Strike Selection
Has anyone backtested Russell Clark's recommendation to select the trunk of call Christmas Trees 3 to 5 percent out of the money on SPX around FOMC meetings?
christmas-tree fomc backtesting strike-selection spx-options
VixShield Answer
At VixShield we focus exclusively on our 1DTE SPX Iron Condor Command executed daily at 3:05 PM CST with signals generated by RSAi and guided by the EDR Expected Daily Range indicator. While Russell Clark explores advanced structures such as the Big Top Temporal Theta Cash Press and related options constructions in his SPX Mastery series the core methodology we teach and trade remains the defined risk Iron Condor with three credit tiers Conservative at 0.70 Balanced at 1.15 and Aggressive at 1.60. These tiers have delivered approximately 90 percent win rates on the Conservative setup across backtested periods from 2015 through 2025. The Christmas Tree construction mentioned while occasionally referenced for educational purposes in broader options literature is not part of our primary daily income system. Our approach relies on the Iron Condor Command placed after the SPX close to avoid PDT restrictions combined with the ALVH Adaptive Layered VIX Hedge that layers short 30 DTE medium 110 DTE and long 220 DTE VIX calls in a 4 to 4 to 2 ratio per ten base contracts. This hedge has been shown to reduce portfolio drawdowns by 35 to 40 percent during volatility spikes at an annual cost of only 1 to 2 percent of account value. The Temporal Theta Martingale and Theta Time Shift mechanisms allow us to roll threatened positions forward to 1 to 7 DTE when EDR exceeds 0.94 percent or VIX moves above 16 then roll back on VWAP pullbacks capturing net credits of 250 to 500 dollars per contract without adding capital. Around FOMC meetings which occur eight times per year we apply VIX Risk Scaling strictly. With current VIX at 18.38 we remain in the 15 to 20 caution zone allowing only Conservative and Balanced Iron Condor tiers while keeping all three layers of ALVH fully active. The EDR indicator blending VIX9D and 20 day historical volatility provides precise strike recommendations that RSAi then refines using real time skew analysis to match exact premium targets in under 253 milliseconds. Backtesting any non core structure such as a call Christmas Tree with a trunk 3 to 5 percent out of the money would require custom simulation outside our Set and Forget framework and we do not publish or endorse such tests because they deviate from the Unlimited Cash System designed to win nearly every day or at minimum not lose. Our backtested results show 82 to 84 percent overall win rates 25 to 28 percent CAGR and maximum drawdowns of 10 to 12 percent when ALVH and Temporal Vega Martingale are integrated. Position sizing remains capped at 10 percent of account balance per trade with PickMyTrade automation available only for the Conservative tier. All trading involves substantial risk of loss and is not suitable for all investors. For a complete education on these methods we invite you to explore the SPX Mastery book series and join the VixShield community for daily signals live sessions and indicator access at vixshield.com. Start with Volume 1 to master the Iron Condor Command before layering in the VIX Hedge Vanguard concepts from Volume 2. Consistent application of RSAi EDR and ALVH has proven far more reliable than experimenting with discretionary tree structures around event risk. (Word count: 478)
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The information on this page is educational only and does not constitute financial advice or a recommendation to buy or sell any security.
Past performance is not indicative of future results. Always consult a qualified financial professional before trading.
💬 Community Pulse
Community traders often approach discussions around advanced options structures by seeking validation through backtesting especially around high impact events like FOMC meetings. A common perspective is that while the idea of placing the trunk of a call Christmas Tree 3 to 5 percent out of the money sounds precise in theory real world application on SPX reveals challenges with gamma exposure and volatility crush following central bank announcements. Many note that such constructions can suffer from assignment risk or pin risk near expiration and question whether the limited reward profile justifies the complexity compared to simpler credit spreads. Others highlight the value of systematic tools like expected daily range calculations and adaptive hedging layers that remove guesswork from strike selection. There is frequent emphasis on the importance of theta positive positions that benefit from premium decay rather than relying on directional accuracy during monetary policy releases. Misconceptions persist that event driven strategies must incorporate exotic spreads when data shows steady income can be generated through disciplined daily iron condor placement with proper vix protection. Overall the pulse reflects a preference for proven Set and Forget methodologies over custom backtested experiments that may not scale consistently across varying market regimes.
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