Sunday, June 1, 2014

Trade P&L By Day In the 80 Day RUT Iron Condor

In the last two posts, I've shown two different approaches to looking at the performance of the 80 days-to-expiration (DTE)  RUT "no touch" IC.

First, we looked at how the performance of the 80 DTE RUT "no touch" IC has deviated from the historical performance starting in 2013.  Second, we looked at the frequency, magnitude, and averages related to losses on the put credit spreads versus the call credit spreads.

In this post we will look at intra-trade performance.  In my first post on the 80 DTE RUT "no touch" IC, I showed the monthly performance heat map of the 16 delta version of this strategy.  The heat map is shown again below.  We will use this same 16 delta version, when reviewing intra-trade performance.

Each of the following equity curve charts corresponds to an expiration year.  The first graph shows a line for each 80 DTE RUT "no touch" IC trade with an expiration in 2007.  Each line in the chart shows the P&L by days-in-trade (DIT) for a particular trade.  Each trade is identified by its expiration month and year.  The x-axis is DIT, and the y-axis is P&L percent.  Scroll through the charts year by year and see how the behavior of this strategy evolved over the seven year period from 2007 through 2014.

P&L % versus DIT - 2007 Expiration Trades

P&L % versus DIT - 2008 Expiration Trades

P&L % versus DIT - 2009 Expiration Trades

P&L % versus DIT - 2010 Expiration Trades

P&L % versus DIT - 2011 Expiration Trades

P&L % versus DIT - 2012 Expiration Trades

P&L % versus DIT - 2013/14 Expiration Trades

Trade performance isn't only about "point a" and "point b"...where the trade started and where it ended...and whether the end was a profit or a loss.  The journey from "point a" to "point b." is also important.  These charts add more qualitative information to the quantitative information contained in the Ulcer, Sharpe, and Sortino ratios.  We can see how the recent performance differs from the past very easily in these charts.  We will review some of the same information for the 66 DTE strategy in the next few posts.

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