Gosh! These are really extreme moves. I guess your average has come down below 0.5%. Not really much to show for that volatility. I believe you must have done some backtesting before starting with this strategy? Was the expected compounded average as high as 3.0% per day which you are aiming at? I will understand a 90% drawdown if the expectation is really as high as that.
neke Performance is bad. I am switching between long and short strangle all the time. Need to rethink my strategy again.
06/21/07 -23.8% Avg. is at 0.1% in 115 days. I am starting from nearly zero again. Target is avg. 3% per day!
06/26/07 +3.5% Back to writing bear call and bull put spreads (digital options) on the Dow. I know that I am starting from scratch.
Intraday movements are gigantic!!! More than 200 Dow points intraday. Not good for shorting options which is my core business. 06/27/07 -34.3% 06/28/07 +21.9% 06/29/07 +10.4% Don't confuse the absolute values. Need log to compare. I am nearly at my start point at 01/03/07. That's 119 days ago. But the account is not wiped out since 119 days (searching for something positve...).
07/02/07 -10.7% NEVER FIGHT A TREND! In most cases even in a sideways market the trend will finally continue. More continuations than reversals!?