RUT Iron Condor - High Loss Threshold - 66 DTE

This post looks at a standard (STD) one-lot iron condor on the Russell 2000 Index (RUT), initiated at 66 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.

8 Delta Short Strikes

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For the 66 DTE, 8 delta RUT iron condors, the top exit approaches indicated by the metrics were: 100%:50%, 200%:75%, and 300%:75%.


12 Delta Short Strikes

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(click to enlarge)

For the 66 DTE, 12 delta RUT iron condors, the top exit approaches indicated by the metrics were: NA%:NA%, 200%:75%, and 300%:75%.


16 Delta Short Strikes

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(click to enlarge)

The y-axis scale in the equity curve chart above has be increased to accommodate the larger returns for the 16 delta short strike variations.  For the 66 DTE, 16 delta RUT iron condors, the top exit approaches indicated by the metrics were: NA%:NA%, 100%:50%, 200%:75%, and 300%:75%.  Note: that the NA%: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)

The y-axis scale in the equity curve chart above has be increased to accommodate the larger returns for the 20 delta short strike variations.  For the 66 DTE, 20 delta RUT iron condors, the top exit approaches indicated by the metrics were: NA%:NA%, 100%:50%, 200%:75%, and 300%:75%.  Note: that the NA%:50% , 300%:50%, and 400%:50% variations have nearly identical equity curves in the chart above.

With the 66 DTE tests, the highest average P&L per day readings occurred with the 20 delta short strike variations.  In the next post we will look at these same deltas and exits, but on the RUT 80 DTE iron condor.


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