Weekly Iron Butterfly Backtest (Part 19)
Posted by Mark on July 31, 2013 at 07:05 | Last modified: August 25, 2013 12:14In this blog series, I’m backtesting the weekly option trade described here.
Week 18′s trade begins with this:
After opening the day down, the market recovered and pressed higher. This forced an adjustment:
The market continued to move higher and max loss was reached just six hours after the trade was placed:
P/L ranged from -$12 to -$729, which is where the trade closed. On an adjusted margin requirement of $5,523, this is a 13.2% loss.
This trade has now won nine times out of 18 weeks. Unfortunately, the average win so far is $433 and the average loss is $936.
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