SPX Iron Condor - High Loss Threshold Results Summary

Over the last four blog posts we looked at eight different exit approaches for a standard SPX iron condor with 25 point wings.  These exits included:

1. STD - NA%:NA% - exit at 8 DTE.
2. STD - NA%:50% - exit if the trade has a profit of 50% of its initial credit OR 8 DTE.
3. STD - 100%:50% - exit if the trade has a loss of 100% of its initial credit OR if the trade has a profit of 50% of its initial credit OR 8 DTE.
4. STD - 200%:50% - exit if the trade has a loss of 200% of its initial credit OR if the trade has a profit of 50% of its initial credit OR 8 DTE.
5. STD - 200%:75% - exit if the trade has a loss of 200% of its initial credit OR if the trade has a profit of 75% of its initial credit OR 8 DTE.
6. STD - 300%:50% - exit if the trade has a loss of 300% of its initial credit OR if the trade has a profit of 50% of its initial credit OR 8 DTE.
7. STD - 300%:75% - exit if the trade has a loss of 300% of its initial credit OR if the trade has a profit of 75% of its initial credit OR 8 DTE.
8. STD - 400%:50% - exit if the trade has a loss of 400% of its initial credit OR if the trade has a profit of 50% of its initial credit OR 8 DTE.

We applied these exits to iron condors with different delta short strikes (8, 12, 16, and 20 delta) at different days to expiration (38, 52, 66, and 80).  Please see the following links for the background information associated with the results in this post:

• Iron Condor Series - Higher Loss Thresholds
• SPX Iron Condor - High Loss Threshold - 38 DTE
• SPX Iron Condor - High Loss Threshold - 52 DTE
• SPX Iron Condor - High Loss Threshold - 66 DTE
• SPX Iron Condor - High Loss Threshold - 80 DTE

Let's review the equity curves for all of the combinations listed above, to get a qualitative sense of the performance.  Recall that the y-axis scale is the same for all of the equity curves (-200% to 600%).  The thumbnails are a bit small, but larger images will be displayed if you click on them.

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With these equity curves as a qualitative reference, let's look at the associated trade metrics.  The five tables below show the top 20 strategy variations (out of 128) in terms of selected metrics.

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The table above shows the top 20 strategies ordered by highest normalized average P&L per day.  The 38 DTE versions dominate the top 20, with the 20 delta variations taking the top five spots.  Profit taking at 50% of the credit received was the way to trade these 38 DTE / 20 delta variations.

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The table above shows the top 20 strategies with the highest normalized average P&L per trade.  The 38 DTE / 20 delta variations took the top three spots, but the next four had the common theme of not using either profit or loss exits...they just exited at 8 DTE.

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The table above is similar to the prior table, but shows the total non-compounded P&L for each strategy variation.  The top 20 list is the same as the prior table.

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The table above lists the top 20 strategies ordered by their win rate.  The top four strategies are 80 DTE versions with 8 delta short strikes.  The next seven are tied with a win rate of 91%...the common factor among these seven is that they also have 8 delta short strikes.  In addition, these seven allow for larger losses: 300%, 400%, or no loss limit at all (NA).

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The table above lists the top 20 strategies ordered by their Sortino Ratio.  Nine of these top 20 strategies are 80 DTE versions, with a strong leaning towards the 8 delta short trike variations.  Three of the top 10 take profits at 75% of the credit received.

Deciding on a specific SPX iron condor exit strategy depends on your goals:

• Want a high Sortino Ratio - go with an 80 DTE, 8 delta trade, managing the profits between 50% and 75%, and managing the loss at 200% or 300%.  Historically, this approach has averaged between 4% to 5% per trade with a win rate between 87% and 94%.


• Want a win rate - go with an 80 DTE, 8 delta trade, managing the profit at 50% and the loss anywhere from 200% to 400%.  Historically, this approach has averaged around 4% per trade with a win rate between 92% and 94%..


• Want the highest returns / return per trade - go with a 38 DTE, 20 delta trade, managing the profit at 50%, but the loss at either 300% or 400%.  Historically, this approach has averaged over 5.5% per trade with a win rate of 86%.


• Want the highest returns per day - go with the same variations as mentioned in the prior bullet, 38 DTE, 20 delta short strikes. managing the profit at 50% and the loss anywhere from 200% to 400%.  Historically, this approach has averaged over 5% per trade with a win rate of about 85%.

The variation that appeals the most to me is the 80 DTE, 8 delta trade, managing the winners at 50% and the losers at 300%.  See the image below for the all of the 80 DTE, 8 delta metrics:

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In the next post, we will start looking at higher loss thresholds on the standard iron condor on the RUT.


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