Weekly Iron Butterfly Backtest (Part 21)
Posted by Mark on August 5, 2013 at 06:40 | Last modified: August 25, 2013 12:45In 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.
No comments posted.