Point of follow-up on the 50% number. Are you using 50% the value of the short put or the spread? I'm in a position right now where the short cord has reached well over 60% decay but the spread is still 40% because the long positions are reducing the value of the spread meaning an exit right now will lower my overall TCO.
UUU1965, Thanks for your hard work! I have already commented earlier for the great work which can protect from the big down move.
I have gone thru your Excel file and will be thankful if you can answer the following:
1. In your back-testing, are your exits based on the end of the day 'Close' prices or intra-day prices?( I wanted to do it but my TOS back-testing platform gives only day 'Close' price.)
2. I noticed that your formula for Acc Balance = (Current margin + (Profit/Loss) * (-1))/2* IM) is different from Ron's which is (Current margin /(2* IM+(Profit/Loss) * (-1) ) . For small values of P/L it doesn't make much difference but for large values, it makes.
Last edited by dvbattul; August 21st, 2016 at 06:19 AM.
Reason: To add name/re-pharse
Your column I (P/L) on the Summary sheet does not have commissions and fees subtracted.
The commissions and fees on the 101 trades is more than half of your profit.
I added 2 columns to your Summary page. Column O is a running balance with commissions and fees subtracted. I had to start the account with $2,600 so that the account had enough money on 20150901 to acquire a position. The account balance had to be higher than $2,768 (IMx2) at the close of the 20150831 trade to add the new position on 20150901.
Your profit for 2013 was 445.72 or 19.8%. For 2014 profit was 144.36 or 4.7%. For 2015 profit was 371.76 or 11.7%. For 2016 profit is 787.80 or 22.1%.
Instead of a profit of $3,604 before commissions and fees, the net profit is $1,749.64.
Column P is just to make sure you had enough money in the account to add a new position.
I'm finding the settlement price vs the spot exit price is so radically different. I've attached a screenshot of my current positions to highlight it. Are you using your settlement price to calculate everything or the bid/ask?
All numbers here have commissions/fees subtracted.
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I don't understand your Current Premium. For your first position you have 1.95. The settlement for that one on Friday 8/19/16 was 2.65. 4.85 for the 1500 and 1.10 for each of the longs.
You have to use the prices off of your Daily Statement from your broker. You can't use the Last prices on Zaner360. When the markets open for the next day you can then use Prior Settle in the Quotes pane on Zaner360.
Last edited by ron99; August 22nd, 2016 at 12:15 PM.