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Q3 2016 Performance Review

2016 continues to be a fascinating year for the markets, with dramatic pullbacks in Q!, followed by an equally energetic climb upwards in Q2 (briefly interrupted by the Brexit vote) and then a period of continued consolidation throughout Q3. Overall, it has been a challenging year to be market neutral, given the strong swings. Directional trading has been less difficult, in part thanks to the premium selling component we've added to the Trend Service.

Let's dig into the numbers:

Iron Condor Program

The Iron Condor service rebounded from a challenging first half of 2016, posting over 4% returns for Q3. Like the Trend service results, these returns are non-compounded. On a rolling 12 month basis, we are off 9.3% on a $5k portfolio.. Although not technically part of the Q3 returns, we recently closed the profitable October positions and added an additional 5% to our 2016 returns.

 
 2016 Q312 month rolling  
Return on Rec. Capital4.06%-9.34%
Capital Recommendation$5000
 

Program Updates

We continue to use dynamic hedging to control the risk inherent in our neutral iron condor positions. In both July and September we bought to open out of the money call spreads to hedge our upside risk. They performed well and reduced the daily fluctuations by limiting the overall delta exposure. We will continue to use the Trend Service directional signals to trigger the hedges (in both directions as needed).

For a full examination of our Iron Condor trades and strategy, please visit the Iron Condor Program overview.

 

Trend Program

In total, the Trend service gained 2.6% on a $10k portfolio (non-compounded). The rebound in Q3 has helped to erase the losses in Q1, bringing our year to date performance to -4.3%. October is shaping up well (up 1.5%) and we are hoping for a strong Q4 to get us back in the green for the year.

Here are the stats for the Trend service:

MonthNet# TradesBalance Total 
Sept 16-0.791713,335net gains33.35
Aug3.79813,414wins total135.67
Jul-0.40213,035losses total-102.06
Jun0.95213,075# wins85
May-2.911012,980# losses112
Apr0.77613,271win %43%
Mar0.37313,194profit factor1.33
Feb-3.73513,157
Jan 16-2.36913,530
Updated September 30, 2016
Dec 15-1.34213,766Non-compounded returns
Nov4.19313,900
Oct1.82413,481
Sept-2.06313,299
August4.011013,505
July0.2113,104
June-1.66313,084
May-7.94613,250
Apr-1.76914,044
Mar1.641114,220
Feb-4.08614,056
Jan 1515.331814,464
Dec 1410.092012,931
Nov-0.881011,922
Oct15.151312,010
Sept-0.31110,495
Aug 145.25710,525
Starting Capital10,000
 

Program Updates

While we continue to use the trend and counter-trend signals to power our Trend service, we have taken steps to improve the profitability and win rate, particularly in range bound markets like the one we have experienced over the past several months. We have achieved this by selling weekly options against our longer dated long options. This has reduced the impact of theta decay dramatically and has reduced our overall cost for the long options significantly. With enough weekly option expiration cycles, we have been able to sell enough options to fund the total cost of the long options. This allows us to stay in trend trades longer and reduce the daily volatility of the positions.

For a full examination of the strategy, performance and a trade log, please visit the Trend Program overview.

 

Join Us

We offer free trials for both newsletter services and discounted pricing for combined subscriptions to both our Trend and Iron Condor services. If you're new to options trading or just a curious reader, you can connect with us on social networks, join our email list or simply email us with any questions you may have.

Thanks for reading!

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