Weekly Iron Butterfly Backtest (Part 21)

In this blog series, I’m backtesting the weekly option trade described here.

Week 20′s trade begins with this:

The market rallied on Day 1 to an adjustment point.  The adjustment could not be made, however, because slippage alone would put the trade at max loss:

Max loss was hit early on Day 2:

P/L ranged from -$714 to -$144 on Day 1.

The trade was closed on Day 2 for a loss of $867 on $3,759 margin, which is -23.1%.

In 20 weeks, the trade has now won 10 times.