Saturday, April 29, 2017

Weekly Trade Summary: Apr 23 - Apr 29

Last week I closed one trade for a profit and adjusted the trade I entered the prior week. The activity is shown below:

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Original Trade Entry: March 9 - BWB on the May 12 expiration (see this post)
Closed: April 24 - profit

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Original Trade Entry: April 21 - BWB on the Jun 23 expiration (post)
Adjustment: April 25 - added a second BWB on the Jun 23 expiration

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I currently have 5 open trades, with expirations in May (1), June (3), and July (1):

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Total defined risk for these trades is still at 36.8% of the account net liquidation value. This risk is broken down into the following groups:
  • 7.8% of net liq - DOTM BWB - hedges
  • 29% of net liq - core BWB
21 trades have been closed this year...13 wins and 8 losses. Return on the account for the year is at 3.50%.  Total win rate is at 62%.  The win rate on the core trades is at 68% and at the low end of the expected range. Of the 5 open trades, 3 are core and all 3 of the core trades are currently up money.

I have run 10, 10 year backtests on my deep out of the money broken wing butterfly hedges.  While they can work as a decent hedge if timed properly, over time they appear to lose money using my trading approach.  I will phase out this style of hedge in the next few weeks.

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