Wednesday, March 3, 2010

03/03 NDX Fast Butterfly

No major change, still slightly under-water on the position. I believe it has to do with the number of days to go, this week I started with the APR contracts and there is still 43 days to go, so time decay is not necessarily helping a lot here. I need to gather up more backtest data points to make any decent assumption here, but my feeling is that between 35 to 25 days is the sweet spot for this strategy.

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