Backtesting 2013 - Apr 26, 2013 Entry

Account: Blog backtesting 2013 Apr start

On Apr 26, 2013 the market was down and Average IV was 17.3% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• May 1 - Sold 3 x 900 to protect my t+0 downside risk
• May 2 - Sold 3 x 930 to protect my t+0 upside risk
• May 10 - Sold 3 x 930 to increase - VEGA
• May 13 - Sold 3 x 930 to increase - VEGA
• May 14 - RUT moved 24 pts above my upper wing, therefore rolled BF up 40 pts

• May 15 - Sold 4 x 970 to protect t+0 upside risk
• May 17 - Sold 3 x 970 to reduce - DELTA outside tent
• May 20 - Sold 1 x 970 and 2 x 980 to reduce - DELTA outside tent
• May 22 - Sold 1 x 960 and 3 x 950 to reduce + DELTA and protect t+0 downside risk
• Note - Increasing my t+0 threshold to 1500 - 1800 on each side.
• May 28 - Sold 5 x 980 to reduce - DELTA outside tent and protect t+0 upside risk
• Jun 7 - Sold 1 x 960 and 4 x 980 to reduce DELTA inside tent
• Jun 8 - Sold 3 x 990 to reduce DELTA inside edge of tent
• Jun 12 - Sold 2 x 970 and 1 x 960 to reduce + DELTA inside tent
• Jun 13 - Sold 4 x 990 to reduce - DELTA inside edge of tent
• June 14 - Hallahuah!!! 7 DTE left and I had to take this trade off no matter what! Exited trade at Max Profit + $2764

Backtesting 2013 - Mar 22, 2012 Entry

On Mar 22, 2013 the market was slightly up and Average IV was 14.3% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Apr 3 - Sold 10 x 920 to reduce + DELTA under tent
• Apr 9 - Sold 5 x 930 to protect t+0 upside risk
• Apr 10 - Sold 5 940 to reduce - DELTA and protect t+0 upside risk
• *NEW adjustment* - Discarding below adjustments, I did the below adjustments to see if I could minimize my drawdown, but in fact I made it worse. I've traded this position twice now and I can't pull it out of a greater than Max Loss situation, therefore I've realized that if I have a drawdown that is greater than my Max Loss (-$2500) around -$3500, its better to just close the trade. 
• Apr 15 - Exit trade for above MAX Loss - $3465
• Apr 15 - Rolled the BF down 40 pts

• Apr 15 - there was a sharp down move of -35 pts in the RUT, this volatility hit resulted in market makers taking the price out of my butterflies. As a result my absolute loss (ABS Loss) was increase to -$4000 to $ -5000
• As a result of an increase in ABS Loss, my threshold when assessing t+0 line will be $1500 - $2000
• Apr 15 - Sold 8 x 890 to protect t+0 upside risk
• Apr 16 - Sold 8 x 900 to protect t+0 upside risk
• Apr 18 - Sold 2 x 870 to protect t+0 downside risk (doesn't protect me from my MAX loss of $5000, just hanging in there to minimize my loss through adjustments + BREACHED MY MAX LOSS & KEPT ON MANAGING THE TRADE)
• Apr 19 - Sold 2 x 910 to protect t+0 upside risk
• Apr 22 - Sold 2 x 890 and 1 x 910 to flatten out t+0 and protect upside risk
• Apr 23 - Sold 2 x 910 to protect t+0 upside risk
• Apr 29 - Rolled the BF up 30 pts

• Apr 29 - Sold 5 x 940 to protect t+0 upside risk
• May 1 - Sold 5 x 920 to protect t+0 risk in both directions
• May 2 - Sold 5 x 930 and 5 x 950 to protect t+0 upside risk
• May 3 - Sold 3 x 940 and 2 x 950 to protect t+0 upside risk
• May 7 - Sold 3 x 950 to reduce + VEGA
• May 9 - Exited at MAX LOSS - $ 4806

Very tough trade need to review with Dave.

