Thursday, June 12, 2014

52 Day RUT Iron Condor - 2013 / 2014 Performance

In this post, I am going to continue the mid level review of Iron Condors (IC).  This time we will turn our attention to the 52 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.

Nearly 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 one bright spot during the last year and a half is that the "worst trade" percent is smaller than in the prior years.

The lagging performance 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 52 DTE RUT "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.

Unlike the 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 52 DTE strategy in the next post.

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