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tehs1mps0ns t1_ja3ga7q wrote

In your backtests, what were your exit rules? You said your win rate was based on options expiring in the money, so was your p/l solely based on closing price at expiry?

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hardyrekshin OP t1_ja3wqg4 wrote

I don't post P/L. I do post win rate.

But otherwise, yes. It's based on whether or not expiry price > entry price.

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tehs1mps0ns t1_ja4828g wrote

Ok forget about p/l. So I what I should understand is the sharpe ratio of your backtest portfolio (1.7) is based on the price of the underlying at expiry, and no other exit strategy such as trailing stops, etc. I'm asking to guide my own personal implementation. Thanks!

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hardyrekshin OP t1_ja4gwff wrote

Yep.

I have no doubt you can improve on the sharpe ratio with more intelligent exiting.

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