Weekly Iron Butterfly Backtest (Part 13)
Posted by Mark on July 17, 2013 at 04:34 | Last modified: August 5, 2013 14:55In this blog series, I’m backtesting the weekly option trade described here.
Week 12′s trade begins like this:
The market rallied during the day to force an adjustment near the close:
A couple short bursts to the downside over the next few days were not enough to hit the profit target. On Wednesday of expiration week, max loss was hit:
P/L on Day 1 ranged from -$480 to -$141 with an adjusted margin requirement of $5,250.
P/L on Day 2 ranged from -$624 to -$492.
P/L on Day 5 (nothing happened over the weekend) ranged from -$507 to -$312.
P/L on Day 6 ranged from -$243 to +$24.
Trade closed on Day 7 for a loss of $891, which is -17.0% on max margin.
The trade is 7-5 in backtesting thus far.
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