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Tuesday, May 19, 2015

SPX Iron Condor - High Loss Threshold - 38 DTE

This is the first article in a series where we will look at the performance of the iron condor options strategy, where the loss exits will be greater than the profit exits.  For background on the setup for the backtests, as well as the nomenclature used in the charts and tables below, please see the introductory article for this series: Iron Condor Series - Higher Loss Thresholds

This post looks at a standard (STD) one-lot iron condor on the S&P 500 Index (SPX), initiated at 38 days-to-expiration (DTE).  The results displayed below represent data from approximately 3200 individual trades entered by the backtester.  The results are separated by the delta of the short strikes.

In the trade metrics tables, I have highlighted some of the metrics rows to indicate values that are in the upper half of the readings.  One of the metrics to note is the average P&L per day in percentage terms (Trade Details (%) - Avg. P&L / Day).  This is a measure of the P&L per day normalized to the maximum margin required for that trade run...it tells us the effectiveness of theta with respect to our margin requirement.

8 Delta Short Strikes
Iron Condor Equity Curves SPX 38 DTE 8 Delta Risk:Reward Exits
(click to enlarge)
Iron Condor Trade Metrics SPX 38 DTE 8 Delta Risk:Reward Exits
(click to enlarge)
For the 38 DTE, 8 delta SPX iron condors, the top exit approaches indicated by the metrics were: 100%:50%, 200%:50%, 200%:75% and 300%:75%.


12 Delta Short Strikes
Iron Condor Equity Curves SPX 38 DTE 12 Delta Risk:Reward Exits
(click to enlarge)
Iron Condor Trade Metrics SPX 38 DTE 12 Delta Risk:Reward Exits
(click to enlarge)
For the 38 DTE, 12 delta SPX iron condors, the top exit approaches indicated by the metrics were: 200%:50% and 200%:75%.


16 Delta Short Strikes
Iron Condor Equity Curves SPX 38 DTE 16 Delta Risk:Reward Exits
(click to enlarge)
Iron Condor Trade Metrics SPX 38 DTE 16 Delta Risk:Reward Exits
(click to enlarge)
For the 38 DTE, 16 delta SPX iron condors, the top exit approaches indicated by the metrics were: NA%:NA%, 200%:75%, and 300%:75%.


20 Delta Short Strikes
Iron Condor Equity Curves SPX 38 DTE 20 Delta Risk:Reward Exits
(click to enlarge)
Iron Condor Trade Metrics SPX 38 DTE 20 Delta Risk:Reward Exits
(click to enlarge)
For the 38 DTE, 20 delta SPX iron condors, the top exit approaches indicated by the metrics were: NA%:50%, 100%:50%, 300%:50% and 400%:50%.

In the next post we will look at these same deltas and exits, but on the SPX 52 DTE iron condor.


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2 comments:

albert said...

thanks a lot for your backtest
now i will change my entry to 20 delta instead of 10 delta
for 38~dte SPY IC and exit to na/50/8dte

your research will help people with their trading results
keep up the good work :)

Dave R. said...

Thanks for your comment Albert!

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