tag:blogger.com,1999:blog-7711697940021557192024-03-06T13:00:06.061-07:00DTR TradingA blog about options trading strategies (Iron Condors, Strangles, Calendars, Butterflies), equities rotation strategies, and Java related technologies to backtest and automate trading.Unknownnoreply@blogger.comBlogger281125tag:blogger.com,1999:blog-771169794002155719.post-6894990430998960572019-06-10T09:00:00.001-06:002019-06-10T09:00:03.875-06:00SPX Iron Condor - 2019 Q1 ReviewWe looked at the performance of a few of the better performing SPX iron condors (ICs) in a prior article (<a href="https://dtr-trading.blogspot.com/2019/05/spx-iron-condor-2018-review.html" target="_blank"><b>here</b></a>). In this post, we'll revisit those IC variations and see how they performed in the first quarter of this year. Their performance will be compared to their historical performance from January 2007 through December 2018.<br />
<br />
These are the IC variations we will review:<br />
<ol>
<li><b>66 DTE - 25 pt wings, 12 Delta (200:50) / 2 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>66 DTE - 25 pt wings, 12 Delta (200:50) / 33 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 33 DTE.</li>
<li><b>73 DTE - 25 pt wings, 12 Delta (200:50) / 2 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>73 DTE - 25 pt wings, 12 Delta (200:50) / 37 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 37 DTE.</li>
<li><b>45 DTE - 25 pt wings, 16 Delta (200:50) / 2 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>45 DTE - 25 pt wings, 16 Delta (200:50) / 22 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 22 DTE.</li>
</ol>
<br />
The 45 DTE variations follow the entry and exit criteria popularized by TastyTrade here:<br />
<ul>
<li><a href="https://www.tastytrade.com/tt/shows/market-measures/episodes/managing-losers-in-risk-defined-strategies-10-24-2016" target="_blank">https://www.tastytrade.com/tt/shows/market-measures/episodes/managing-losers-in-risk-defined-strategies-10-24-2016</a></li>
<li><a href="https://www.tastytrade.com/tt/shows/from-theory-to-practice/episodes/portfolio-tactics-managing-iron-condors-early-02-06-2019" target="_blank">https://www.tastytrade.com/tt/shows/from-theory-to-practice/episodes/portfolio-tactics-managing-iron-condors-early-02-06-2019</a></li>
<li><a href="https://www.tastytrade.com/tt/shows/market-measures/episodes/iron-condors-trade-size-08-16-2017" target="_blank">https://www.tastytrade.com/tt/shows/market-measures/episodes/iron-condors-trade-size-08-16-2017</a></li>
<li><a href="https://www.tastytrade.com/tt/shows/market-measures/episodes/exiting-iron-condors-01-02-2015" target="_blank">https://www.tastytrade.com/tt/shows/market-measures/episodes/exiting-iron-condors-01-02-2015</a></li>
</ul>
<br />
For each IC variation, I show one table and two charts. The table shows the percent return on reg-t margin. The first chart shows these same return numbers, but compared to their historical returns (max, min, average, and quartiles).The second chart shows the DIT numbers for each variation compared to the average for this variation.<br />
<br />
