Weekly Iron Butterfly Backtest (Part 15)

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

Week 14′s trade begins like this:

The market pulled back to force an adjustment just before the weekend:

On Tuesday as the market continued to drop, the trade was closed at max loss:

P/L on Day 1 ranged from -$144 to +$273 on a margin requirement of $4,512.

P/L on Day 2 ranged from -$729 to +$213 on an adjusted margin requirement of $6,393.

P/L on Day 5 (nothing happened over the weekend) ranged from -$303 to +$135.

The trade was closed on Day 6 for a loss of $933, which is -14.8% on max margin.

Out of 14 weeks of backtesting thus far, this trade has won eight times.