RUT Iron Condor - Dynamic Exit - 38 DTE - 16 Delta Continued

This post is a continuation of the prior post. In this post we will look at the backtest results for dynamic exits of 38 days-to-expiration (DTE) Iron Condors (IC), with 16 delta short strikes, with different profit and loss exits as a percentage of the initial credit.  Recall that these RUT ICs were all constructed with 20 point wide credit spreads.

For some background on how these results are presented, please review the overview and prior 38 DTE posts at:

• RUT Iron Condor - Dynamic Exit Overview - 80 DTE
• RUT Iron Condor - Dynamic Exit Overview - 66 DTE
• RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta
• RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta Continued
• RUT Iron Condor - Dynamic Exit - 38 DTE - 12 Delta
• RUT Iron Condor - Dynamic Exit - 38 DTE - 12 Delta Continued
• RUT Iron Condor - Dynamic Exit - 38 DTE - 16 Delta

As discussed in the two overview posts, we will look at the same three Iron Condor starting structures that have been backtested on this blog: Standard (STD), Delta Neutral (DN), and Extra Long Put (EL).

In this post we will only look at the Initial Credit % Profit/Loss Exit on each of the three starting structures:

• 0.6:0.9 - This is an Initial Credit % Profit/Loss Exit. Trades using this exit strategy either exit at 8 DTE OR if the trade has a profit of 90% of its initial credit OR if the trade has a loss of 60% of its initial credit.  This can also be thought of as risk:reward; risking 60% to make 90%.

This equity curve chart below is similar to the equity curves in my prior posts.  In the chart below, all of the STD Iron Condor versions have blue equity curves, all of the DN Iron Condor versions have green equity curves, and all of the EL Iron Condor versions have red equity curves.  The solid lines represent the equity curves for the "no touch" version, while the dashed lines represent the equity curves for the dynamically exited versions.

(click to enlarge)

The versions tested will close at either 8 DTE or a profit of 90% of the initial credit received.  The parameters that vary are the risk or loss amount.  The trades are closed for a loss if the loss is either 60%, 70%, or 80% of the initial credit received.  The Standard Iron Condor strategy (STD) without an exit had the highest overall return, with the STD-0.8:0.9 version performing slightly better during many of the years of the test.  The STD-0.8:0.9 version closed at either 8 DTE, a profit of 90% of the initial credit received, or a loss of 80% of the initial credit received.

The results by year, for each of the 38 DTE, 16 delta short Iron Condor versions are shown in the table below.

(click to enlarge)

The details associated with each of the starting structure backtests can be found in the posts below:

• Standard Iron Condor - RUT - 38 DTE
• Delta Neutral Iron Condor - RUT - 38 DTE
• Extra Long Put Iron Condor - RUT - 38 DTE

In the next post I will show the results for the 38 DTE, 20 delta short strike Iron Condor.

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 work.

RUT Iron Condor - Dynamic Exit - 38 DTE - 16 Delta

In this post we will look at the backtest results for dynamic exits of 38 days-to-expiration (DTE) Iron Condors (IC), with 16 delta short strikes, with different profit and loss exits.

For some background on how these results are presented, please review the overview and prior 38 DTE posts at:

• RUT Iron Condor - Dynamic Exit Overview - 80 DTE
• RUT Iron Condor - Dynamic Exit Overview - 66 DTE
• RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta
• RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta Continued
• RUT Iron Condor - Dynamic Exit - 38 DTE - 12 Delta
• RUT Iron Condor - Dynamic Exit - 38 DTE - 12 Delta Continued

As discussed in the two overview posts, we will look at the same three Iron Condor starting structures that have been backtested on this blog: Standard (STD), Delta Neutral (DN), and Extra Long Put (EL).

Also as discussed in the two overview posts, we will look at three different exits on each of these three starting structures:

• ML40% - this is a Margin Loss % Exit.  Trades using this exit strategy either exit at 8 DTE OR if the trade has a loss greater than 40% of the margin requirement for the trade. (ML40% = Max Loss 40%)
• BSP - this is a Price Movement Exit.  Trades using this exit strategy either exit at 8 DTE OR if the price of the underlying (RUT) moves below the strike of the short put.  (BSP = Below Short Put).
• 0.6:0.6 - This is an Initial Credit % Profit/Loss Exit. Trades using this exit strategy either exit at 8 DTE OR if the trade has a profit of 60% of its initial credit OR if the trade has a loss of 60% of its initial credit.  

This equity curve chart below is similar to the equity curves in my prior posts.  In the chart below, all of the STD IC versions have blue equity curves, all of the DN IC versions have green equity curves, and all of the EL IC versions have red equity curves.  The solid lines represent the equity curves for the "no touch" version, while the dashed lines represent the equity curves for the dynamically exited versions.

(click to enlarge)

The Standard Iron Condor strategy (STD) without a dynamic exit yielded the highest overall return.  The second highest overall return went to the Delta Neutral Iron Condor strategy (DN) without any dynamic exits.