Let's get right to the results for each of these variations.<br />
<br />
<br />
<b><u>66 DTE - 25 pt wings, 12 Delta (200:50) / 2 DTE</u></b><br />
<br />
The average monthly return for Q1 was -7%, versus the 2007 to 2018 monthly average of +3%. Total return for the quarter was -21%. Pretty bad return numbers. The average DIT for Q1 was 34, which was above the 2007 to 2018 average of 30 DIT.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEisUmIO7yw5SGu5Fr6PymEQmZCVGLeQ8dRNCaljziLk7KUVUYOGLuvUiSkakLCtwD6jBf6FUkECxRRBtcvUBkqqtJwzvHGHoO4bjWsLukQnmkUWXQpGTTbMKglznuuKCdYDcXJvhGyasKw/s1600/2019-Q1-SPX-IC-66-12delta-200-50-02-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="112" data-original-width="783" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEisUmIO7yw5SGu5Fr6PymEQmZCVGLeQ8dRNCaljziLk7KUVUYOGLuvUiSkakLCtwD6jBf6FUkECxRRBtcvUBkqqtJwzvHGHoO4bjWsLukQnmkUWXQpGTTbMKglznuuKCdYDcXJvhGyasKw/s400/2019-Q1-SPX-IC-66-12delta-200-50-02-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgAEYqCnUi-Mh7tugdHsNO5Aave9X80x6PJ1-2JXUcKHBe808-1H5pB2dMnFOF5pWO4DlDYulofYohBEg90vpBdPvouytKLMu9SSGTGt6g1EwiutOWz4uPyNpRdclF3qyK34EIf5Jy73Og/s1600/2019-Q1-SPX-IC-66-12delta-200-50-02-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="480" data-original-width="850" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgAEYqCnUi-Mh7tugdHsNO5Aave9X80x6PJ1-2JXUcKHBe808-1H5pB2dMnFOF5pWO4DlDYulofYohBEg90vpBdPvouytKLMu9SSGTGt6g1EwiutOWz4uPyNpRdclF3qyK34EIf5Jy73Og/s400/2019-Q1-SPX-IC-66-12delta-200-50-02-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEis3UyyD8EBJpX6KktjeIIqTp_rXOp3b-OrwkOOSuDmpnVdq22ORUdQJyJWIVYSOXBlWI-IPg3xEPcVnSC7TgpyL1QNam-X_KR7rwJu3wwZ7MZ0vk3G8jHzKgQjZUAVDuyiSTO7x3QZO0o/s1600/2019-Q1-SPX-IC-66-12delta-200-50-02-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="479" data-original-width="851" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEis3UyyD8EBJpX6KktjeIIqTp_rXOp3b-OrwkOOSuDmpnVdq22ORUdQJyJWIVYSOXBlWI-IPg3xEPcVnSC7TgpyL1QNam-X_KR7rwJu3wwZ7MZ0vk3G8jHzKgQjZUAVDuyiSTO7x3QZO0o/s400/2019-Q1-SPX-IC-66-12delta-200-50-02-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>66 DTE - 25 pt wings, 12 Delta (200:50) / 33 DTE</u></b><br />
<br />
The average monthly return for Q1 was +5%, versus the 2007 to 2018 monthly average of +4%. Total return for the quarter was +15%. One of the few trades/variations (ICs, Straddles, Strangles) this quarter with positive quarterly return numbers. The average DIT for Q1 was 29, which was above the 2007 to 2018 average of 25 DIT.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj8_Gc0_tZFf8MpaegIvpmeRQsKS-trmT-y77rILue001r-l2CXwTjIEOt7LXpvWbPoE51rPNHulbTAzjTbTW9CZ28M7yW6xAMD9Q2xZa_2NI0nIV6SOrMyUeGTWv3Xkwe5IcoPflygPAw/s1600/2019-Q1-SPX-IC-66-12delta-200-50-33-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="113" data-original-width="784" height="57" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj8_Gc0_tZFf8MpaegIvpmeRQsKS-trmT-y77rILue001r-l2CXwTjIEOt7LXpvWbPoE51rPNHulbTAzjTbTW9CZ28M7yW6xAMD9Q2xZa_2NI0nIV6SOrMyUeGTWv3Xkwe5IcoPflygPAw/s400/2019-Q1-SPX-IC-66-12delta-200-50-33-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiCroG5fAjzgj2I-866IZszwcM9xpfsCqKg6eoylfTd-bz2AGR9CHPH2FhSboQf8SfhbJZFxNlE7iJZGTUXt4qCq5KbPQTomv0HDdbgUee33FioymiaA9TvFLMO6W4cKDIk_RwaoUiOwPQ/s1600/2019-Q1-SPX-IC-66-12delta-200-50-33-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="479" data-original-width="850" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiCroG5fAjzgj2I-866IZszwcM9xpfsCqKg6eoylfTd-bz2AGR9CHPH2FhSboQf8SfhbJZFxNlE7iJZGTUXt4qCq5KbPQTomv0HDdbgUee33FioymiaA9TvFLMO6W4cKDIk_RwaoUiOwPQ/s400/2019-Q1-SPX-IC-66-12delta-200-50-33-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh8rCT6J95rJMmcqzAmFfHGRrCAxW2TwXS-nLEBQuddYLaSP7ppWFjEs_nMfEQBpN7z11RvDTNse9BYh7ORlCCHD1DuAUoHcUXUpzraK5nkDOaMbxPJP2svkTWMhfSIlMqMC2dqI5QyPWk/s1600/2019-Q1-SPX-IC-66-12delta-200-50-33-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="479" data-original-width="851" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh8rCT6J95rJMmcqzAmFfHGRrCAxW2TwXS-nLEBQuddYLaSP7ppWFjEs_nMfEQBpN7z11RvDTNse9BYh7ORlCCHD1DuAUoHcUXUpzraK5nkDOaMbxPJP2svkTWMhfSIlMqMC2dqI5QyPWk/s400/2019-Q1-SPX-IC-66-12delta-200-50-33-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>73 DTE - 25 pt wings, 12 Delta (200:50) / 2 DTE</u></b><br />
<br />
The average monthly return for Q1 was -10%, versus the 2007 to 2018 monthly average of +2%. Total return for the quarter was -29%. Pretty bad return numbers. The average DIT for Q1 was 36, which was above the 2007 to 2018 average of 33 DIT.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEihPGjpY0t-2O76UID0Qxaud4OWEVcvfoQieAV8y-oAAkfaj_iNLB1i28a7gZ6YbR_g2xfzPGRk6sJOjtUBl7_6ts8lNipeAJoTnbmB3CaUMI92HptAlOqkSUm5UgdUwuzWoMHLkyA0kHY/s1600/2019-Q1-SPX-IC-73-12delta-200-50-02-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="111" data-original-width="782" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEihPGjpY0t-2O76UID0Qxaud4OWEVcvfoQieAV8y-oAAkfaj_iNLB1i28a7gZ6YbR_g2xfzPGRk6sJOjtUBl7_6ts8lNipeAJoTnbmB3CaUMI92HptAlOqkSUm5UgdUwuzWoMHLkyA0kHY/s400/2019-Q1-SPX-IC-73-12delta-200-50-02-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjf_Q5egASJqMJXXjnTJ2RV2zcfjEcHts31yuZ4L37Nef9HIfqoR1H-sBQj3Oy5fHIxiHHmcXLgzwN5j0G6-P9xi-TnBpJOwdO6V1AiLDMBdSCAf4nNqzgwLen8-LtjzRzLxeRpIqx1Guk/s1600/2019-Q1-SPX-IC-73-12delta-200-50-02-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="479" data-original-width="850" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjf_Q5egASJqMJXXjnTJ2RV2zcfjEcHts31yuZ4L37Nef9HIfqoR1H-sBQj3Oy5fHIxiHHmcXLgzwN5j0G6-P9xi-TnBpJOwdO6V1AiLDMBdSCAf4nNqzgwLen8-LtjzRzLxeRpIqx1Guk/s400/2019-Q1-SPX-IC-73-12delta-200-50-02-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh4iCuF5C2bsi3SM0VzyTLQJ9Q9KhM8hzvikCYekkP9gjuI27nDppjcwm-BjoQeVL4HINfkuXtbvpezKjyz6ioVy0fyvDkBXusHg3SuOnBDKbmH6I6snWdxIsXSkhHip2O-KbZtWJmiILQ/s1600/2019-Q1-SPX-IC-73-12delta-200-50-02-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="479" data-original-width="850" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh4iCuF5C2bsi3SM0VzyTLQJ9Q9KhM8hzvikCYekkP9gjuI27nDppjcwm-BjoQeVL4HINfkuXtbvpezKjyz6ioVy0fyvDkBXusHg3SuOnBDKbmH6I6snWdxIsXSkhHip2O-KbZtWJmiILQ/s400/2019-Q1-SPX-IC-73-12delta-200-50-02-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>73 DTE - 25 pt wings, 12 Delta (200:50) / 37 DTE</u></b><br />
