Sunday, June 22, 2014

24 Day RUT Iron Condor - 2013 / 2014 Performance

We have finally made it to the last condor in our test.  In this post, we will continue the mid level review of Iron Condors (IC).  This time we will turn our attention to the 24 days-to-expiration (DTE) RUT "no touch" ICs.  The original post is here:
We will begin 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.

The statistics for the last year and a half followed the trend that we observed in the 80 DTE, 66 DTE, 52 DTE, and 31 DTE versions of the IC strategy.  The statistics were worse for all delta variations of the 24 DTE trade during the last year and a half...except for the "worst trade" statistic.

As mentioned previously, the bars in green below represent the statistics from the period 2013 - 2014.  The AGR during the last year and a half from the 24 DTE RUT "no touch" IC, was lower (negative!) for all delta variations.

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

A lower win rate currently, versus the past.

The standard deviation of returns was about the same during the last year and a half.  As noted in past posts, the greater the short strike delta, the greater the standard deviation of returns.

In case you are interested, here are the bar graphs for some of the other statistics of this strategy.

We will look at some other aspects of this 24 DTE strategy in the next post.


C said...

Have there been any backtests on John Sarkett's 9 and 4 day iron condor strategies? Here is some more info for those strategies

Dave R. said...

Nope, haven't looked at trades with such short durations.


C said...

OK, thanks. Huge amount of info on your site here! Thanks for that also.

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