Wednesday, June 18, 2014

31 Day RUT Iron Condor - 2013 / 2014 Performance

In this post, we will continue the mid level review of Iron Condors (IC).  This time we will turn our attention to the 31 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 mostly followed the trend that we observed in the 80 DTE, 66 DTE, and 52 DTE versions of the IC strategy.  The statistics were worse for all variations of the 31 DTE trade during the last year and a half, except for the 8 delta variation.

After reviewing the 80, 66, 52, and 38 DTE versions of this IC strategy, you should be getting pretty familiar with the graphical representations of the statistics that follow.  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 31 DTE RUT "no touch" IC, was lower for all delta variations, except for the 8 delta variation, which was about equal.

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

A smaller win rate currently, versus the past, except for the 8 delta variation which was again about equal.

The standard deviation of returns decreased 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 31 DTE strategy in the next post.

No comments:

Post a Comment