Trading Strategy Idea’s to Test

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This post is going to be a running update of any trading strategy idea’s I would like to test.

While I like my set of strategies and rules, I am not under the allusion that it is perfect. As a matter of fact I will always look at my strategies as imperfect and allow that to drive me to better results. With that being said I need to provide ample amount of trading history for any test and would likely not change my strategy until I have at least an entire year of data on the current strategy I am using.

  • 1-8-2019 – Delta Rebalancing at the Strike – This strategy involves closing a position when the strike is tested and re-opening a new position at the current strike. The idea is to greatly reduce losses (and portfolio volatility) while keeping a position open to continue to collect premium. The trade off the win rate and average P&L is lowered to decrease overall losses. Here a back-test was performed by the TT team https://www.tastytrade.com/tt/shows/market-measures/episodes/delta-rebalance-performance-analysis-11-19-2018
  • 1-8-2019 – Delta Rebalancing at the break-even – This strategy involves closing a position when the break-even is tested and re-opening a new position at the current strike. This would be similar to the above but would increase the win rate and P&L. I would like to find out how significant the win rate and average P&L change between this and the strategy above.
  • 1-8-2019 – Delta Rebalancing if position must be inverted – This strategy involves closing a position when the position must become inverted and re-opening a new position at the current strike. Often times, when starting with a strangle, the first defensive roll turns the position into a straddle. If price continues to trend then the next step would be to roll the position inverted. Once inversion occurs there is not much ammo left to defend the current position and the risk greatly increases. This gives the position the greatest chance of winning before rebalancing. It would also offer the greatest losses of these first 3 mentioned strategies
  • 1-8-2019 – Closing trade after ‘X’ times loss – This strategy involves closing a position when the loss of the trade has exceeded ‘X’ times the amount of credit received. X would likely be 2, 3 or 4. As in the previous strategies this would likely lower risk and losses at the expense of a lower win rate and average P&L.