The attached spreadsheet is a backtest of the PDH+2.5, PDL-2.5 setup, for the last 6 months. I put this together to look at the effects of partial profile, which can be adjusted in cells D1:O1

I will extend the spreadsheet to cover other setups as time permits, and if interest is shown.

(see post below for corrected sheet)

The attached spreadsheet has been updated to include the 2xIB setup for the last 6 months. As before, the partial profile can be adjusted using cells D2:O2, with the total contracts shown in cell C2. The minimum acceptable IB size can be set in D43.

No matter how I adjust the partial profile, no. of contracts or minimum IB size, I cannot get this setup to be profitable.

Thanks uktrader. I played around with the numbers and agree that I could not get the strategy to be profitable either. While playing with the numbers I suddenly realized that I was doing manual linear programming.

I'm not sure if you've used this in Excel and it's a while since I last used it. There is some functionality (it might now be called Goal Seek but when I checked that out it looked too simple) that allows you to say: "Maximize/minimize this cell's value by changing the value(s) of this/these cells."

The operation loops around and varies the values in one set of cells until it can get the lowest or highest value in the target cell. This is used for the maximize profits or minimize cost scenarios that businesses use each day and is very apropos for trade optimization. These tools are in fact often called optimizers.

I don't have the time to do it now but this might be the best way to work out where to take the partials off...