SPX IC:
- Iron Condor Backtest - SPX - 80 DTE
- Iron Condor Backtest - SPX - 66 DTE
- Iron Condor Backtest - SPX - 52 DTE
- Iron Condor Backtest - SPX - 38 DTE
- Iron Condor Backtest - SPX - 31 DTE
- Iron Condor Backtest - SPX - 24 DTE
- Iron Condor Backtest - RUT - 80 DTE
- Iron Condor Backtest - RUT - 66 DTE
- Iron Condor Backtest - RUT - 52 DTE
- Iron Condor Backtest - RUT - 38 DTE
- Iron Condor Backtest - RUT - 31 DTE
- Iron Condor Backtest - RUT - 24 DTE
In order to compare these trades, I've converted the non-compounded AGR dollar amounts to percentages. The denominator in these calculations for a strategy is the maximum margin for that strategy. The max margin numbers are included in the tables below. For example, in order to get the percentage returns for the SPX 80 days-to-expiration (DTE) 8 Delta strategy variation, the dollar return for each month was divided by $23,350.
7 comments:
For these margin numbers, how many contracts are you suggesting? And are these based on a single position?
Thanks for your question.
All of the IC tests use 10 contracts (10 long puts, 10 short puts, 10 short calls, 10 long calls). If you click on any of 12 links at the top of this post, you will be taken to the original test results posts. These posts describe each test set up including the contract size.
For each IC strategy variation (for example RUT 80 DTE 8 Delta), there were anywhere between 72 and 87 trades initiated from 2007 through April 2014. The maximum margin required for each IC strategy variation during those 72 to 87 trades is the maximum reg-t margin recorded in the tables above.
Let me know if you have any other questions.
Thanks,
Dave
Amazing work. Have you performed any back tests on put CS only or with a percent max loss? Would love to see those results. Thanks for sharing.
Rich, thanks for your comment.
On the RUT ICs, I had posts where each wing (put CS & call CS) of the IC was reviewed separately in the form of a P&L heat map. You can find those posts at the links below:
http://dtr-trading.blogspot.com/2014/05/wing-comparison-in-80-day-rut-iron.html
http://dtr-trading.blogspot.com/2014/06/wing-comparison-in-66-day-rut-iron.html
http://dtr-trading.blogspot.com/2014/06/wing-comparison-in-52-day-rut-iron.html
http://dtr-trading.blogspot.com/2014/06/wing-comparison-in-38-day-rut-iron.html
http://dtr-trading.blogspot.com/2014/06/wing-comparison-in-31-day-rut-iron.html
http://dtr-trading.blogspot.com/2014/06/wing-comparison-in-24-day-rut-iron.html
I have run backtests using max loss numbers. A max loss for an option strategy has a similar impact as a stop loss on equity systems...reduced return volatility, but also reduced overall returns...sometimes substantially.
Thanks again,
Dave
This is amazing! This kind of stuff is hard for me to grasp sometimes, but you've laid it out pretty well in this article. Iron condor trading systems are what my company needs to have to improve. http://www.ironcondortrading.com
I am a beginner in stock trading education and now following some seminars and videos also lessons through internet. Luckily I got some of important lessons in Market Taker Mentoring website. I agreed with what Gerald said that although it’s not easy to understand the entire article especially for a beginner but you have explained about the iron condor trading system extremely well. Thanks for sharing this.
One can gain lot of information regarding equity trading, through observations of such blogs.
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