march 2023: first month live trading results

first month done

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march 15 - march 31 (2.5 weeks live)

went from paper trading to real money. lost $180k in february learning. figured some shit out. went live march 15

here’s what happened

final march numbers

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trading performance:

• total trades: 14
• wins: 10
• losses: 4
• win rate: 71.4%
• gross profit: $4,350 (winners)
• gross loss: $545 (losers)
• net P&L: $3,805
• slippage cost: $285
• return on $400k: 0.95%
• annualized: 11.4%
• sharpe ratio: 2.08
• max drawdown: -1.2%

vs backtest prediction:

• predicted return: 0.8%
• actual return: 0.95%
• prediction error: +19% (actual beat prediction)

pretty fucking good for first month

what worked

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1. the 50% profit rule

closed every winner at 50% profit or 2 DTE

this kept me from getting greedy and holding into risk

example: march 29 spread was up 65% but i closed at 50%. next day SPX gapped up and would’ve stopped me out for loss instead

2. IV rank filtering

only sold premium when IV rank > 40

kept me out of 6 shit setups where credits would’ve been terrible

march 18-20 had low IV (rank 35-38). didn’t trade. saved probably $300 in losses

3. position sizing

2.5% risk per trade = $1,000 max loss

largest actual loss was $180. never came close to max

5 positions max. hit that limit twice. prevented overleverage

4. limit orders

switched to limit orders march 22

saved $4.20 per spread on average vs market orders

total savings: ~$420 over 10 trades with limits

what didn’t work

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1. stop losses too wide

had stops at -200% (spread doubles against me)

hit max loss 4 times. should’ve cut earlier

april plan: tighten to -150% and see if that reduces loss size without increasing stop frequency

2. trade frequency

only 14 trades in 16 days. backtest assumed 20/month

probably left setups on table by being too conservative

need to be more aggressive when IV rank > 40 and setups appear

3. slippage model

model predicted $6.40 average slippage

actual with limit orders was $4.85

need to update model or i’ll keep underestimating returns

all 14 trades

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average winner: $435 average loser: $124 win/loss ratio: 3.5:1

lessons learned

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1. backtesting works - predicted 0.8% return, got 0.95%. close enough to trust the model

2. slippage is real but manageable - limit orders help a lot. market orders fuck you

3. 50% rule saves you - got tempted to hold for more profit 3 times. glad i stuck to rule

4. position sizing prevents disaster - never came close to blowing up because risk was controlled

5. IV matters more than i thought - trading when IV rank < 40 is donating money to market makers

april changes

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going into april with these adjustments:

1. tighten stops to -150% (from -200%)
2. increase trade frequency - look for 20-22 trades in april
3. update slippage model to assume $5 avg with limit orders
4. add new IV filter (absolute IV > 18 AND percentile > 70)
5. track correlation between positions to avoid overexposure

the bigger picture

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march 15 i had $220k left after losing $180k in february

now have $223,805 (0.95% gain)

if i can average 1% per month for rest of year that’s $232k by december

not amazing but proves the strategy works

year 2 (2024) will be about scaling - more capital, more trades, same sharpe

personal shit

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parents have been dead 13 weeks as of today

some days i don’t think about them at all. some days i can’t stop

trading helps. gives me something concrete to focus on

M. and i are still seeing each other. 11 days now. she’s cool. probably won’t last but it’s fine

therapist says i’m “making progress” but i still don’t really know what that means

anyway. march done. april starts tomorrow

let’s see if i can do this again

-AK