The hitrate is about the same, average profits per day are good. I only open 1 each day (at 9:45), he opens a lot more and closes sometimes in an...
Some statistics..
Some transactions..
Some results per month..
I'm currently doing a backtest on it. It looks promising. I will post the results when they are complete..
But this strategy takes almost no time to manage, and once the first months have run without incidents (there is the risk) will cost you no margin..
In the last 20 years there were 2 events where vix > 60. 5 oct 2008 12 march 2020
Added profit taking when vix > 60. On 12 March 2020 the following were closed: 945: closing week: maxCloseDate:2020-03-31: result:957%...
the backtest contains no profit taking. With a 500K portfolio you could take all off the table when you have a 20% drawdown. A 8-10 delta has much...
The payoff was 100K in feb 2020. If you have a 500k portfolio it can hedge a 20% downfall. Its not perfect, but you can have more low cost...
Its not a good trade, i earn my money with theta positive strategies. This is pure an cheap insurance for vix levels above 40. Do you know better...
Its not delta protection, its all about vega risk..
Shorting low delta options is all about risk management. This is an side strategy, hedging negative delta/ positive theta strategies..
Its a 5 year period. And longer is not needed, what matters is that you see positive P&L days on down days!
Correct, first the 3 open transactions are closed and 2 new longs are openend..
Thanks for the check. It doesn't matter that the longer dated puts are further OTM. The vega of these longer dated positions is bigger, so profit...
I also tested the strategy with 240DTE. The results are much better because you will be net more long puts. With only shorting 3 puts starting...
Could you please check the transactions
I started the strategy in jan 2018. I will export some transactions
I tested the strategy without increasing the size. The hedge worked in feb/mar 2020. Important is to close the strategy when vix is very high!...
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