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
- 59 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 0.15%, which is smaller than the largest reading for the 38, 45, and 59 DTE ICs. There was one strategy variation with a 0.15% value:
- ST (NA:50), 25 point wings, 16 delta
*(same top strategy as at 59 DTE)* - The next best readings came in at 0.14% and were associated with three test runs:
- ST (NA:50), 25 point wings, 20 delta
- DN (NA:50), 25 point wings, 12 delta
- ST (100:50), 25 point wings, 20 delta
- The top 18 strategy variations had P&L per day readings of 0.12% or greater
- Of these 18, 17 used the profit taking level of 50%
- Of these 18, 12 used wing widths of 25 points
- Of these 18, 13 used the standard balanced (ST) IC structure

(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 continues to be more pronounced as the trades move out in time / DTE.
- The largest normalized P&L per trade was 5.9% and was associated with two strategy variations:
- ST (NA:50), 25 point wings, 20 delta
- DN (NA:75), 25 point wings, 20 delta
- 14 variations had P&L per trade values of 5.0% or greater
*(fewer than at 59 DTE)*: - 12 of these 14 did not use a loss taking exit (loss taking % = NA)
- 9 of these 14 were delta neutral (DN) structures
*(5 were ST structures)* - 8 of these 14 used a short strike delta of 20
- 7 of these 14 used a profit taking level of 75%
*(4 used a profit taking level of 50%)* - The 66 DTE ICs have the largest average P&L per trade readings:
- 66 DTE: mean 2.79% / SD 1.09%
- 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 have been 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 98%, and was associated with one strategy:
- DN (NA:50), wing width 75, 8 delta
*(consistent across DTE)* - The next best win rate was 97% and was associated with two strategies:
- ST (NA:50), wing width 75, 8 delta
- EL (NA:50), wing width 75, 8 delta
- The top 39 strategies all had win rates of 91% or better.
- Of these 39, 28 took profits at 50%
- Of these 39, 30 did not use loss exits (they exited at 2 DTE; loss taking % = NA)
- Of these 39, 28 had short strike deltas of 8
- Wing widths and IC structures varied for these 39
- The strategies with the top win rates also had some of the largest single losses...and this is consistent across the DTEs tested

(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 between 110% and 130% of the max risk. This particular loss was due to bad data (similar to the worst value in the 59 DTE test runs).
- In all, there were 48 variations impacted by this bad quote, which was associated with the 17-Sep-2011 expiration. All of these trades should have exited with a max loss close to 100% somewhere between 8-Aug-2011 and 26-Sep-2011.
- By 8-Aug-2011, the market was below the long put of the put spread in these trades...the long put was at 1175 for the 25 point wing with strategies. The market close on 8-Aug-2011 was 1119.46.
- 65 strategy variations had largest loss readings of 95% or greater
- Of these 65, 24 had short strike deltas of 20, and another 24 had short strike deltas of 16
- Of these 65, 53 used wing widths of 25 points
- All structures (ST, DN, EL) were present in these 65 strategy variations
- 33 strategy variations had largest losses that were 29% or
*smaller* - Of these 33, 17 used wing widths of 75 points
- Of these 33, 17 used the extra long put (EL) structure
- Of these 33, 24 had short strike deltas of 8
- 27 of the top 33
*smallest losses*used a loss taking level of 100% - The top four
*smallest losses*were associated with the following strategies: - DN (100:50), 75 point wings, 8 delta -> 11% loss
*(win rate 82%)* - DN (100:75), 75 point wings, 8 delta -> 13% loss
*(win rate 72%)* - DN (100:50), 50 point wings, 8 delta -> 14% loss
*(win rate 77%)* - DN (100:75), 50 point wings, 8 delta -> 14% loss
*(win rate 69%)*

(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)
- This trend is more pronounced at the lower short strike deltas of 8 and 12
- 44 strategy variations had profit factors of 2.0 or greater
- 40 of these 44 did not use a loss taking exit (loss taking % = NA)
- 27 of these 44 used the delta neutral structure (DN)
- 26 of these 44 had short strike deltas of 8
- The top tree performers were:
- DN (NA:50), 50 point wings, 8 delta -> profit factor of 6.8
*(win rate 95%)* - DN (NA:50), 75 point wings, 8 delta -> profit factor of 4.8
*(win rate 98%)* - DN (NA:NA), 50 point wings, 8 delta -> profit factor of 3.8
*(win rate 89%)*

(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 21 and 38 days for a 66 DTE IC, depending on short strike delta
- The smallest winning trade DIT of 21 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 22
- These were the same trade structures that had the smallest winning trade DIT at 52 and 59 DTE

(click to enlarge) |

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