Tuesday, May 27, 2014

80 DTE RUT IC - 2013 / 2014 Performance

During the last few weeks, I've shown the results for four different variations of "no touch" RUT iron condors (ICs) at six different days-to-expiration (DTE) periods:
As they are, many traders would not trade these "no touch" trades...although a couple may.  When considering whether to trade any strategy, it is important to look at how a strategy is performing today versus the past.  Let's take a look at a few pieces of information to help us evaluate the 80 DTE RUT "no touch" IC.

We will start by comparing the Summary Statistics of this strategy for the 2013 - 2014 period with the same statistics from the 2007 - 2014 and 2007 - 2012 periods.


All of the statistics for the last year and a half are worse than the statistics from the entire test range (2007 - 2014) as well as the prior test range (2007 - 2012).  The point is made a bit more clear by looking at all three periods graphically.  The bars in green below represent the statistics from the period 2013 - 2014.

We see a negative AGR during the last year and a half from the 80 DTE RUC "no touch" IC, for all delta variations.

We see a smaller "best trade" during this recent period, for all delta variations.

A smaller win rate currently, versus the past.

And a larger standard deviation of returns currently, versus the past.  The larger the short strike delta, the greater the standard deviation of returns.

We will look at some other aspects of this 80 DTE strategy in the next post.


Pengumuman CPNS 2014 said...

Thanks for info

Dave R. said...

You're welcome...thanks for the comment!

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