<br />
The average monthly return for Q1 was -3%, versus the 2007 to 2018 monthly average of +1%. Total return for the quarter was -9%. Not great return numbers, but still tradeable. The average DIT for Q1 was 33, which was above the 2007 to 2018 average of 28 DIT.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhZkz_35h5rN_eWdLhu2nQFKUt8FGQHAgNxKshwezxQ_-UKEbmMMONVeausLi1cCEqhgKD6SCP_Bms378DFGa50ftpKEOMR1wjFroSRICezIrS0CX__BCS9EG1jzWb4C0Xi-fOU3h6sBMU/s1600/2019-Q1-SPX-IC-73-12delta-200-50-37-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="112" data-original-width="783" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhZkz_35h5rN_eWdLhu2nQFKUt8FGQHAgNxKshwezxQ_-UKEbmMMONVeausLi1cCEqhgKD6SCP_Bms378DFGa50ftpKEOMR1wjFroSRICezIrS0CX__BCS9EG1jzWb4C0Xi-fOU3h6sBMU/s400/2019-Q1-SPX-IC-73-12delta-200-50-37-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj0UQPxHu3mThKKHwmB_j5Ok11x693q2yBQkzk7cAH5qda9ej0ywSgwAuliB0ZLFYO8_cG4VUD5LqYJpvyB-EUgLYUcFJszgSHuBqRnBsdr3mMWvJgPJAxIKu5XnehLhersyX5AnhP6XlE/s1600/2019-Q1-SPX-IC-73-12delta-200-50-37-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="480" data-original-width="851" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj0UQPxHu3mThKKHwmB_j5Ok11x693q2yBQkzk7cAH5qda9ej0ywSgwAuliB0ZLFYO8_cG4VUD5LqYJpvyB-EUgLYUcFJszgSHuBqRnBsdr3mMWvJgPJAxIKu5XnehLhersyX5AnhP6XlE/s400/2019-Q1-SPX-IC-73-12delta-200-50-37-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh6vzubnzJDxtuPMYoFZ1qvbe6hCWCglt5FjIZrEdJk0hhhzPjQJLqmAMqizB6LIytxH_wrpXwhIrGiT-PtBuZuAa7bN8f0h9GMX9V6ObqzhPr2lOxxbIqhBwWBv2hbphsARdNheGyWruI/s1600/2019-Q1-SPX-IC-73-12delta-200-50-37-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="480" data-original-width="851" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh6vzubnzJDxtuPMYoFZ1qvbe6hCWCglt5FjIZrEdJk0hhhzPjQJLqmAMqizB6LIytxH_wrpXwhIrGiT-PtBuZuAa7bN8f0h9GMX9V6ObqzhPr2lOxxbIqhBwWBv2hbphsARdNheGyWruI/s400/2019-Q1-SPX-IC-73-12delta-200-50-37-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>45 DTE - 25 pt wings, 16 Delta (200:50) / 2 DTE</u></b><br />
<br />
The average monthly return for Q1 was -34%, versus the 2007 to 2018 monthly average of +3%. Total return for the quarter was -101%! Horrible return numbers for this IC variation! The average DIT for Q1 was 37, which was above the 2007 to 2018 average of 24 DIT.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjtyxLjsqgO7HCVH25yoWc4Xn5geC0WgVlBMA2IUcBFKlcxEi7_yJUb3p3yEuqTE1Vn-XV1KpKZMDjxrUakKUpBW20Jfhn-kfbr_OFjLh-6EA1lL8uW9ZCMD_bFfI2GAgmYfiMptCQBRGo/s1600/2019-Q1-SPX-IC-45-16delta-200-50-02-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="112" data-original-width="783" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjtyxLjsqgO7HCVH25yoWc4Xn5geC0WgVlBMA2IUcBFKlcxEi7_yJUb3p3yEuqTE1Vn-XV1KpKZMDjxrUakKUpBW20Jfhn-kfbr_OFjLh-6EA1lL8uW9ZCMD_bFfI2GAgmYfiMptCQBRGo/s400/2019-Q1-SPX-IC-45-16delta-200-50-02-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi7q_7KHW_ECWonGxhEN7pYL-bywNsImWqliIPcxWBX3ls3VUMqP_KhnhsfVwE7VQocmNyyWw0oLjX2HLpXDxV1pNLAvRsTuvbLyXc0SRnKdCb2Djn5nh8egb0kiu2z3jMWCrMBLZsvyaY/s1600/2019-Q1-SPX-IC-45-16delta-200-50-02-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="480" data-original-width="850" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi7q_7KHW_ECWonGxhEN7pYL-bywNsImWqliIPcxWBX3ls3VUMqP_KhnhsfVwE7VQocmNyyWw0oLjX2HLpXDxV1pNLAvRsTuvbLyXc0SRnKdCb2Djn5nh8egb0kiu2z3jMWCrMBLZsvyaY/s400/2019-Q1-SPX-IC-45-16delta-200-50-02-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgUelnhy-q65DFRaeIvF1AAJozjrS25Ct4f_XPnBCD_9ZR_Fb8fESBPxm5p2ZygQeIEn5kWJ-io44LZjRw1HBNDh7DMNZgJWjNKEmrGfPVSRtVHW4MJX2aB5B0nEBDBbBlxBOgOvxaBaRY/s1600/2019-Q1-SPX-IC-45-16delta-200-50-02-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="478" data-original-width="851" height="223" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgUelnhy-q65DFRaeIvF1AAJozjrS25Ct4f_XPnBCD_9ZR_Fb8fESBPxm5p2ZygQeIEn5kWJ-io44LZjRw1HBNDh7DMNZgJWjNKEmrGfPVSRtVHW4MJX2aB5B0nEBDBbBlxBOgOvxaBaRY/s400/2019-Q1-SPX-IC-45-16delta-200-50-02-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>45 DTE - 25 pt wings, 16 Delta (200:50) / 22 DTE</u></b><br />
<br />
The average monthly return for Q1 was -18%, versus the 2007 to 2018 monthly average of +2%. Total return for the quarter was -53%. Pretty lousy returns for Q1. The average DIT for Q1 was 23, which was above the 2007 to 2018 average of 20 DIT.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiyqf3aojubgDD3Od_hrhRemDv5rKV8G14kilHn9Vua2r6pl-qfofZ2Rz9CcSh5kRr8EQoQ-ErbI_XM-B7zulblG4vYeVVzAkzH1HnYyNj6bbcP-HQ7nQVuJz1zllmavWwZH081mlpxCYc/s1600/2019-Q1-SPX-IC-45-16delta-200-50-22-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="111" data-original-width="782" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiyqf3aojubgDD3Od_hrhRemDv5rKV8G14kilHn9Vua2r6pl-qfofZ2Rz9CcSh5kRr8EQoQ-ErbI_XM-B7zulblG4vYeVVzAkzH1HnYyNj6bbcP-HQ7nQVuJz1zllmavWwZH081mlpxCYc/s400/2019-Q1-SPX-IC-45-16delta-200-50-22-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjr2KBmFYZTtk5IWvk0aRzCOonCLI5AziV2n3vs9pOZZOvmyXkdVVYg_SciQFlOOYr8FGNNHmx6VYoXHN8-mMQ4c5lJpb6FfxNeulJLCvKXgIs5amBHPxL7816Q90IunjsWO6YJcRBLUxI/s1600/2019-Q1-SPX-IC-45-16delta-200-50-22-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="478" data-original-width="850" height="223" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjr2KBmFYZTtk5IWvk0aRzCOonCLI5AziV2n3vs9pOZZOvmyXkdVVYg_SciQFlOOYr8FGNNHmx6VYoXHN8-mMQ4c5lJpb6FfxNeulJLCvKXgIs5amBHPxL7816Q90IunjsWO6YJcRBLUxI/s400/2019-Q1-SPX-IC-45-16delta-200-50-22-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh1pBLYrI0jEHEoAI1fpChL2a_qDHWRjNCHrRxNpY4QoEZsZB8AkDOy7cDnd9Httq_oRs4KoQLeY_EFogg1Tg9DbKT2ytrbGshqFU5ntrDQtK2Rbxrx3T-q4zGbe3jJjGJUOL-LBU08Uqc/s1600/2019-Q1-SPX-IC-45-16delta-200-50-22-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="482" data-original-width="850" height="226" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh1pBLYrI0jEHEoAI1fpChL2a_qDHWRjNCHrRxNpY4QoEZsZB8AkDOy7cDnd9Httq_oRs4KoQLeY_EFogg1Tg9DbKT2ytrbGshqFU5ntrDQtK2Rbxrx3T-q4zGbe3jJjGJUOL-LBU08Uqc/s400/2019-Q1-SPX-IC-45-16delta-200-50-22-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The 45 DTE variations were clearly the worst for the quarter. The 66 and 73 DTE variations that managed early were decent performers.<br />
