Backtesting 2016 Yellow Trades

Account: 2016 Yellow Trades

Trade entry: Jan 22, 2016

Adjustments:

• Feb 11 - Sold 6 x 970 to reduce DELTA inside tent
• Feb 17 - Sold 8 x 980 to protect t+0 upside
• Feb 22 - Sold 5 x 990 to reduce DELTA inside edge of tent
• Feb 24 - Sold 5 x 990 to reduce DELTA inside edge of tent
• Feb 26 - Sold 9 x 1000 & 1 x 1010 to reduce DELTA outside tent
• Mar 1 - Sold 9 x 1010 to control VEGA
• Mar 2 - Rolled BF up
• Mar 3 - Sold 7 x 1060 to reduce DELTA outside tent
• Mar 4 - Sold 2 x 1060 to protect t+0 upside
• Mar 10 - Exited trade (8 DTE) below profit target + $902

New Rule: If the trade has been trending up/down and the position has been a constant fight with a negative PnL for 75% of the trade. Take any positive PnL between 10 - 7 DTE. Survive to trade the next day.

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Account: Yellow May 20 2016

Trade entry: May 20, 2016

Adjustments:

• May 25 - Sold 4 x 1080 to control VEGA
• May 27 - Rolled BF up
• May 31 - Sold 4 x 1130 to protect t+0 upside
• There was a volatility hit and my BF's lost some value.
• Managing to a ABS Max Loss of $4k with 1500 - 2000 threshold
• Jun 7 - Sold 1 x 1130 to protect t+0 upside
• Jun 8 - Rolled BF up (can't keep delta/vega negative)
• Jun 9 - Sold 4 x 1150 to protect t+0 downside
• Jun 10 - Sold 3 x 1140 to protect t+0 downside
• Jun 13 - Sold 2 x 1130 to protect t+0 downside
• Jun 17 - Sold 2 x 1120 to protect t+0 downside
• Jun 20 - Sold 3 x 1180, 2 x 1190 to protect t+ 0 upside
• Jun 22 - Sold 2 x 1120 to protect t+0 downside 
• Jun 23 - Sold 3 x 1200 to protect t+0 upside
• Jun 24 - Rolled BF down (large down move)
• Jun 27 - Sold 3 x 1070 to reduce DELTA inside tent
• Jun 28 - Sold 2 x 1120, 2 x 1130 to protect t+0 upside
• Jun 29 - Sold 1 x 1120, 2 x 1130 to protect t+0 upside (Decided not to flatten my t+0, b/c I want to let my trade inflate back up).
• Jun 30 - Sold 2 x 1120, 2 x 1130 to reduce DELTA outside tent
• Jul 1 - Sold 2 x 1130, 2 x 1140 to reduce DELTA outside tent
• Jul 6 - Sold 3 x 1140 to reduce DELTA outside tent
• Jul 7 - Sold 3 x 1140 to reduce DELTA outside tent
• Jul 8 - Exited the position 7 DTE above max loss -$3253

Note:

> If I wait to roll my trades e.g. greater than +20pts above upper wing, then I often times will have to extensively manage my trades. 

>After huge drops in price the RUT will often times bounce up, therefore when looking at DELTA after a huge drop, keep some positive DELTA for the bounce.

New Rule: Roll the butterfly when I can't keep delta/vega negative regardless of how many pts above my upper wing they are.

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Account: Yellow May 20 2016

Trade entry: July 22, 2016

Adjustments:

• Aug 5 - Sold 7 x 1180 to control VEGA
• Aug 15 - Rolled up BF
• Aug 17 - Sold 3 x 1230 to protect t+0 downside
• Aug 22 - Sold 3 x 1230 to reduce DELTA inside edge of tent
• Aug 23 - sold 4 x 1230 to protect t+0 upside
• Aug 30 - Sold 3 x 1240 to control DELTA inside edge of tent
• Sep 2 - Sold 1 x 1240, 4 x 1250 to reduce DELTA inside edge of tent
• Sep 6 - Sold 2 x 1250 to reduce DELTA inside edge of tent
• Sept 6 - I was at 10 DTE per my previous note from Jan 22, I could have taken a profit here of $2247 (but continued to trade to 7 DTE)
• Sep 7 - Sold 4 x 1250 to reduce DELTA outside tent
• Sep 9 - Exited the position 7 DTE less than max loss -$1494

Summary

After re-trading these positions I've determined that sometimes its inevitable to avoid a loss, even minimize that loss. On the May 20th trade after getting hit with a volatility crush the market makers took value out of my BF's, when I took my trade to less of a loss approximately from -$3500 to -$1953, I should have exited the trade then. In these volatility crush environments its just better to minimize the loss.

Also, if I've been fighting a trade and spent most of my trade managing a negative PnL, I should exit anywhere between 10 - 7 DTE with a profit, anything above 2k is great, but over $500 is acceptable. Live to trade another day.