Backtesting 2014 - Aug 22, 2014 Entry

Account: Blog backtesting 2014

On Aug 22, 2014 the market was down and Average IV was 14.6% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Sep 11- Sold 5 x 1140 to reduce DELTA outside tent
• Sep 19 - Exited above Max Profit at + $3710

Backtesting 2014 - July 25, 2014 Entry

Account: Blog backtesting 2014

On July 25, 2014 the market was down and Average IV was 16.7% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• *Important* Noticed that my DELTA is positive in the center of the tent for many days (Entry - Aug 5), why is this?
• Aug 14 - Reached Max Profit target of $2500, but decided to try and get slightly higher pnl
• Aug 14 - Sold 3 x 1120 to reduce DELTA inside edge of tent
• Aug 15 - Exited above Max Profit at + $2681

Backtesting 2014 - May 23, 2014 Entry

Account: Blog backtesting 2014

On May 23, 2014 the market was down and Average IV was 16.1% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Jun 5 - Sold 4 x 1100 to control VEGA
• Jun 6 - Rolld BF up
• Jun 9 - Sold 5 x 1140 to protect upside
• Jun 12 - Sold 5 x 1120 to protect downside
• Jun 16 - Sold 5 x 1150 to protect upside
• Jun 18 - Sold 5 x 1140 to protect upside
• Jun 23 - Sold 5 x 1150 to protect upside 
• Jun 27 - Sold 5 x 1160 to protect upsdie
• Jun 30 - Sold 5 x 1160 to control VEGA
• Jul 1 - Rolled BF up
• Sold 4 x 1210 to protect upside
• Jul 2 - Sold 4 x 1180 to protect downside
• Jul 3 - Sold 4 x 1210 to protect upside
• Jul 7 - Sold 10 x 1190 to control DELTA
• Jul 8 - Sold 2 x 1170 & 8 x 1160 to reduce DELTA
• Jul 10 - Sold 4 x 1150 & 2 x 1140 to reduce DELTA
• Jul 11 - Exited below Max Profit at 7 DTE  + $925

Backtesting 2014 - Mar 21, 2014 Entry

Account: Blog backtesting 2014

On Mar 21, 2014 the market was down and Average IV was 16.5% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Mar 27 - Sold 3 x 1150 to protect t+0 downside
• Mar 28 - Sold 3 x 1160 to protect t+0 downside
• Mar 31 - Sold 3 x 1170 to protect t+0 upside ( Iwanted to flatten upside)
• Apr 7 - Rolled BF down
• Apr 22 - Sold 6 x 1120 &  4 x 1130 to reduce DELTA outside tent
• Apr 25 - Sold 2 x 1120 & 2 x 1110 to reduce DELTA inside tent
• Apr 28 - Exited at Max Profit target + $3317

Backtesting 2014 - Jan 24, 2014 Entry (STOPPED DUE TO DATA ISSUES)

Account: Blog backtesting 2014

On Jan 24, 2014 the market was down and Average IV was 15.7% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Jan 24 - Sold 3 x 1120 to protect t+0 downside
• Jan 29 - Sold 7 x 1120 to reduce + DELTA inside tent and protect t+0 downside 
• Volatility hit MAX LOSS 4K
• Jan 30 - Sold 5 x 1140 to protect t+0 upside
• Jan 31 - Sold 4 x 1110 to protect t+0 downside
• Feb 3 - Roll down the BF
• Feb 7 - Sold 10 x 1080 to protect t+0 upside
• Feb 13 - Rolld BF up
• Feb 14 - Sold 10 x 1120 to reduce DELTA outside tent
• Feb 18 - Sold 6 x 1130 to reduce DELTA outside tent
• Feb 24 - Sold 4 x 1130 to control VEGA
• Feb 25 - CAN'T CONTINUE WITH MY BACKTESTING FEB RUT DATA DOESN'T EXIST CONSTANTLY GETTING ERROR MESSAGES
• Therefore accepted a loss of - $1956

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
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