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The system actually seems to work best when vol is higher. I do hedge my positions so being directionally wrong is not the end of the world. What really kills is being entirely long theta so flat markets or low vol markets screw things up. I also found a reconstructed vxx dataset that goes back...

In regards to curve fitting, I chose my entry and exit points based on an underlying philosophy and strategy before I took a look at the charts and before I started to backtest. I did make adjustments to some of the option specifics as I mentioned above, but I did not change the underlying...

Thanks for the reply, agree 100% with your points. If you do find that formula let me know, it would obviously be helpful to see if I did fall victim to the processes you are describing.

Well VXX options are pretty liquid and there is always good volume on the strikes I am planning on buying (part of the adjustment I made was due to the lack of volume on some of the deep ITM puts/calls having next to no volume). I decided on going with the last rather than the ask. Im buying...

I backtested all of the trades manually in excel.

Too* Seems like a weird problem to have but here is a brief summary of where I am at. I have been trading for about 3 years now. I recently got tired of losing on emotional, baseless trading (blew out multiple accounts) and decided to put pen to paper and organize a few of my trading systems...