Backtesting 2013 - Feb 22, 2013 Entry (Carried over from 2012)

On Feb 22, 2013 the market was down and Average IV was 15.6% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Feb 25 - Sold 1 x 870 to protect t+0 downside risk (I didn't make this adjustment b/c there was a vol hit and if I make an adjustment here I will be giving up my upside risk, therefore I will will increase my t+0 20 pts adjustment point to $1500 - $1800)
• Feb 26 - No adjustment same as Feb 25 reasoning (within threshold)
• Mar 5 - Sold 6 x 900 to reduce DELTA outside tent and protect t+0 upside risk
• Mar 8 - Sold 3 x 910 to increase negative VEGA 
• Mar 13 - Rolled BF up 30 pts
• Sold 1 x 920 and 9 x 930 to control DELTA after rolling up the position (it was hard to control DELTA when rolling up the BF, so I adjusted my rolled BF after I rolled the 10 pt BF and then did the adjustment for DELTA)
• Mar 14 - Sold 8 x 940 to control DELTA inside edge of tent and t+0 upside risk (a bit of VOL hit and therefore increasing 20pt adjustment threshold)
• Mar 19 - Sold 2 x 930 and 1 x 920
• Mar 20 - Sold 1 x 950 to control DELTA inside edge of tent
• Mar 28 - Sold 2 x 950 to control DELTA inside edge of tent
• Apr 1 - Sold 3 x 940 to balance out t+0 line in both directions
• Apr 1 - Sold 2 x 930 to balance out t+0 line in both directions
• Apr 3 - Sold 1- x 920 to control DELTA (Should I have rolled the BF down instead to balance out the t+0 line?)
• Apr 4 - Sold 5 x 930 to control DELTA
• Apr 5 - Decided to exit the trade (tired of trying to control t+0 without success) and exited below profit target + $792
• ------------------------------------------------------------
• Continued trading this position after closing it out
• Apr 8 - Could have taken profit of + $2132
• Instead Sold 5 x 940 to control DELTA
• Apr 9 - Sold 3 x 950 to control DELTA
• Apr 10 - Sold 7 x 950 to control DELTA
• Apr 11 - Sold 3 x 970 to control DELTA, but jumped over the upper wing (Is this a legitimate adjustment to make?)
• Apr 7 - Exited trade below profit target + $559 at 7 DTE per guidelines.

Backtesting 2013 - Jan 22, 2013 Entry

On Jan 18, 2013 the market was down and Average IV was 14.4% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Jan 25 - Sold 4 x 880 to reduce DELTA outside tent 
• Feb 5 - Sold 6 x 880 to reduce DELTA outside tent
• Feb 7 - Sold 4 x 890 to reduce DELTA outside tent
• Feb 13 - Sold 4 x 890 to reduce DELTA outside tent
• Feb 14 - Have to roll the BF up 30pts b/c I can't keep DELTA and VEGA negative

• Feb 19 - Sold 3 x 930 to reduce DELTA inside edge of tent
• Feb 20 - Sold 2 x 920 to reduce positive DELTA in the tent (I made this adjustment, but my 20 pt threshold rule is not being followed, i.e. 20 pts down I'm - $2000 - I don't know what I would have done)
• Feb 21 - Sold 5 x 910 to protect t+0 downside risk
• *Note* For Adjustments starting Feb 20, I had to increase my ABS Max Loss to $5000 and my adjustment thresholds.
• Feb 25 - Sold 5 x 900 to reduce DELTA under the tent
• Feb 27 - Sold 7 x 920 to reduce DELTA under the tent
• Mar 1 - Considered making an adjustment to protect t+0 upside risk, but decided that since my Greeks are within parameters that I won't over manage the t+0 line.
• Mar 4 - Sold 3 x 930 to reduce DELTA
• Mar 5 - Sold 7 x 930 to reduce DELTA
• Mar 6 - Sold 1 x 950 to reduce DELTA (sold this 1 over my upper wing)
• Mar 7 - Sold 1 x 950 to reduce DELTA (sold this 1 over my upper wing)
• Mar 8 - Exited at 7 DTE and below profit target + $1376

