Status Update

Today I will detail my current tasks and projects.

I want to do more butterfly backtesting, but I’ve found this extremely cumbersome to do in OptionVue, which drains my motivation in a hurry.

Instead, I will go back 12-14 months and start backtesting several different strategies.* I will track various parameters in a spreadsheet and generate equity curves for the whole portfolio. The goal is to see what is working and to try and get a sense how they perform together.

Strategy #1 will be the NP. I will sell 1 SD NPs (if backtesting alone, then I would do one contract per day to minimize margin or concentration concerns). I will close at 2x. I will watch for IV increasing by 30% or first backwardation in 30 days (arbitrary) as a signal to hedge (e.g. close half the position). Exit at 21 DTE.

Strategy #2 will be a 16/25 IBF. Consider requiring UEL to be no more than 5% LEL (arbitrary). Watch for IV increase of 30% or first backwardation as signals for potential exit or adjustment. One potential adjustment is to buy LP to cut NPD by 67% on a 1.6 SD (arbitrary) or larger downmove. I will close LP on a move (close?) above the high of the entry candle. If market falls and remains outside BE for three days (arbitrary), then close trade. Profit target 10% with max loss 15%.

Strategy #3 will be a monthly ATM calendar. Profit target 10% with max loss 15%. I can adjust into DC if market moves to BE (or down 7% on the trade).

Strategy #4 will be a 30-64 DTE ATM straddle. As above, I will monitor for IV increase by 30% or first backwardation as signals to hedge (e.g. close half the position, neutralize delta, close puts). Exit at 21 DTE.

Strategy #5 will be a 1 SD strangle. As above, I will monitor for IV increase by 30% or first backwardation as signals to hedge. Exit at 21 DTE.

Strategy #6 will be a LP unbalanced IC per my guidelines.

Each strategy needs to be allocated appropriately (perhaps 10% of account for 50% total). While diversified with regard to time, they are not diversified with regard to underlying and they are all delta neutral (or bullish).

In addition to backtesting, I want to pursue leads at both U of M and MSU. Once the move is complete, I should be more focused and able to concentrate my time in one place.

I will continue trying to assemble a trading group, as I have discussed.

Finally, I will once again look into ONE as December approaches because my OV subscription will expire.

* I initially wanted to backtest daily trades on four strategies, but this really makes for a
   headache. I tried entering the respective trade ID for each strategy in OptionVue, but it
   defaults to “all” upon every refresh. I also find there to be too much stuff to monitor
   on each day: 20-30 trades per day per strategy and multiple parameters on each trade.

   If I want to get a sense of trading a portfolio together, then the best way is probably
   to keep it to the six open trades at a time. I can get decent portfolio diversification
   by opening positions for each strategy every 4-5 trading days.