Iron Condor Losing Trades - 24 DTE

In this post, we will look at the losing trades from the backtests for the RUT and SPX "no touch" iron condors (IC) at 24 days to expiration (DTE).  The chart below overlays the start dates of the losing 24 DTE RUT trades with the RUT index.  The start dates of these trades are shown as a bar graph overlay, with the four colors corresponding to a different delta variation of this strategy.  The red bar segment corresponds to the start date of the 20 delta variation, blue with the 16 delta variation, green with the 12 delta variation, and orange with the 8 delta variation.  Recall that the delta number mentioned, is the delta of the short strikes (calls and puts) in the IC.  For all of the "no touch" IC trades, the RUT had a wing width of 20 points while the SPX had a wing width of 25 points.

In the first four prior RUT "no touch" IC versions (80 DTE, 66 DTE, 52 DTE, 38 DTE), the losing 8 delta trades always coincided with losing 12 delta trades, the 12 delta trades with the 16 delta trades, and lastly the losing 16 delta trades coincided with the losing 20 delta trades.  With this 24 DTE trade (and the 31 DTE trade), we see this pattern break down.  There were four trades during this test range where this pattern is violated.

Each row in the table below is analogous to a bar in the chart above.  This table lists the start, end, and expiration dates for the losing trades.  After these three date columns there are four groups of three columns, with each group representing one of the four delta variations of this RUT "no touch" 24 DTE IC (8 delta, 12 delta, 16 delta, 20 delta).  Each of these four groups shows the percent return of the call credit spread (CCS), percent return of the put credit spread (PCS), and the total percent return.  With this information we can see which side of the IC caused a trade to lose, and by how much.

The next chart, similar to the RUT chart above, overlays the start dates of the losing 24 DTE SPX trades with the SPX index.  Just like the last posts, there are several SPX trades that do not follow the same delta pattern of losing trade start dates as the RUT "no touch" IC trades.

Similar to the RUT table above, the table below provides more detail for each of the bars shown in the chart above.  Each row in the table is analogous to a bar in the chart above.  With this information we can see which side of the IC caused a trade to lose, and by how much.

It might be valuable to review the market conditions on the start dates corresponding to these losing trades, as well as the market conditions during the period between the start and end dates.  These conditions might give us a clue as to when and how to adjust these trades.

If you don't want to miss my new blog posts, follow my blog either by email or by RSS feed.  Both options are free, and are available on the top of the right hand navigation column under the headings "Follow By Email" and "Subscribe To RSS Feed".  I follow blogs by RSS using Feedly, but any RSS reader will do.