Backtesting 2013 Yellow Trades

Account: Yellow 2013 Backtesting

Trade entry: Jan 18, 2013

Adjustments:

• Managed Adjustments using t+0 +/- 30 pts
• Feb 1 - Sold 7 x 880 to reduce DELTA outside tent
• Feb 5 - Sold 3 x 880 to reduce DELTA outside tent
• Feb 7 - Sold 5 x 890 to reduce DELTA outside tent
• Feb 14 - Rolled BF up
• Feb 19 - Sold 3 x 930 to reduce DELTA and protect t+0 upside
• Feb 20 - Sold 7 x 920 to protect t+0 downside
• Feb 21 - Sold 5 x 900 to protect t+0 downside
• Feb 22 - Sold 2 x 930 to reduce DELTA inside tent
• Feb 25 - Sold 3 x 920, 2 x 900 to protect t+0 downside
• Feb 26 - Sold 3 x 910 to protect t+0 downside
• Feb 27 - Sold 7 x 920 to reduce DELTA inside tent
• Mar 4 - Sold 3 x 930 to reduce DELTA inside tent
• Mar 5 - Sold 7 x 930 to reduce DELTA inside tent
• Mar 6 - Rolled BF up
• Mar 7 - Sold 2 x 940 to reduce DELTA inside tent
• Mar 8 - Exited 7 DTE below max profit of +$651.

Summary:
Weird trade - did worse than my previous trade. Also, didn't place my order on the same date, which was weird. I should go back and re-trade this.

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Account: Yellow 2013 Backtesting

Trade entry: Jan 18, 2013

Adjustments:

• Managed Adjustments using t+0 +/- 20 pts
• Jan 28 - Sold 6 x 880 to reduce DELTA outside tent
• Feb 5 - Sold 4 x 880 to reduce DELTA outside tent
• Feb 7 - Sold 5 x 890 to reduce DELTA outside tent
• Feb 14 - Rolled BF up
• Feb 19 - Sold 3 x 930 to reduce DELTA and protect t+0 upside
• Feb 20 - Sold 3 x 910 to reduce DELTA and protect t+0 downside
• Feb 21 - Sold 3 x 900 to protect t+0 downside
• Feb 22 - Sold 3 x 930 to reduce DELTA inside tent
• Feb 25 - Sold 4 x 880, 1 x 870 to reduce DELTA & protect t+0 downside
• Feb 27 - Sold 2 x 920, 1 x 930 to reduce DELTA inside tent
• Mar 1 - Sold 2 x 900 to protect t+0 upside
• Mar 4 - Sold 2 x 920 to reduce DELTA inside tent
• Mar 5 - Sold 7 x 930 to reduce DELTA inside tent
• Mar 6 - Rolled BF up
• Mar 7 - Sold 2 x 940 to reduce DELTA inside tent
• Mar 8 - Exited 7 DTE below max profit of +$316.

Summary:
Weird trade - did worse than my previous trade. Profit is less than before. Anyhow followed my rules and trade is still a win regardless of profit number.

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Account: Yellow 2013 Backtesting

Trade entry: Mar 22, 2013

Adjustments:

