Weekly Iron Butterfly Backtest (Part 8)
Posted by Mark on July 3, 2013 at 04:14 | Last modified: August 2, 2013 14:20In this blog series, I’m backtesting the weekly option trade described here.
Week 7’s trade begins like this:
The trade closed just before the market sold off markedly:
P/L on Day 1 ranged from -$399 to -$114.
P/L on Day 2 ranged from -$75 to +$318.
Trade closed on Day 5 (nothing happened over the weekend) for a profit of $444, which is 10.1% on $4,419 initial margin.
In backtesting, this trade has now won four times in seven weeks.
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