Backtesting 2012 - Dec 21, 2012 Entry

Account: Blog backtesting 2012

On Dec 21, 2012 the market was down and Average IV was 18.5% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Dec 28 - Sold 5 x 810 to protect t+0 downside risk
• Dec 31 - Sold 2 x 850 & 2 x 840 to protect t+0 upside risk
• Jan 3 - Sold 2 x 850 & 1 x 830 to protect t+0 upside risk and reduce - DELTA outside tent
• Jan 7 - Sold 2 x 850 to protect t+0 upside risk
• Jan 15 - Sold 3 x 840 to create negative VEGA
• Jan 16 - Sold 2 x 850 & 2 x 860 to create negative VEGA
• Jan 17 - Roll BF up 50 pts

• Jan 18 - Sold 8 x 890 to reduce negative DELTA inside tent and protect t+0 upside risk
• Jan 22 - Sold 5 x 900 to reduce negative DELTA inside tent and protect t+0 upside risk
• Jan 28 - Sold 2 x 900 to reduce DELTA outside the tent
• Jan 30 - Sold 2 x 880 to protect t+0 downside risk
• Jan 31 - Sold 1 x 900 to protect t+0 upside risk
• Feb 1 - Sold 3 x 900 to reduce DELTA outside tent
• Feb 5 - Sold 1 x 920 to reduce DELTA outside tent (This 1 Put was placed above the upper wing of the BF + Is this something I should be doing?)
• Feb 7 - Took the position off for a small profit + $431, instead of making an adjustment to reduce DELTA outside the tent (Considering there is 1 day left to 7 DTE, no point imo to make an adjustment)

Backtesting 2012 - Oct 26, 2012 Entry

On Oct 26, 2012 the market was down and Average IV was 20.2% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Nov 1 - Sold 5 x 800 to reduce DELTA outside tent and protect t+0 upside risk
• Nov 7 - Sold 2 x 770 to protect t+0 downside risk
• Nov 8 - Sold 3 x 770 to protect t+0 downside risk
• Nov 14 - Sold 5 x 790, 2 x 760, 3 x 750 to reduce positive DELTA and hedge t+0 line
• Nov 15 - Rolled the BF down
• Nov 16 - Sold 5 x 770 to reduce DELTA and hedge t+0 upside risk
• Nov 19 - Sold 2 x 760 and 3 x 770 to reduce positive DELTA outside tent
• Nov 21 - Sold 4 x 780 to reduce positive DELTA outside tent
• Nov 23 - Rolled BF up
• Nov 26 - Sold 5 x 810 to hedge t+0 upside risk
• Nov 28 - Sold 2 x 820 to reduce DELTA inside edge of tent
• Nov 29 - Sold 2 x 820 to reduce DELTA inside edge of tent
• Dec 5 - Sold 1 x 820 to reduce DELTA inside edge of tent
• Dec 10 - Exited a Below Profit target + $1974

Backtesting 2012 - Sep 24, 2012 Entry

Account: Blog backtesting 2012

Entered this trade 53 DTE b/c my last trade ended on the 56 DTE, therefore I decided to put this trade on the very next business day i.e. Monday.

On Sep 24, 2012 the market was slightly down and Average IV was 16.1% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Sep 25 - Sold 3 x 820 protect t+0 downside risk
• Sep 26 - Sold 5 x 810 to hedge t+0 downside risk
• Sep 27 - Sold 3 x 840 and 2 x 850 to hedge t+0 line both directions (Why is my t+0 line giving my issues on both sides?)
• Due to my position being down a significant $ amount I increased my ABS Max Loss to  4k and my 20 pt thresholds between $1500 - 1800
• Oct 12 - Exited a Max Profit + $2597