Practice Trades Cal 1.1

I’m going to apply my initial backtesting guidelines shown here with a few tweaks:

• Use 10-point strikes only and lean bullish (by < 10 points) as needed.
• Adjust only when TD shrinks to 1 or less.
• Profit target (PT) 10% and max loss (ML) -20%.
• No time stop.

Cal 1.1 begins 5/15/18 (66 DTE) with SPX = 2707.45 and 2710 puts down $168. MR is $2,778 (two contracts), TD = 11, IV 11.2, horizontal skew -0.44%, NPD = 0.9, and NPV = 177.3.

On 44 DTE, trade down $218 (7.9%) with TD = 1 with market up 0.83 SD over 22 DIT.

Adjustment increases margin requirement (MR) to $3,066 and puts trade down $302 (9.9%). TD increases to 3. Raising second strike any higher results in horrific sag in the expiration curve. Two of five T+x lines are profitable now.

On 42 DTE, trade down $347 (11.3%) with TD = 3.

Exit trade at 14 DTE (52 DIT) for 11.7% ROI ($358). Here is underlying price action during this trade:

Nothing to see here.