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I ran the #2 strategy for 12/01/15 that my strategy had +97% of account balance used for margin. Strategy #2 had a peak of 79.4% of acct balance for margin.
What is your X scale on the chart? Is it the date the spread was opened and the max % for that spread or something else?
Another variable I would love to see backtested is exit point. Is there a number different than 50% drop in net premium that would give you a higher ROI?
You got it right. X is the date the spread was open, Y is the max % of account balance the margin reaches for that spread.
I back-tested the exit point and 50% is pretty close to optimal, but that was before tweaks to the tool. I'll rerun a few other exit points and get back to you.
Has anyone researched longer term strategies (200 days plus)? This would allow us to initiate the trade much further from the underlying price, sell options with higher IV (given typical contango), sell more total contracts, take in a much larger net credit, have lower gamma risk, and less transactional costs.
If not a primary strategy, would this be a reasonable secondary strategy to the 90-100 day strategy?
When I model these trades on TOS, I find that higher DTE trades at the same delta have substantially lower initial margin requirements as they are further out of the money for the same delta as trades with lesser DTE. Unless I am missing something, this would mean that you could trade larger size for the same margin, which should theoretically increase ROI?
What I put together is kind of clunky but it works. Here are the steps I took:
Have a macro download all the data from XLS-SPAN. I do this by looping through each date in the "Scan" tab for ES with broad parameters (all delta and DTE < 200). The macro then copies and pastes the results for each day to a separate tab.
The output from #1 is saved in separate csv files, one for each year of data.
In Access upload each CSV file with annual data into a single table. The table from this step will be huge and you may run into issues with memory in Access; to get around this, export table with all the data to a CSV file.
In another Access database link to your newly created CSV file with all years of data and build queries to filter out the options you don't want. The queries I have do the following: Add Option ID and unique ID for each entry, filter out Calls, filter out options that never have a delta between 0.25 and 10.
In Excel create pivot tables that link to your filtered data in Access and backtest based on the output of these pivot tables. I have a simple macro looping through each date and running a predetermined strategy in this step.
If I have time next week I will include the EW3 data in the database as well. If there's a way for me to share very large files, I can upload the filtered data from step #4 so others can use it.