S&P 500 down 4.5%; your virtual $200,000 account + 0.1%

Finishing up the butterflies that were a drag on futures results limited our gains this past week, but the S&P tanked Wednesday and Thursday and we didn't get any of that on us.

A couple of the butterflies we had on continued to hurt results; I am mostly giving up on these and going to short strangles (on futures only) and iron condors with wide strikes.


Futures options pay better than equities, and the diversified bunch of trades I had on after Wednesday's sharp down move wasn't bothered at all:

So: I'll keep on a widely diversified bunch of futures options trades: strangles if I can afford them and otherwise iron condors with wide wings. I'll add an occasional equity trade as well, favoring those that are highly volatile (and therefore which pay better!) I plan to keep around 75% of my futures-enabled accounts in play (not all them are ... the IRAs don't get futures and futures options until later this year on Tastyworks. For those I still limit exposure to 30-40%.)

And one week of every four ...

This is "expiration week" when the Fabulous a.m. settled NDX trade is available Thursday and Friday. I'm going to hit it hard this week, as it should make about 20% on margin (while risking not much more than that, given 75-point wide wings on the iron condor) ... since over time this trade has shown a 91.7% win rate, the only wish I have for it is that i could do it every week, like in the good old days of earlier this year!

More next week!

A look at real returns over the period I've been trading NDX

I started testing the NDX trade with 1-lots (the minimum) on Thursday, October 26, 2017. Since then, the main account I've been testing with is up from $5126 to $6903. This is nearly 35%!

... for just those 13 weeks. And I was just testing, trading 1-lots ... if I'd been using the 1/2 Kelly Criterion I'd have lost more the first week but gained double or more for the following 10 weeks ... I calculate the gain would then have been in the range of 50%!

Getting back to the realm of speculation, but standing on the real test results of the past 13 weeks and assuming 91.7% wins on a firm footing, I think:  the one-year Monte Carlo mean result if I assume 15 percent gain on each winning trade and 100% loss on each losing one, risking 33% of the account always:

Finally, if I assume the same as the above run but with an average 20 percent gain: 334%!

And: that's assuming 100% loss on every losing trade, which almost certainly won't be that extreme ...

Wahoo!