Sunday, April 5, 2015

RUT Iron Condor - Dynamic Exit - 52 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 52 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.  This is a non-directional options trading strategy that seeks to profit from a market that stays within in a range between the two short strikes of the Iron Condor.

For some background on how the results are presented and to read my prior dynamic exit posts, please visit the summary page: Dynamic Exit Iron Condor Articles.

As discussed in the two overview posts on the summary page above, 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.

Iron Condor Dynamic Exit Equity Curves RUT 52 DTE 12 Delta Risk:Reward Versions
(click to enlarge)

The dynamic exit versions tested were closed at either 8 DTE or a profit of 90% of the initial credit received.  The parameters that varied were the risk or loss amount.  The trades were closed for a loss if the loss was either 60%, 70%, or 80% of the initial credit received.  The Standard Iron Condor options trading strategy (STD) versions outperformed all of the Delta Neutral (DN) and Extra Long Put (EL) versions.  The two top performers in terms of overall return were the STD-0.6:0.9 and STD-0.7:0.9 respectively.  The STD-0.6:0.9 version closed at either 8 DTE, a profit of 90% of the initial credit received, or a loss of 60% of the initial credit received.

The results by year, for each of the 52 DTE, 12 delta short Iron Condor options trading strategy versions are shown in the table below.

Iron Condor Dynamic Exit Return Statistics RUT 52 DTE 12 Delta
(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 52 DTE, 16 delta short strike Iron Condor options trading strategy.

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