Weekly Iron Butterfly Backtest (Part 15)
Posted by Mark on July 22, 2013 at 05:29 | Last modified: August 7, 2013 14:38In this blog series, I’m backtesting the weekly option trade described here.
Week 14′s trade begins like this:
The market pulled back to force an adjustment just before the weekend:
On Tuesday as the market continued to drop, the trade was closed at max loss:
P/L on Day 1 ranged from -$144 to +$273 on a margin requirement of $4,512.
P/L on Day 2 ranged from -$729 to +$213 on an adjusted margin requirement of $6,393.
P/L on Day 5 (nothing happened over the weekend) ranged from -$303 to +$135.
The trade was closed on Day 6 for a loss of $933, which is -14.8% on max margin.
Out of 14 weeks of backtesting thus far, this trade has won eight times.
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