09/18 Backtesting RUT Iron Butterfly

I spent the past 2 weeks backtesting the RUT Iron Butterfly, I used TOS thinkback for the backtesting, therefore the adjustments can only be made as end-of-day trades, meaning the use of contingent orders can't be considered.

My goal in backtesting is to get a feel for the trade, the number of adjustments and the way it survives the most different and wild market conditions. I noticed that this strategy requires adjusting regardless of the environment, as you can see on the charts bellow, you adjust even when the price is totally within 1 st. deviation on the volatility cone. On the Bright side you can make money even if the market goes way out of the cone.

Like Dan Harvey puts it, this is a market-following strategy, and the name of the game is to keep theta comming regardless of where the market is going.