<br />
<br />
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<i><br /></i>Unknownnoreply@blogger.com0tag:blogger.com,1999:blog-771169794002155719.post-12631703806673454082019-05-27T15:02:00.000-06:002019-05-27T15:02:36.076-06:00SPX Straddle - 2019 Q1 ReviewWe looked at the performance of a few of the better performing SPX straddles in a prior article (<a href="https://dtr-trading.blogspot.com/2019/05/spx-straddle-2018-review.html" target="_blank"><b>here</b></a>). In this post, we'll revisit those straddle variations and see how they performed in the first quarter of this year. Their performance will be compared to their historical performance from January 2007 through December 2018.<br />
<br />
These are the variations we will review:<br />
<ol>
<li><b>59 DTE - (25:10) / 2 DTE</b> - exit if the trade has a loss of 25% of its initial credit <i>OR</i> if the trade has a profit of 10% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>59 DTE - (25:10) / 41 DTE</b> - exit if the trade has a loss of 25% of its initial credit <i>OR</i> if the trade has a profit of 10% of its initial credit <i>OR</i> at 41 DTE.</li>
<li><b>59 DTE - (50:25) / 2 DTE</b> - exit if the trade has a loss of 50% of its initial credit <i>OR</i> if the trade has a profit of 25% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>59 DTE - (50:25) / 24 DTE</b> - exit if the trade has a loss of 50% of its initial credit <i>OR</i> if the trade has a profit of 25% of its initial credit <i>OR</i> at 24 DTE.</li>
<li><b>45 DTE - (150:25) / 2 DTE</b> - exit if the trade has a loss of 150% of its initial credit <i>OR</i> if the trade has a profit of 25% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>45 DTE - (150:25) / 31 DTE</b> - exit if the trade has a loss of 150% of its initial credit <i>OR</i> if the trade has a profit of 25% of its initial credit <i>OR</i> at 31 DTE.</li>
</ol>
<br />
The 45 DTE variations follow the entry and exit criteria popularized by TastyTrade here:<br />
<ul>
<li><a href="https://www.tastytrade.com/tt/shows/market-measures/episodes/straddle-management-targets-01-11-2019" target="_blank">https://www.tastytrade.com/tt/shows/market-measures/episodes/straddle-management-targets-01-11-2019</a></li>
<li><a href="https://www.tastytrade.com/tt/shows/market-measures/episodes/varying-straddle-duration-08-16-2018" target="_blank">https://www.tastytrade.com/tt/shows/market-measures/episodes/varying-straddle-duration-08-16-2018</a></li>
<li><a href="https://www.tastytrade.com/tt/shows/market-measures/episodes/ultimate-guide-to-managing-straddles-05-18-2018" target="_blank">https://www.tastytrade.com/tt/shows/market-measures/episodes/ultimate-guide-to-managing-straddles-05-18-2018</a></li>
<li><a href="https://www.tastytrade.com/tt/shows/market-measures/episodes/straddles-managing-winners-and-losers-06-19-2015" target="_blank">https://www.tastytrade.com/tt/shows/market-measures/episodes/straddles-managing-winners-and-losers-06-19-2015</a></li>
</ul>
<br />
