Added a couple of trades yesterday and today to take advantage of any fall in price and/or rise in vol. Trade date: 16 November 2022 Security: VIX Price at opening: 24.4 Structure: OtM Put Credit Spread Expiry date: 23 November 2022 Strikes: 23 / 24 Opening Spread: 0.32 Trade date: 17 November 2022 Security: ES Price at opening: 3,956.0 Structure: AtM/OtM Call Credit Spread Expiry date: 23 November 2022 Strikes: 3965 / 4010 Opening Spread: 19.00 Trade date: 17 November 2022 Security: NQ Price at opening: 11,752.0 Structure: OtM Call Credit Spread Expiry date: 23 November 2022 Strikes: 12020 / 12080 Opening Spread: 13.75 Trade date: 17 November 2022 Security: RUT Price at opening: 1,837.0 Structure: ItM/AtM Put Debit Spread Expiry date: 25 November 2022 Strikes: 1835 / 1860 Opening Spread: 13.90
Short directional position on oil filled late yesterday, and closing orders filled early today. Trade date: 17 November 2022 Security: CL Price at opening: 83.43 Structure: OtM Call Credit Spread Expiry date: 25 November 2022 Strikes: 85.25 / 86.25 Opening Spread: 0.21 Close date: 18 November 2022 Trade duration: 1 Closing spread: 0.05 Profit / (Loss): 0.16 Profit / (Loss): 20.3%
This is not my actual equity curve, but as the journal has progressed I have accumulated sufficient trades to refine a statistically more-reliable sample for calculation of position size using Kelly Criterion. Rebasing my actual historic trading performance per the current understanding of position sizes for each strategy provides the following equity curve for YTD, which is quite encouraging for the future. This shows that lots of the flies at the beginning of the year were not contributing as much - and so receive low capital allocation - as the directional stuff that I started trading in the middle of the year. The hindsight should help as it will directly drive future performance.
The Nasdaq short Call Spread (#312) closed earlier today in profit. Trade date: 17 November 2022 Security: NQ Price at opening: 11,752.00 Structure: OtM Call Credit Spread Expiry date: 23 November 2022 Strikes: 12020 / 12080 Opening Spread: 13.75 Close date: 21 November 2022 Trade duration: 4 Closing spread: 5.00 Profit / (Loss): 8.75 Profit / (Loss): 18.9%
I like the study, but it may not be indicative of future results as what you did for your delta views might work in this environment and not in a future environment. To earn 380% trading flies though, how much per trade are you risking on average? (total premium/account size)
I completely agree that history (across only 11 months in this case) may not be repeated in future, and expect that as market conditions inevitably change I may need to revisit my methodology. I backtest 1000 trading sessions daily, so am comfortable with performance through Covid, but not sufficiently arrogant to suggest that I have a universal edge. You may have flattered my trading performance a bit; its significantly less than 380%! Also favoured structure has moved away from flies to verticals recently - only one fly traded during November (and no calendars) vs 12 verticals. Value at Risk (so premium paid for the debit trades and spread less premium received for the credit trades) is currently between 1% and 14% of account balance allocated depending on structure employed.
Remaining positions from #312 closed with three losses. Trade date: 16 November 2022 Security: VIX Price at opening: 24.40 Structure: OtM Put Credit Spread Expiry date: 23 November 2022 Strikes: 23 / 24 Opening Spread: 0.32 Close date: 21 November 2022 Trade duration: 5 Closing spread: 0.62 Profit / (Loss): -0.30 Profit / (Loss): -44.1% Trade date: 17 November 2022 Security: ES Price at opening: 3,956.00 Structure: AtM/OtM Call Credit Spread Expiry date: 23 November 2022 Strikes: 3965 / 4010 Opening Spread: 19.00 Close date: 23 November 2022 Trade duration: 6 Closing spread: 34.00 Profit / (Loss): -15.00 Profit / (Loss): -57.7% Trade date: 17 November 2022 Security: RUT Price at opening: 1,837.00 Structure: ItM/AtM Put Debit Spread Expiry date: 25 November 2022 Strikes: 1835 / 1860 Opening Spread: 13.90 Close date: 23 November 2022 Trade duration: 6 Closing spread: 7.20 Profit / (Loss): -6.70 Profit / (Loss): -48.2%
Opened long swing positions for expiry next week. Trade date: 23 November 2022 Security: ES Price at opening: 4,012.00 Structure: AtM/OtM Put Credit Spread Expiry date: 28 November 2022 Strikes: 3985 / 4015 Opening Spread: 11.25 Trade date: 23 November 2022 Security: RUT Price at opening: 1,861.00 Structure: ItM/AtM Call Debit Spread Expiry date: 30 November 2022 Strikes: 1830 / 1860 Opening Spread: 18.96 Trade date: 23 November 2022 Security: CL Price at opening: 78.30 Structure: OtM Put Credit Spread Expiry date: 02 December 2022 Strikes: 72.5 / 74 Opening Spread: 0.32