Been a while,
Figured I’d post an update on my results from the last year based on my total account value, so actual returns as well as what I expect going forward. My account has gotten larger and thus the complexity of what I do and how it’s managed has gotten more difficult in regards to flexibility of strategies etc. All I do now is manage portfolio sized STTBWB+BSH and BSH factory. This is probably all I’ll do in complex options for the foreseeable future.
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My YTD is 11.96% or more specifically Q1 (Jan 1 to Mar 29)
My 9 month return is 29.27%
My 6 month result is 17.5% (this includes a mess of things that didn’t do so well in Oct/Nov/Dec and are resultant from trades I no longer trade–>HS3, Rhino etc). If you remove these, it’s much closer to 25%-27% for the base portfolio trade mentioned above. IE right on target.
My 1-year is 40.96% Mar 31-Mar 31 which does include a portion of amped up Feb 2018 recovery.
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My expectations going forward are a yearly CAGR of about 40% for the main portfolio trade combined with some base trade returns of about 10% giving a total expected of 50% return on total capital. My actual for YTD extrapolated is suggesting 48% which fits right in line. I have no more catastrophic risk in Black swans and events. Everything is boring, simple in its management and I guess that’s the way it should be.
I’ll be looking for higher vol days for more entries and removing risk by harvesting but other than that. Easy days.
Hey Patrick – Nice work! I wish I could compare notes with you. I am doing pretty much the same trades (STT-BWB, BSH), and while I’m up during that time frame, it’s not nearly as much. Really great results!
From Jan 1 does include STTs I had on in Dec/Nov that mark to market higher in Jan/Feb during the vol relief. The trades started after Jan 1 are doing fine but a bit slower. I am fully in right now as well. My PC matches my balance.
I think that might be my issue… my PC does NOT match my balance. I am only in about 1/3… I need a nice vol spike so I can get some more on. Patience… right?
Good job, Patrick!
What about drawdowns, what was the your maxx dd in 2018 or past years?
Thank, Reno
These days, I expect much lower DD but during my learning phase in OTM, I did have some pretty big drawdowns in Feb 2018. The way I’ve structured my portfolio now, I think It’ll be very subdued.
Hey Patrick, I remember seeing one of your presentations where you compared the STTBWB to the Jeep and the Jeep had better statistics in your backtests. Why did you choose the STTBWB as over the Jeep?
Thanks,
John
I felt I found a good balance with the STTBWB given the Jeep complexity re number of contracts etc. I am not sold on my opinion though. I just have such limited cycles to explore and make decisions what I want to trade in my portfolio. I decided on the STTBWB+BSH for ease.
I am changing how this is deployed now based on the differences I see in the vol regime since Feb 2018.