4 Comments

  1. Exsanguinator
    July 20, 2019 @ 4:45 am

    One benefit of the TastyWorks platform is $0 commission for closing positions (there is a small clearing fee charged).

    Reply

    • spintwig.com
      August 9, 2019 @ 11:06 am

      Thanks for visiting Exsanguinator.

      Good point – I believe they’re $1.40 round trip IIRC: $1 to open, $0 to close, and $0.20 in exch fees each way.

      Reply

  2. blackswan
    November 24, 2019 @ 6:43 am

    ‘Each of the short straddle strategies generates 3134 trades.’
    How come there are so many trades? If you trade only quarterly options over 10 years, that’s 40 trades. or monthly , which would be 120 trades.

    Reply

    • spintwig.com
      November 24, 2019 @ 9:51 am

      Hi blackswan. A position is opened each trading day in which the order-entry criteria are satisfied. This methodology is used to mitigate luck issues associated with tracking the performance of a single rolling position. Detailed explanation and SSRN paper at https://spintwig.com/backtesting-mechanics/#Timing_Luck

      Reply

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