Saturday 12 November 2016

Backtesting 2016 - July 22, 2016 Entry - 2nd attempt

Account: Backtesting 2016

Trade Entry:



Adjustments:

  • Aug 8 - Sold 10 x 1180 to control VEGA and reduce - DELTA outside tent
  • Aug 15 - Roll BF up, can't keep D/V negative
  • Aug 19 - Sold 7 x 1230 to reduce - DELTA inside tent
  • Aug 23 - Sold 3 x 1230 to reduce - DELTA inside edge of tent
  • Aug 29 - Sold 4 x 1240 to reduce - DELTA inside edge of tent (cut DELTA by half)
  • Sep 1 - Sold 1 x 1230 to switch DELTA to negative
    • This was a discretion on my part after looking at the price chart and seeing the market oversold. I decided to switch from a +9.02 DELTA to -4.48 DELTA incase the price of RUT drops a - DELTA will help me make money as the price drops
  • Sep 2 - Sold 3 x 1240, 3 x 1250 to reduce - DELTA inside edge of tent
  • Sep 6 - Exited the trade 10 DTE at slightly lower than Max Profit + $2329
  • Consider continuing to trade this position to 7 DTE to see how well I can manage the position
    • Sep 6 - Sold 2 x 1250 to reduce DELTA inside edge of tent
    • Sep 9 - Exited 7 DTE below Max Profit - $941

Backtesting 2016 - May 20, 2016 Entry - 2nd attempt

Account: Backtesting 2016

Trade Entry:


Adjustments:

  • May 25 - Sold 5 x 1080 to control VEGA
  • May 27 - Rolled BF up
  • Jun 7 - Sold 6 x 1130 to control VEGA
  • Jun 8 - Rolled BF up
  • Jun 9 - Sold 5 x 1160 to protect t+0 downside
  • Jun 10 - Sold 5 x 1160 to reduce + DELTA inside tent
  • Jun 14 - Sold 7 x 1150 to reduce + DELTA inside tent
  • Jun 15 - Sold 2 x 1160 to protect t+0 upside
  • Jun 17 - Sold 2 x 1150 to protect t+0 downside
  • Jun 20 - Sold 7 x 1160 to protect t+0 upside
  • Jun 22 - Sold 4 x 1160 to reduce + DELTA inside tent
  • Jun 23 - Sold 4 x 1170 to reduce - DELTA inside tent
  • Jun 24 - There was a - 45 pts move in the RUT
    • Rolled BF down (exceeding my max abs loss at - $4686)
  • Jun 27 - Exited the trade 18 DTE close to max loss - $2116
Consider continuing to trade this position to 7 DTE to see how well I can manage the position

  • Jun 27 - Sold 7 x 1090, 3 x 1080 to reduce + DELTA inside tent
  • Jun 28 - Sold 3 x 1110 to reduce - DELTA inside tent
  • Jun 29 - Sold 10 x 1120 to reduce - DELTA inside tent
  • Jun 30 - Sold 8 x 1130 to reduce - DELTA outside tent
  • Jul 1 - Sold 2 x 1140 to reduce - DELTA outside tent
  • Jul 6 - Sold 3 x 1140 to reduce - DELTA outside tent
  • Jul 8 - Exited the trade 7 DTE slightly above Max Loss -$2622

Sunday 6 November 2016

Results of Backtesting Yellow trades from 2012 - 2016

Here are my backtesting results of my Yellow trades from 2012 to 2016 :

Here is my PnL graph showing my monthly PnL in blue and my Cumulative PnL in orange.


After going through my previous trades and re-trading them I was able to derive a greater win/loss ratio and PnL, here are some stats:


        Trading Statistics
Number of trades 34
Number of wins 31
Number of losses 3
Win / Loss Ratio 91.2%