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81 - Introducing ERN 2.0 aka the ERN Strangle Strategy
The Trade Busters
The Back Test - Should You Credit Target on Those Really Large Trades?
In the back test, I specifically set it as one x notional exposure. So you can see that the Kager is actually pretty good. It's about a 5.3% Kager, max drawdown 3%, and the more ratio is strong. The key is I don't want to go more than 10% out of the money from the short strike. And so in the trade log, I added two more columns. They are still 15 delta, by the way.
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