Option FanaticOptions, stock, futures, and system trading, backtesting, money management, and much more!

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.