RUT Iron Condor - High Loss Threshold - 59 DTE

This post looks at a standard (STD) one-lot iron condor on the Russell 2000 Index (RUT), initiated at 59 days-to-expiration (DTE).  The results in this post were derived from approximately 3200 individual trades entered by the backtester.

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

In the trade metrics tables, I have highlighted some of the 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.

Please note that the dollar results below are based on 10 contract positions rather than the 1 contract positions used in the other posts in this series.

8 Delta Short Strikes

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For the 59 DTE, 8 delta RUT iron condors, the top exit approaches indicated by the metrics were: 200%:75%, 300%:75%, and 400%:50%.


12 Delta Short Strikes

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(click to enlarge)

For the 59 DTE, 12 delta RUT iron condors, the top exit approaches indicated by the metrics were: NA%:NA%, 200%:50%, and 200%:75%.


16 Delta Short Strikes

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(click to enlarge)

For the 59 DTE, 16 delta RUT iron condors, there was not a clear winner in terms of metrics.  The top candidates for exit approaches appear to be: 100%:50%, 200%:50% and 300%:50%.  Note: the NA%:50%, 300%:50%, and 400%:50% variations have nearly identical equity curves in the chart above.


20 Delta Short Strikes

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(click to enlarge)

For the 59 DTE, 20 delta RUT iron condors, there was again no clear winner.  The top exit approaches indicated by the metrics appear to be: 100%:50%, 200%:50%, and 200%:75%. Note: the NA%:50%, 300%:50%, and 400%:50% variations have nearly identical equity curves in the chart above.

With the 59 DTE tests, the highest average P&L per day readings occurred with the 16 delta and 20 delta short strike variations.  In the next post we will look at these same deltas and exits, but on the RUT 66 DTE iron condor.


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