Sunday, February 22, 2015

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:

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:

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

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