Schwalbe live performance
So far we had the highest volatility spike of the last 10 years, VIX at 54.39 !
My tradingsystem stopps when market is leaving my definition of a comfort zone.
And i think it really did !
But much more important than this: Did i survive ? How much stress i was forced to accept ?
Do i have a loss which might eliminate the profit of months or even many years ?
let´s look at the results and make up your own opinion:
results live performance:
Sept-Dec 2019: $ 524.5 incl commissions
Dec-March 2020: $ -532.5 plus commissions
which was my max risk (max RegT margin) in the current trade Dec 2019 to March 2020 ?
$ 1 403 (lower expiration line)
the realized loss was less than 38 % of the max loss
theoretical profit $ 596 (possibly higher by more adjustments following the rules if no exit happened)
max SPAN margin: much lower, estimated about $ 900
planned capital RegT (very conservative): $ 7 000
is it as expected from the backtests ?
Yes absolutetly, no unexpected loss
It was successful in being a reliable system, resilent against volatility spikes ( and we had the biggest of the last 10 years, VIX peak at 54.39).
ES dropped by 16 % and party might not be over.
I don´t know, how other systems performed. My loss was as expected and amount was NOT bigger than a normal winner.
And this was the worst case which can happen to my system.
Ratio win/loss backtest and live since Dec2014: 17/4
If you need a proof, if my system has not fat tail risk and is resilent against volatility spikes - here it is.
how many adjustments were made ?
Sept-Dec (old version): 11
Dec-March (new version): 2
heavy stress or sleeples night ?
Not at all, no fat tail risk ever during the whole trade.
clear signal when to exit ?
Yes, below -5% of entry price is ALWAYS an exit signal. No exception.
What if there was no exit ?
One day later loss would be at about $ - 1,022. and starting rollercoaster.
Some changes were made in the system, simplified but no higher risk or less profit.
Clear limits depending on entry price, when to make an adjustment.
Limits are fixed right from the beginning until expiration
Basic rules when to adjust are fix, only few adjustments are discretionary, depending on DTE, Volatility, numbers of adjustments already made etc.
You have seen, there is no unexpected loss, you experienced the quality of not having a fat tail risk at all.
This was a situation which doesn´t happen very often and still inside expected results.
Here is the special offer:
For new members March until June 19th 2020 $ 201
or regular price per month $ 101
the new trade starts on monday, March 23rd