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
- 66 DTE SPX Iron Condor Results Summary
- 73 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. Each of the different wing width ICs (25 point, 50 point, 75 point) will have a different max risk, and it is important to normalize daily returns by the associated max risk number. For example, a 25 point IC will have slightly less than $25K max risk (margin), while a 75 point IC will have slightly less than $75K max risk (margin). Since the 25 point IC will have approximately 1/3 the risk/margin, the $ returns need to be normalized by these varying max risk / margin numbers for proper strategy variation comparison.

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
- 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 0.19%, which is the largest value we've seen in this series of IC tests. There was one strategy variation with a 0.19% value:
- ST (NA:50), 25 point wings, 20 delta
- The next best readings came in at 0.18% and were associated with two test runs:
- ST (NA:50), 25 point wings, 8 delta
- ST (200:50), 25 point wings, 20 delta
- 88 strategy variations had P&L per day readings of 0.12% or greater:
- Of these 88, 61 used the profit taking level of 50%
- Of these 88, 55 used the standard balanced (ST) IC structure
- Of these 88, 38 did not use a loss taking level
*(loss taking % = NA)* - Of these 88, 34 used wing widths of 50 points
- Of these 88, 32 used a short strike delta of 20
*(30 used a delta 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. As trade duration increases with increasing DTE, overall P&L per trade increases. Due to this fact, the max value of the y-axis on the 80 DTE P&L per trade charts was increased from 6% to 12% (similar to the 73 DTE P&L per trade charts). At 80 DTE, all delta variations had some values exceeding the 6% level.

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 9.4% and was associated with one strategy variation:
- ST (300:NA), 50 point wings, 16 delta
- 174 variations had P&L per trade values of 5.0% or greater...really large number!:
- 86 of these 174 were standard (ST) structures
*(45 were DN structures)* - 75 of these 174 did not use a loss taking exit
*(64 used the 300% level*) - 67 of these 174 did not use a profit taking level
*(59 used the 75% level)* - 66 of these 174 used a short strike delta of 20
*(53 used 16 delta)* - 65 of these 174 used 50 point wings
*(58 used 75 point wings)* - The 80 DTE ICs have the largest average P&L per trade readings:
- 80 DTE: mean 4.60% / SD 1.98%
- 73 DTE: mean 3.92% / SD 1.73%
- 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 consistent across the DTEs tested:

- In general, win rates tend to increase as wing widths increase
- Win rates tend to
*decrease*as the delta of the short strikes*increases* - At 20 delta, there is only a slight increase in win rate when taking losses greater than 200%
- The 50% profit taking level has the highest win rates
- The top win rate was 99%, and was associated with four strategies:
- EL (NA:50), wing width 25, 8 delta
- ST (NA:50), wing width 75, 8 delta
- EL (NA:50), wing width 75, 8 delta
- DN (NA:50), wing width 75, 8 delta
- 82 strategies had win rates of 91% or better:
- Of these 82 , 57 took profits at 50%
- Of these 82 , 49 did not use loss exits (they exited at 2 DTE; loss taking % = NA)
- Of these 82 , 43 had short strike deltas of 8
- Of these 82 , 32 had wing widths of 75 points
- 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 165 trades in each test run.

The results:

- Typically, the largest loss percentage increases with increasing loss taking level
- There were three strategy variations that had losses measurably greater than 100% of risk. They were the 25 point wing, 20 delta shorts, DN using a loss taking level of 300%. These variations hit a loss of 126% of risk due to bad data.
- This bad quote was associated with the 17-Sep-2011 expiration, and occurred on 24-Aug-2011. This was the same expiration that was hit with bad data in other DTE trades.
- 36 strategy variations had largest loss readings of 95% or greater:
- Of these 36, 27 did not use a loss taking level (loss taking % = NA)
- Of these 36, 18 used wing widths of 25 points
- Of these 36, 18 used the DN structure
- 34 strategy variations had largest losses that were 29% or
*smaller*: - Of these 34, 32 used a loss taking level of 100%
- Of these 34, 23 had short strike deltas of 8
- Of these 34, 18 used the extra long put (EL) structure
- Of these 34, 18 used a profit taking level of 50%
- Of these 34, 16 used wing widths of 75 points
- The top three
*smallest losses*were associated with the following strategies: - EL (100:50), 75 point wings, 8 delta -> 16% loss
*(win rate 80%)* - DN (100:50), 75 point wings, 8 delta -> 17% loss
*(win rate 82%)* - DN (100:50), 50 point wings, 8 delta -> 18% loss
*(win rate 82%)*

(click to enlarge) |

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

- Profit factors increase for variations not using a loss taking % (loss taking % = NA)
- This trend is most pronounced at the short strike delta of 8
- 216 strategy variations had profit factors of 2.0 or greater...this is a big increase again from the number of variations meeting this criteria lower DTE.
- 100 of these 216 took profits at 50%
- 85 of these 216 did not use a loss taking exit (loss taking % = NA)
- 82 of these 216 used the standard IC structure (ST)
*(73 used the DN structure)* - 78 of these 216 had short strike deltas of 8
*(61 used 12 delta)* - The top tree performers were:
- DN (NA:50), 75 point wings, 12 delta -> profit factor of 3.1
*(win rate 95%)* - DN (NA:50), 50 point wings, 8 delta -> profit factor of 3.0
*(win rate 95%)* - EL (NA:50), 50 point wings, 8 delta -> profit factor of 3.0
*(win rate 96%)*

(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. 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 24 and 47 days for a 80 DTE IC, depending on short strike delta
- The smallest winning trade DIT of 24 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 27
- There were 50 variations with winning trade DIT values less than 35:
- All 50 took profits at 50%
- 36 of these 50 used 8 delta short strikes
- 19 of these 50 used the loss taking level of 100%

(click to enlarge) |

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