RUT Iron Condor - Dynamic Exit - 80 DTE - 20 Delta

We're just a few short posts from completing the dynamic exit series.  Thanks for hanging in there through this four month process chronicled here: Dynamic Exit Iron Condor Articles!

In this post we will look at the backtest results for dynamic exits of the 80 days-to-expiration (DTE) Iron Condor (IC) options strategy, with 20 delta short strikes, with different profit and loss exits.  This is a non-directional options trading strategy that seeks to profit from a market that stays within 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).

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 can also be thought of as risk:reward; risking 60% to make 60%.

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 three highest overall returns went to the Standard (STD) Iron Condor variations in order:  STD without dynamic exits, STD-ML40%, and STD-0.6:0.6...the 20 delta results were similar to the 16 delta variation results.  The ML40% version closed at either 8 DTE or when the loss calculated on margin exceeded 40%.  The STD-0.6:0.6 version closed at either 8 DTE, a profit of 60% of the initial credit received, or a loss of 60% of the initial credit received.

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

• Standard Iron Condor - RUT - 80 DTE
• Delta Neutral Iron Condor - RUT - 80 DTE
• Extra Long Put Iron Condor - RUT - 80 DTE

In the next post I will show the results for the 80 DTE, 20 delta short strike Iron Condor options trading strategy, with varying Initial Credit % Profit/Loss Exits.

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