Sunday, June 15, 2014

38 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 38 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 did not follow the trend that we observed in the 80 DTE, 66 DTE, and 52 DTE versions of the IC strategy.  Rather than the statistics becoming worse for all versions of the 38 DTE trade during the last year and a half, some became better.  During the last year and a half, the 8 delta and 12 delta variations have mostly better statistics than the entire test range (2007 - 2014) as well as the prior test range (2007 - 2012).

The performance is made 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 positive AGR during the last year and a half from the 38 DTE RUT "no touch" IC, for the 8 and 12 delta variations.

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.

Unlike the 52 DTE, 66 DTE, and 80 DTE strategies, the standard deviation of returns has actually decreased during the last year and a half.  The greater the short strike delta, the greater the standard deviation of returns.

We will look at some other aspects of this 38 DTE strategy in the next post.

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