M3 Backtesting Jul 22 2016

july-22-2016-entry-2nd-attempt

Adjustments:

  • Aug 5 – Sold 10 x 1180 to control VEGA
  • Aug 15 – Rolled BF up
  • Aug 16 – Sold 2 x 1230 to protect 20 pts up
  • Aug 17 – Sold 2 x 1210 to protect 20 – 25  pts down
  • Aug 18 – Sold 4 x 1230 to protect 25 pts up
  • Aug 19 – Sold 1 x 1230 to protect 20 pts up
  • Aug 22 – Sold 1 x 1230, 2 x 1220 to protect 20 pts up
  • Aug 23 – Sold 2 x 1240 to protect 20 pts up
  • Aug 24 – Sold 2 x 1230 to protect 20 pts down
  • Aug 29 – Sold 3 x 1240 to reduce – DELTA inside tent
  • Sep 2 – Sold 5 x 1240, 2 x 1250 to reduce – DELTA inside edge of tent
  • Sep 6 – Exited trade at 10 DTE slightly below profit target +$1927
  • If I continued to trade this to 7 DTE — see below —
  • Sep 6 – Sold 3 x 1250 to reduce – DELTA inside edge of tent
  • Sep 7 – Sold 5 x 1250 to reduce – DELTA outside tent
  • Sep 9 – Large sharp -31.10 down move, and exited 7 DTE at -$1748

M3 Backtesting May 20, 2016

may-20-2016-entry-2nd-attempt

Adjustments:

  • May 25 – Sold 4 x 1080 to control VEGA outside tent
  • May 26 – Roll BF up
  • May 27 – Sold 2 x 1130 to protect 30 pts up
  • Jun 2 – Sold 4 x 1130 to protect 30 pts up
  • Jun 8 – Rolled BF up (Volatility hit and therefore increase absolute max loss)
  • Jun 9 – Sold 2 x 1150 to protect 20 pts down
  • Jun 10 – Sold 3 x 1150 to protect 20 pts down
  • Jun 13 – Sold 3 x 1150 to protect 20 pts down
  • Jun 14 – Sold 1 x 1150, 1 x 1140 to protect 20 pts down
  • Jun 15 – Sold 1 x 1150 to protect 20 pts up
  • Jun 16 – Sold 2 x 1160 to protect 20 pts up
  • Jun 20 – Sold 8 x 1160 to protect 20 pts up
  • Jun 22 – Sold 4 x 1150 to reduce + DELTA inside tent
  • Jun 23 – Sold 6 x 1170 to reduce – DELTA inside tent and protect 20 pts up
  • Jun 24 – Rolled BF down and exceeded abs max loss to -$4620 — Continued to trade to minimize loss
  • Jun 27 – Sold 10 x 1090 to reduce + DELTA inside tent
  • Jun 28 – Sold 5 x 1100 to protect 20 pts up
  • Jun 29 – Sold 4 x 1110, 6 x 1120 to reduce – DELTA inside tent
  • Jun 30 – Sold 8 x 1130 to reduce – DELTA outside tent
  • Jul 1 – Sold 3 x 1140 to reduce – DELTA outside tent
  • Jul 7 – Sold 3 x 1140 to reduce – DELTA outside tent
  • Jul 8 – Exited 7 DTE above max loss – $3168.

Summary:

  • I noticed that as Avg. IV increased during the trade that my position value shrunk, the graham dot was below the 0 axis  resulted in my trade being in a negative value. As IV increased I lost value, but when IV reduced I started to get value back into my trade. I need to understand what is happening here (Jun 8 – Jun 14). Ask Dave.

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

Account: Backtesting 2016

Trade Entry:
jul-22-2016-entry-2nd-attempt

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