You can find the prior SPX IC posts in this series at the links below:

- New Iron Condor Series Introduction
- 38 DTE SPX Iron Condor Results Summary
- 38 DTE SPX Iron Condor Results Summary - Part 2
- 45 DTE SPX Iron Condor Results Summary
- 45 DTE SPX Iron Condor Results Summary - Part 2
- 52 DTE SPX Iron Condor Results Summary

__Normalized P&L per Day__The P&L per day values shown in the charts below are expressed as a percentage of the

*max risk*for that test run...this is necessary in order to fairly compare the returns of each of the different wing widths (25 point, 50 point, 75 point).

The results:

- We continue to see more variability in P&L per day readings in the 25 point wing ICs, than in the larger wing width ICs
- Again, similar to the prior test runs, as the delta of the short strikes increases, the variability in the P&L per day readings increases
- The largest reading was 0.18%, which is the same as the largest reading for the 38 and 45 DTE ICs. There was one strategy variation with a 0.18% value:
- ST (NA:50), 25 point wings, 16 delta
- The next best readings came in at 0.16% and 0.15% and were associated with five test runs:
- EL (NA:50), 25 point wings, 16 delta
*(0.16%)* - DN (NA:50), 50 point wings, 16 delta
*(0.15%)* - ST (NA:50), 25 point wings, 20 delta
*(0.15%)* - DN (NA:50), 50 point wings, 16 delta
*(0.15%)* - ST (300:50), 25 point wings, 16 delta
*(0.15%)* - 20 of the top 22 readings were associated with a profit taking level of 50%
- Of these 20 readings, 14 had short delta strikes of 16

(click to enlarge) |

__Normalized P&L per Trade__The normalized P&L per trade charts display returns expressed as a percentage of the

*max risk*for a given test run.

The results:

- The variability in normalized P&L per trade again increases as the delta of the short strike increases, and decreases with increasing wing width.
- In general, the returns per trade increase with increasing loss taking %, and this trend is significantly more pronounced than at 52 DTE.
- The largest normalized P&L per trade was 6.0% for two strategy variations:
- ST (NA:75), 25 point wings, 16 delta
- ST (NA:50), 25 point wings, 16 delta
- 22 variations had P&L per trade values of 5.0% or greater
- 21 of these 22 did not use a loss taking exit (loss taking % = NA)
- 14 of these 22 used a short strike delta of 16
- 12 of these 22 were delta neutral (DN) structures (9 were ST structures)
- 12 of these 22 used a profit taking exit of 75% (6 used a profit taking % = NA)
- Wing widths for these 22 spanned all of the possible test values
- The 59 DTE ICs have the largest P&L per trade readings, and largest standard deviations:
- 59 DTE; mean 2.75% / SD 1.20%
- 52 DTE: mean 2.33% / SD 0.88%
- 45 DTE: mean 2.23% / SD 0.87%
- 38 DTE: mean 1.88% / SD 0.75%

(click to enlarge) |

__Win Rate__The win rate trends appear fairly consistent across the DTEs tested so far:

- In general, win rates tend to increase as wing widths increase
- Win rates tend to
*increase*as the delta of the short strikes*decreases* - The top win rate was 96%, and was associated with three strategies:
- DN (NA:50), wing width 75, 8 delta
- ST (NA:50), wing width 75, 8 delta
- EL (NA:50), wing width 75, 8 delta
- The top 41 strategies all had win rates of 91% or better.
- Of these 41, 28 took profits at 50%
- Of these 41, 35 did not use loss exits (they exited at 2 DTE; loss taking % = NA)
- Of these 41, 26 had short strike deltas of 8
- Wing widths and IC structures varied for these 41
- The strategies with the top win rates also had some of the largest single losses...and this is consistent across the DTEs tested
- The win rates for the 59 DTE ICs were slightly better than the win rates for the 52 DTE ICs

(click to enlarge) |

__Largest Loss__The next charts show the normalized largest loss for each of the test runs These largest losses are expressed as a percentage of the

*max risk*found in the roughly 200 trades in each test run.

The results:

- Typically, the largest loss percentage increases with increasing loss taking level
- There were a number of variations where the largest loss was over 200% of the max risk. This particular loss was due to bad data, rather than an actual loss of that size.
- In all, there were 27 variations impacted by this bad quote, which was associated with the 14-Nov-2014 expiration. All of these trades should have exited with a max loss close to 100% somewhere between 10-Oct-2014 and 15-Oct-2014.
- By 15-Oct-2014, the market was below the long put of the put spread in these trades...the long put was at 1875 for the 25 point wing strategies. The market low on 15-Oct-2014 was 1820, with a close at 1862.
- 72 strategy variations had largest loss readings of 95% or greater
- 58 had short strike deltas of 20, while the other 14 had short strike deltas of 16
- All wing widths, and structures (ST, DN, EL) were present in these 72 strategy variations
- 27 of the top 28
*smallest losses*used a loss taking level of 100 - 15 of the top 17
*smallest losses*had short strike deltas of 8 - The top 3
*smallest losses*were: - DN (100:50), 75 point wings, 8 delta -> 14% loss
*(win rate 82%)* - EL (100:50), 50 point wings, 8 delta -> 17% loss
*(win rate 80%)* - EL (100:75), 50 point wings, 8 delta ->17% loss
*(win rate 74%)*

(click to enlarge) |

**Profit Factor**The profit factor results are listed below:

- Profit factors increase sharply for variations not using a loss taking % (loss taking % = NA)
- 62 strategy variations had profit factors of 2.0 or greater (double the number at 52 DTE!)
- 55 of these 62 did not use a loss taking exit (loss taking % = NA)
- 32 of these 62 used the delta neutral structure (DN)
- 31 of these 62 had short strike deltas of 8
- The top tree performers were:
- DN (NA:NA), 75 point wings, 8 delta -> profit factor of 3.5
*(win rate 92%)* - DN (NA:NA), 50 point wings, 8 delta -> profit factor of 3.5
*(win rate 90%)* - DN (NA:75), 50 point wings, 8 delta -> profit factor of 3.4
*(win rate 92%)* - These top performers had largest losses of approximately -90% due to not implementing loss taking exits

(click to enlarge) |

**Average DIT For Winning Trades**This metric was derived by averaging all of the DIT for all of the

*winning trades*in a test run. Adding a DIT exit to your profit and loss exits is worth considering.

The trends associated with this metric are consistent with the prior DTE test runs:

- As short strike deltas increase, trade duration increases
- As profit taking level increases, trade duration increases
- The 50% profit taking level should have you out of your trade between 19 and 34 days for a 59 DTE IC, depending on short strike delta
- The smallest winning trade DIT of 19 was associated with 8 delta short strikes, 25 point wings, profit taking at 50%, loss taking at 100%, and the EL structure. The same configuration but using either the ST or DN structures yielded a an average DIT for winning trades of 21
- These were the same trade structures that had the smallest winning trade DIT at 52 DTE

(click to enlarge) |

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