Thursday, June 5, 2014

66 Day RUT Iron Condor - 2013 / 2014 Performance

During the last four posts, we conducted a mid-level review of the 80 days-to-expiration (DTE) RUT "no touch" iron condors (ICs).  We looked at how the performance of this trade has changed during the recent past, how the put and call wings contribute to the P&L of the trade, and the daily performance of the trades.  The links to these post are listed below.
In this post we will start looking at the same areas for the 66 DTE RUT "no touch" ICs.  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 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 66 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 (except for the 8 delta variation).  The greater the short strike delta, the greater the standard deviation of returns.

We will look at some other aspects of this 66 DTE strategy in the next post.


Info CPNS 2014 said...

So thanks for info

Dave R. said...

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

Post a Comment