I know that took many hours to do.

Interesting having that low an exit point still allowed profit to be made yearly.

Did you subtract commissions and fees?

My post isn`t direct to your strategy but however to the same topic: how to find the best strategy for options selling (in this case ES options).
After many studies I didn`t find any universal strategy for ES options selling (either too large cushion or too long days held ending with a loss) therefore I decide to focus to simple risk management (Money Management).

I just finish a big research for ES options selling from 20130102 till 20160810:
* Basic: put spread 1:2
* DTE: >90
* Enter: random and mechanically
* Short strike: 20% from ES price (thanks @ron99)
* Long strike: apr. 0.5 deltas x 2, just for IM reduction not for covering
* Exit: 50% premium drop
* Stop: 1/2 from profit, like @myrrdin (f.e., if a profit is calculated 100$, stop is 50$)

The last sheet of Excel is summary for 3,5 years trading.
The biggest surprise are the result of 2015: you can ending the year with profit having win/loss rate 16:18!
This research just show simple MM advantage. May be you need additional signal for enter: IV spike, ES % 1-2 days price drop etc.

My post isn`t direct to your strategy but however to the same topic: how to find the best strategy for options selling (in this case ES options).
After many studies I didn`t find any universal strategy for ES options selling (either too large cushion or too long days held ending with a loss) therefore I decide to focus to simple risk management (Money Management).

I just finish a big research for ES options selling from 20130102 till 20160810:
* Basic: put spread 1:2
* DTE: >90
* Enter: random and mechanically
* Short strike: 20% from ES price (thanks @ron99)
* Long strike: apr. 0.5 deltas x 2, just for IM reduction not for covering
* Exit: 50% premium drop
* Stop: 1/2 from profit, like @myrrdin (f.e., if a profit is calculated 100$, stop is 50$)

The last sheet of Excel is summary for 3,5 years trading.
The biggest surprise are the result of 2015: you can ending the year with profit having win/loss rate 16:18!
This research just show simple MM advantage. May be you need additional signal for enter: IV spike, ES % 1-2 days price drop etc.

My post isn`t direct to your strategy but however to the same topic: how to find the best strategy for options selling (in this case ES options).
After many studies I didn`t find any universal strategy for ES options selling (either too large cushion or too long days held ending with a loss) therefore I decide to focus to simple risk management (Money Management).

I just finish a big research for ES options selling from 20130102 till 20160810:
* Basic: put spread 1:2
* DTE: >90
* Enter: random and mechanically
* Short strike: 20% from ES price (thanks @ron99)
* Long strike: apr. 0.5 deltas x 2, just for IM reduction not for covering
* Exit: 50% premium drop
* Stop: 1/2 from profit, like @myrrdin (f.e., if a profit is calculated 100$, stop is 50$)

The last sheet of Excel is summary for 3,5 years trading.
The biggest surprise are the result of 2015: you can ending the year with profit having win/loss rate 16:18!
This research just show simple MM advantage. May be you need additional signal for enter: IV spike, ES % 1-2 days price drop etc.

A couple of questions.

Why did you use EW (end of month) instead of EW3?

How did you calculate P/L? Use the 20160712 trade as your example to show me. I see $142 (column I on Summary page) but I don't see 18.36 subtracted from that profit.

I spent the last 7 days reading through every line in this thread. It's pretty powerful to watch the mood shift around the original strategy after the August event. Ron, have you had a chance to model the outcome if you just continued to mechanically execute the strategy. You were pulling in 4-6% per month on full account, and took what I assume to be a 50% hit. Implied volatility shot sky-high after this event, and there was opportunity to make back what was lost. On full year you may have been near flat.

Excellent question.

I just did that now and I have the account at +22.7% since 1/1/13. Or +6.3% per year. For 2016 it is up 52.7% after just barely holding on through the Jan drop and not going on margin call (94% of account used for IM).

The loss on 8/24/15 was 83% for the strategy of selling naked 3 delta ES options with 3X initial margin (IM) if you entered on 7/21/15. The loss depends on when you entered and at what price you exited. 70-90% was likely.

The interesting thing is that over 3 1/2 years and 50 trades this strategy had 49 winners and only one losing trade. But that loser was a big one.

See attached spreadsheet.

With the proposed new strategy, I want to make sure I'm clear. It is a sell 1 at 5 delta, 2 at 1.5 delta. Close after 30 days if 50% price target has not been hit. Reduce use of equity to 1/6 of SPAN margin.

* There isn`t a special choice for EW (just next to DTE>90, f.e. on 20160712 ESZ6 was 157 DTE and EWV6 - 111 DTE)
* P/L = Premium/2 - commissions (in another words: my close/target price includes commissions - f.e column L on sheet "20160712")
* But thanks for the remark: I just noted that Stop price (f.e column R on sheet "20160712") is lower than 1/2 of profit ( I extract the commissions twice: 1x from profit and second from Stop price).
Thats changes in some example exit price and DH, finally M ROI; but basic conclusion remain the same: simple MM rules can improve my trading results

Is there a way to modify your spreadsheet and switch the stop to 100% the profit rather than 50% the profit?

Thanks.
/rsm005/

My new strategy is sell one at about 90+ DTE and 20% OTM (largest drop since 2008 in 90 days was 19%) and pick 2 longs that make the net delta around 2.00. Close when premium drops by 50% no matter how long it takes. Use 6 times the initial margin to cover margin and excess and hold that the entire time you have that position. So if initial margin (IM) is $300 then you hold $1,800 for each of those positions until exit.