The details associated with each of the starting structure backtests can be found in the posts below:

• Standard Iron Condor - RUT - 38 DTE
• Delta Neutral Iron Condor - RUT - 38 DTE
• Extra Long Put Iron Condor - RUT - 38 DTE

In the next post I will show the results for the 38 DTE, 16 delta short strike Iron Condor, with varying Initial Credit % Profit/Loss Exits.

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 work.

RUT Iron Condor - Dynamic Exit - 38 DTE - 12 Delta Continued

This post is a continuation of the prior post. In this post we will look at the backtest results for dynamic exits of 38 days-to-expiration (DTE) Iron Condors (IC), with 12 delta short strikes, with different profit and loss exits as a percentage of the initial credit.  Recall that these RUT ICs were all constructed with 20 point wide credit spreads.

For some background on how these results are presented, please review the overview and prior 38 DTE posts at:

• RUT Iron Condor - Dynamic Exit Overview - 80 DTE
• RUT Iron Condor - Dynamic Exit Overview - 66 DTE
• RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta
• RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta Continued
• RUT Iron Condor - Dynamic Exit - 38 DTE - 12 Delta

As discussed in the two overview posts, we will look at the same three Iron Condor starting structures that have been backtested on this blog: Standard (STD), Delta Neutral (DN), and Extra Long Put (EL).

In this post we will only look at the Initial Credit % Profit/Loss Exit on each of the three starting structures:

• 0.6:0.9 - This is an Initial Credit % Profit/Loss Exit. Trades using this exit strategy either exit at 8 DTE OR if the trade has a profit of 90% of its initial credit OR if the trade has a loss of 60% of its initial credit.  This can also be thought of as risk:reward; risking 60% to make 90%.

This equity curve chart below is similar to the equity curves in my prior posts.  In the chart below, all of the STD Iron Condor versions have blue equity curves, all of the DN Iron Condor versions have green equity curves, and all of the EL Iron Condor versions have red equity curves.  The solid lines represent the equity curves for the "no touch" version, while the dashed lines represent the equity curves for the dynamically exited versions.

(click to enlarge)

The versions tested will close at either 8 DTE or a profit of 90% of the initial credit received.  The parameters that vary are the risk or loss amount.  The trades are closed for a loss if the loss is either 60%, 70%, or 80% of the initial credit received.  The Standard Iron Condor strategy (STD) without an exit had the highest overall return, with the STD-0.7:0.9 version performing slightly better during many of the years of the test.  The STD-0.7:0.9 version closed at either 8 DTE, a profit of 90% of the initial credit received, or a loss of 70% of the initial credit received.

The results by year, of each of the 38 DTE, 12 delta short Iron Condor versions are shown in the table below.

(click to enlarge)

The details associated with each of the starting structure backtests can be found in the posts below:

• Standard Iron Condor - RUT - 38 DTE
• Delta Neutral Iron Condor - RUT - 38 DTE
• Extra Long Put Iron Condor - RUT - 38 DTE

In the next post I will show the results for the 38 DTE, 16 delta short strike Iron Condor.

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 work.

RUT Iron Condor - Dynamic Exit - 38 DTE - 12 Delta

In this post we will look at the backtest results for dynamic exits of 38 days-to-expiration (DTE) Iron Condors (IC), with 12 delta short strikes, with different profit and loss exits.

For some background on how these results are presented, please review the overview and prior 38 DTE posts at:

• RUT Iron Condor - Dynamic Exit Overview - 80 DTE
• RUT Iron Condor - Dynamic Exit Overview - 66 DTE
• RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta
• RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta Continued

As discussed in the two overview posts, we will look at the same three Iron Condor starting structures that have been backtested on this blog: Standard (STD), Delta Neutral (DN), and Extra Long Put (EL).

Also as discussed in the two overview posts, we will look at three different exits on each of these three starting structures:

• ML40% - this is a Margin Loss % Exit.  Trades using this exit strategy either exit at 8 DTE OR if the trade has a loss greater than 40% of the margin requirement for the trade. (ML40% = Max Loss 40%)
• BSP - this is a Price Movement Exit.  Trades using this exit strategy either exit at 8 DTE OR if the price of the underlying (RUT) moves below the strike of the short put.  (BSP = Below Short Put).
• 0.6:0.6 - This is an Initial Credit % Profit/Loss Exit. Trades using this exit strategy either exit at 8 DTE OR if the trade has a profit of 60% of its initial credit OR if the trade has a loss of 60% of its initial credit.  

This equity curve chart below is similar to the equity curves in my prior posts.  In the chart below, all of the STD IC versions have blue equity curves, all of the DN IC versions have green equity curves, and all of the EL IC versions have red equity curves.  The solid lines represent the equity curves for the "no touch" version, while the dashed lines represent the equity curves for the dynamically exited versions.

(click to enlarge)

The Standard Iron Condor strategy (STD) with the 40% margin loss (ML40%) exit yielded the highest overall return.  The second highest overall return went to the STD IC without any dynamic exits, followed by the STD BSP exit variation.