For each variation, I show one table and two charts. The table shows the percent return on portfolio margin. The first chart shows these same return numbers, but compared to their historical returns (max, min, average, and quartiles).The second chart shows the DIT numbers for each variation compared to the average for this variation.<br />
<br />
Let's get right to the results for each of these variations.<br />
<br />
<br />
<b><u>59 DTE - (25:10) / 2 DTE<u></u></u></b><br />
<br />
The average monthly return for Q1 was -21%, versus the 2007 to 2018 monthly average of +2%. Total return for the quarter was -62%. Pretty bad return numbers. The average DIT for Q1 was 14, which was below the 2007 to 2018 average of 16 DIT.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjoIiPAVajeGE08wHRLRYcbpvzjBeMS8RFp96rpSGcVNQuyMz2Joz0cBmvv6TksFe4-BuHEZKft_i3tUC1g0fibkGn3OxRM6r2ohD3XfilOmhZUJ19I-UhyphenhyphentgSOXkd2LuZbaJr08mn6SsE/s1600/2019-Q1-SPX-Straddle-59-25-10-02-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="112" data-original-width="784" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjoIiPAVajeGE08wHRLRYcbpvzjBeMS8RFp96rpSGcVNQuyMz2Joz0cBmvv6TksFe4-BuHEZKft_i3tUC1g0fibkGn3OxRM6r2ohD3XfilOmhZUJ19I-UhyphenhyphentgSOXkd2LuZbaJr08mn6SsE/s400/2019-Q1-SPX-Straddle-59-25-10-02-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><img border="0" data-original-height="477" data-original-width="849" height="223" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjZ7s9gTU97xQ0978dixuHq4b6FFRZDng-MdSMEM1oWVPNe7xvXQdZMaDzMJ7dsp7IYbqZisCC3JzWwY_srbOX_oD6vYUxSBD7h1SycvRkKH8cRtoW2pAXK81U-oNoJy4pdvSNl9unAnTI/s400/2019-Q1-SPX-Straddle-59-25-10-02-Returns-Metrics-Chart.PNG" style="margin-left: auto; margin-right: auto;" width="400" /></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi-2ZT0Fhg7sd2IphlhAgDHzoh_qF-VhcXQuYp3V-qsOBg0xiuXXlT7eiO9USXMh_E_omLu3fErbASex5bCAzWgEHWxdEeJMmM7xJZINvvfg6Oh6x5DsEBjc4k4kJFO72Kr9lHrbuXpHFM/s1600/2019-Q1-SPX-Straddle-59-25-10-02-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="479" data-original-width="851" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi-2ZT0Fhg7sd2IphlhAgDHzoh_qF-VhcXQuYp3V-qsOBg0xiuXXlT7eiO9USXMh_E_omLu3fErbASex5bCAzWgEHWxdEeJMmM7xJZINvvfg6Oh6x5DsEBjc4k4kJFO72Kr9lHrbuXpHFM/s400/2019-Q1-SPX-Straddle-59-25-10-02-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>59 DTE - (25:10) / 41 DTE</u></b><br />
<br />
The average monthly return for Q1 was -13%, versus the 2007 to 2018 monthly average of +1%. Total return for the quarter was -38%. Again, pretty bad return numbers. The average DIT for Q1 was 10, which was below the 2007 to 2018 average of 12 DIT.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhtZCpEaUInP09pZf2vCX_eXxRh-by_U5Zi51jH9zPwohXWCfsbVC36aQaHox6Ozki6S75JEyUyjeLEsPT2vjhJVodmfA-D2kbR_73pxdQTIc-l5JtpojFclPL3Efcqnkt0PAzUrJy3qy0/s1600/2019-Q1-SPX-Straddle-59-25-10-41-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="112" data-original-width="785" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhtZCpEaUInP09pZf2vCX_eXxRh-by_U5Zi51jH9zPwohXWCfsbVC36aQaHox6Ozki6S75JEyUyjeLEsPT2vjhJVodmfA-D2kbR_73pxdQTIc-l5JtpojFclPL3Efcqnkt0PAzUrJy3qy0/s