150 to reduce DELTA inside tent
• Jul 11 - Exited 7 DTE above max profit +$2915

Summary:

Good trade made slight half adjustments and didn't jump strikes when making adjustments. Considered staying in the trade to 7 DTE and ended up with above max profit. TRUST YOURSELF and TRUST THE PROCESS!
 _________________________________________________________________________________

Trade entry: Sep 26, 2014

Adjustments:

• Oct 10 - Sold 3 x 1070, 2 x 1060 to reduce DELTA inside tent
• Oct 16 - Sold 2 x 1080 to protect t+0 upside
• Oct 21 - Sold 7 x 1080 to protect t+0 upside
• Oct 28 - Rolled BF (can't keep DELTA/VEGA negative)
• Oct 30 - Sold 5 x 1130 to reduce DELTA inside edge of tent
• Oct 31 - Sold 8 x 1140 to reduce DELTA outside tent
• Nov 5 - Sold 5 x 1150 to reduce DELTA outside tent
• Nov 6 - Sold 4 x 1150 to reduce DELTA outside tent
• Nov 7 - Sold 4 x 1160 to reduce DELTA outside tent
• Nov 11 - Sold 3 x 1160 to reduce DELTA outside tent
• Nov 12 - Rolled BF up (Can't keep D/V negative)
• Nov 13 - Sold 8 x 1180 to reduce DELTA inside tent
• Nov 14 - Exited 7 DTE below max profit +$660 (Negative GAMMA = -29.48)
• Continued to trade to see how the trade would have panned out
• Nov 17 - Exited 4 DTE slightly below max profit +$2470 (Negative GAMMA = -35.68)

Summary:

Good trade made half adjustments and didn't jump strikes when making adjustments. Spent most of the trade in the defensive zone (i.e. negative PnL), but managed to get to a positive PnL 7 DTE  and exited per plan. 
Considered staying in the trade to see how the trade would have panned out, 4 DTE I was up +$2470 and noticed that GAMMA was - 39. Need to understand how to manage my position when GAMMA is really high.

TRUST YOURSELF and TRUST THE PROCESS!

________________________________________________________________________________

Trade entry: Nov 21, 2014

Adjustments:

• Dec 15 - Sold 7 x 1150 to control DELTA inside tent
• Dec 17 - Sold 3 x 1160 to protect t+0 upside
• Dec 18 - Sold 4 x 1160 to protect t+0 upside
• Dec 19 - Sold 3 x 1160 to reduce DELTA outside tent
• Dec 23 - Sold 9 x 1170 to reduce DELTA outside tent
• Dec 24 - Low + DELTA outside tent & DID NOT make an adjustment
• Dec 26 - Rolled BF up
• Dec 29 - Sold 5 x 1210 to protect t+0 upside
• Dec 31 - Sold 4 x 1200 to protect t+0 downside
• Jan 2 - Sold 5 x 1200 to reduce DELTA inside tent
• Jan 5 - Sold 2 x 1190, 8 x 1180 to reduce DELTA inside tent
• Jan 6 - Sold 1 x 1170, 9 x 1160 to reduce DELTA inside tent
• Jan 7 - Sold 2 x 1200, 3 x 1150 to minimize t+0 steep drops in both directions
• Jan 8 - Sold 8 x 1190 to reduce DELTA inside tent
• Jan 9 - Exited 7 DTE below max profit +$712 

Summary:

Good trade made half adjustments and didn't jump strikes when making adjustments. Spent most of the trade in the defensive zone (i.e. negative PnL), but managed to get to a positive PnL 7 DTE  and exited per plan.

In the last 8 DTE I was negative PnL and I couldn't protect my t+0 line i.e. my ball was on top of a mountain, but 7 DTE I market came up and gave me a small profit. I don't know how I should have traded this position differently.

Consider getting Dave's feedback.