Delta 15
Autotraded this strategy until 2/28 at Interactive Brokers, with margin account. My equity was slightly above the value of the C2 template. On 2/27 and 2/28 there were margin calls and forced closings of
positions by IB, which are not reflected at C2. Therefore the C2 statistic for this strategy is very unrealistic:
- The realistic drawdown between 2/25 and 2/28 will be well over 30%.
- To avoid the margin calls of the last days, the account value should have been about double the value
of the C2 template, which means: half the stated annual profit rate.
Part of the problem is, that the author does not trade his strategy, as it is stated at C2, with real money.