• Apr 3 - Sold 6 x 920, 3 x 910 to reduce DELTA inside tent
• Apr 4 - Sold 1 x 930 to protect t+0 upside
• Apr 5 - Sold 2 x 910 to protect t+0 downside
• Apr 9 - Sold 4 x 940 to reduce DELTA and protect t+0 upside
• Apr 10 - Sold 2 x 950, 3 x 960 to reduce DELTA inside edge of tent and protect t+0 upside 
• Apr 15 - MM hit volatility and took the value out of my BF's therefore have to increase ABS Max Loss to $4000
• Sold 1 x 930, 5 x 890 to reduce DELTA 
• Apr 16 - Sold 2 x 930, 1 x 940 to protect t+0 upside
• Apr 17 - Sold 1 x 920, 1 x 910 to reduce DELTA inside tent
• Apr 18 - Sold 2 x 890 to reduce DELTA inside tent
• Apr 19 - Sold 3 x 950 to protect t+0 upside
• Apr 22 - Sold 1 x 920, 1 x 910 to protect t+0 upside
• Apr 23 - Sold 1 x 960 to reduce DELTA inside tent
• Apr 24 - Sold 2 x 960, 1 x 940 to reduce DELTA inside tent and protect t+0 upside
• Apr 25 - Sold 2 x 960 to protect t+0 upside
• Apr 29 - Sold 2 x 930 to reduce DELTA inside edge of tent and protect t+0 upside
• May 1 - Sold 1 x 910, 2 x 900 to reduce DELTA inside tent
• May 2 - Sold 2 x 950 to reduce DELTA inside tent
• May 3 - Sold 2 x 960 to reduce DELTA inside edge of tent
• May 6 - Sold 3 x 960 to reduce DELTA inside edge of tent
• May 8 - Sold 1 x 960 to reduce DELTA outside tent
• May 10 - 7 DTE and exited above MAX LOSS at -$5197!!!!!

Summary:

Weird trade - did worse than my previous trade. Need to figure out what my rules are to manage these sorts of trades. Get feedback from Dave, need to practice minimizing losses. 

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Account: Yellow 2013 Backtesting

Trade entry: June 21, 2013

Adjustments:

• Jul 1 - Sold 3 x 930 to control VEGA
• Jul 3 - Rolled BF up (can't keep delta/vega negative)
• Jul 8 - Sold 2 x 970 to protect t+0 upside (30 pts)
• Jul 10 - Sold 4 x 970 to control VEGA
• Jul 11 - Rolled BF up
• Jul 15 - Sold 6 x 1020 to reduce DELTA outside tent
• Jul 19 - Sold 4 x 1030 to reduce DELTA outside tent
• Jul 25 - Sold 5 x 1030 to reduce DELTA outside tent
• Aug 1 - Sold 3 x 1040 to control VEGA
• Aug 2 - Rolled BF up
• Aug 5 - Sold 4 x 1070 to reduce DELTA inside tent
• Aug 6 - Sold 2 x 1070 to reduce DELTA inside tent
• Aug 7 - Sold 6 x 1050 to reduce DELTA inside tent
• Aug 8 - Exited 8 DTE above MAX PROFIT at +$2746

Summary:

8 DTE I hit max profit, good trade.

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Account: Yellow 2013 Backtesting

Trade entry: August 23, 2013

Adjustments:

• Aug 27 - Sold 4 x 1000 to protect t+0 downside
• Aug 29 - Price dropped below 0 line, therefore increasing my adjustment threshold to 1800 to 2000 and Max Loss to 3500.
• Sep 9 - Sold 4 x 1010 to reduce DELTA outside tent
• Sep 17 - Sold 3 x 1010, 3 x 1020 to control VEGA 
• Sep 18 - Rolled BF up
• Sep 20 - Sold 2 x 1060, 2 x 1070 to protect 25 pts t+0 upside
• Sep 24 - Sold 4 x 1070 to protect t+0 25 pts upside
• Oct 1 - Sold 2 x 1070, 2 x 1080 to reduce DELTA inside tent
• Oct 8 - Sold 6 x 1060, 4 x 1050 to reduce DELTA inside tent (cut positive DELTA by half)
• Oct 9 - Exited 9 DTE slightly below MAX PROFIT at +$2294
• Oct 9 - Continued trading to 7 DTE
• Sold 4 x 1050 to reduce DELTA inside tent
• Oct 10 - Sold 4 x 1070, 6 x 1080 to reduce DELTA inside tent
• Oct 11 - Exited 7 DTE below max profit +$338

Summary:

Exited at 9 DTE at a decent profit, but continued trading to realize that its ok to take profits early if I've been constantly battling with a trade. At 7 DTE I exited for a very small profit therefore I should take profits quicker in the last 10 to 7 DTE.