The details associated with each of the starting structure backtests can be found in the posts below:

• Standard Iron Condor - RUT - 38 DTE
• Delta Neutral Iron Condor - RUT - 38 DTE
• Extra Long Put Iron Condor - RUT - 38 DTE

In the next post I will show the results for the 38 DTE, 12 delta short strike IC, with varying Initial Credit % Profit/Loss Exits.

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 work.

RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta Continued

This post is a continuation of the prior post.  I will show the backtest results for dynamic exits of 38 days-to-expiration (DTE) Iron Condors (IC), with 8 delta short strikes, with different profit and loss exits as a percentage of the initial credit.

For some background on how these results are presented, please review the overview and prior 38 DTE posts at:

• RUT Iron Condor - Dynamic Exit Overview - 80 DTE
• RUT Iron Condor - Dynamic Exit Overview - 66 DTE
• RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta

As discussed in the two overview posts, we will look at the same three Iron Condor starting structures that have been backtested on this blog: Standard (STD), Delta Neutral (DN), and Extra Long Put (EL).

Also as discussed in the two overview posts, we will only look at the Initial Credit % Profit/Loss Exit on each of these three starting structures:

• 0.6:0.9 - This is an Initial Credit % Profit/Loss Exit. Trades using this exit strategy either exit at 8 DTE OR if the trade has a profit of 90% of its initial credit OR if the trade has a loss of 60% of its initial credit.  This can also be thought of as risk:reward; risking 60% to make 90%.

This equity curve chart below should look very similar to the equity curves in my prior posts.  In the chart below, all of the STD IC versions have blue equity curves, all of the DN IC versions have green equity curves, and all of the EL IC versions have red equity curves.  The solid lines represent the equity curves for the "no touch" version, while the dashed lines represent the equity curves for the dynamically exited versions.

(click to enlarge)

The versions tested will close at either 8 DTE or a profit of 90% of the initial credit received.  The parameters that vary are the risk or loss amount.  The trades are closed for a loss if the loss is either 60%, 70%, or 80% of the initial credit received.  There is quite a bit of congestion at the right side of the chart, with the non-compounded profits ranging from approximately 250% to 350%.

The details associated with each of the starting structure backtests can be found in the posts below:

• Standard Iron Condor - RUT - 38 DTE
• Delta Neutral Iron Condor - RUT - 38 DTE
• Extra Long Put Iron Condor - RUT - 38 DTE

In the next post I will show the results for the 38 DTE, 12 delta short strike IC.

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 work.

RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta

Starting with this post, and spanning the next seven or eight posts, I will show the backtest results for dynamic exits of 38 days-to-expiration (DTE) Iron Condors (IC), with different delta short strikes.  In this post I wills show the results for the 8 delta short strike 38 DTE versions.

For some background on how these results are presented, please review the two overview posts at:

• RUT Iron Condor - Dynamic Exit Overview - 80 DTE
• RUT Iron Condor - Dynamic Exit Overview - 66 DTE

As discussed in the two overview posts, we will look at the same three Iron Condor starting structures that have been backtested on this blog: Standard (STD), Delta Neutral (DN), and Extra Long Put (EL).

Also as discussed in the two overview posts, we will look at three different exits on each of these three starting structures:

• ML40% - this is a Margin Loss % Exit.  Trades using this exit strategy either exit at 8 DTE OR if the trade has a loss greater than 40% of the margin requirement for the trade. (ML40% = Max Loss 40%)
• BSP - this is a Price Movement Exit.  Trades using this exit strategy either exit at 8 DTE OR if the price of the underlying (RUT) moves below the strike of the short put.  (BSP = Below Short Put).
• 0.6:0.6 - This is an Initial Credit % Profit/Loss Exit. Trades using this exit strategy either exit at 8 DTE OR if the trade has a profit of 60% of its initial credit OR if the trade has a loss of 60% of its initial credit.  

This equity curve chart below should look very similar to the equity curves in my prior posts.  In the chart below, all of the STD IC versions have blue equity curves, all of the DN IC versions have green equity curves, and all of the EL IC versions have red equity curves.  The solid lines represent the equity curves for the "no touch" version, while the dashed lines represent the equity curves for the dynamically exited versions.

(click to enlarge)

For the 38 DTE, 8 delta short strike ICs, the 40% margin loss exit yielded the highest return for each of the starting structures.  The next best exit, exited trades when the price of the underlying moved below the short strike of the put credit spread.  The Standard Iron Condor strategy (STD) with the 40% margin loss (ML40%) exit yielded the highest overall return.

The details associated with each of the starting structure backtests can be found in the posts below:

• Standard Iron Condor - RUT - 38 DTE
• Delta Neutral Iron Condor - RUT - 38 DTE
• Extra Long Put Iron Condor - RUT - 38 DTE

In the next post I will show the results for the 38 DTE, 8 delta short strike IC, with varying Initial Credit % Profit/Loss Exits.

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 work.