400/2019-Q1-SPX-Straddle-59-25-10-41-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhnwGT2HsGYTH4NPB4Y5mJzlxCu9Cfi2Y-VNMods6FyXb193MldYzZWncQWBwMzANZW0BTKrhWurgeKq3nr_3RCqmZzXF5rAir0_sskJjHG9dzwfHnjDWAyGeYrrFoE1dLFdLn-OwltsJk/s1600/2019-Q1-SPX-Straddle-59-25-10-41-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="478" data-original-width="850" height="223" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhnwGT2HsGYTH4NPB4Y5mJzlxCu9Cfi2Y-VNMods6FyXb193MldYzZWncQWBwMzANZW0BTKrhWurgeKq3nr_3RCqmZzXF5rAir0_sskJjHG9dzwfHnjDWAyGeYrrFoE1dLFdLn-OwltsJk/s400/2019-Q1-SPX-Straddle-59-25-10-41-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi17en9KQO7goHOVQQ9cDyYEwBm9zJFj5NwMEGRZpLRc5BQkD0iMW7t7toQQnfgDXXHnOPweWiuiLpzxK9zE0alg00xWLT09GPNl5bNjfDfPC5y6v_AnDBOS_a2hHiiwFU_KOlBd8BHoRk/s1600/2019-Q1-SPX-Straddle-59-25-10-41-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="479" data-original-width="851" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi17en9KQO7goHOVQQ9cDyYEwBm9zJFj5NwMEGRZpLRc5BQkD0iMW7t7toQQnfgDXXHnOPweWiuiLpzxK9zE0alg00xWLT09GPNl5bNjfDfPC5y6v_AnDBOS_a2hHiiwFU_KOlBd8BHoRk/s400/2019-Q1-SPX-Straddle-59-25-10-41-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>59 DTE - (50:25) / 2 DTE</u></b><br />
<br />
The average monthly return for Q1 was -34%, versus the 2007 to 2018 monthly average of +4%. Total return for the quarter was -101%. Bad return numbers again. The average DIT for Q1 was 33, which was below the 2007 to 2018 average of 34 DIT.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEip6LOLAfoSIz479OBNYMuCwm93fpUH1pQdNBDpq2uu4XHRj4_XO4CCMi_ly23cP2UowMdDeX0eENHvzQewcjf_fO-RIZsMVTn3CruQVl7-BGjrYIupyCNqNQzYroYWagMm2NJmp3dhtpU/s1600/2019-Q1-SPX-Straddle-59-50-25-02-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="113" data-original-width="782" height="57" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEip6LOLAfoSIz479OBNYMuCwm93fpUH1pQdNBDpq2uu4XHRj4_XO4CCMi_ly23cP2UowMdDeX0eENHvzQewcjf_fO-RIZsMVTn3CruQVl7-BGjrYIupyCNqNQzYroYWagMm2NJmp3dhtpU/s400/2019-Q1-SPX-Straddle-59-50-25-02-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjWnkT4GocbyoxczHzc4T1JqaUco5ytwXrrNcdaJpffxr8YGFEaBv3ZsKv3ej3kVdyNvEyDtfqYOW8IsB3izXKYThZxHuvS6X5_KUKHCZvtNqvfnM72hRKFQrI8azbKNX1sT7WB579Tjzw/s1600/2019-Q1-SPX-Straddle-59-50-25-02-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="478" data-original-width="849" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjWnkT4GocbyoxczHzc4T1JqaUco5ytwXrrNcdaJpffxr8YGFEaBv3ZsKv3ej3kVdyNvEyDtfqYOW8IsB3izXKYThZxHuvS6X5_KUKHCZvtNqvfnM72hRKFQrI8azbKNX1sT7WB579Tjzw/s400/2019-Q1-SPX-Straddle-59-50-25-02-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgDgp8P_46Hw6ho6W9wTDAaqGZ0fZ4mCJ1gdK9d7p1RdPOs7zGhfy60rIh_rhGukZRenidSSGz2aZ7lbBWAGDWY6C7TLp7_ttyd7Q97qbufF2YrEAfSv4GEGRou5_iACSl-1LikRZ6Gokk/s1600/2019-Q1-SPX-Straddle-59-50-25-02-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="479" data-original-width="849" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgDgp8P_46Hw6ho6W9wTDAaqGZ0fZ4mCJ1gdK9d7p1RdPOs7zGhfy60rIh_rhGukZRenidSSGz2aZ7lbBWAGDWY6C7TLp7_ttyd7Q97qbufF2YrEAfSv4GEGRou5_iACSl-1LikRZ6Gokk/s400/2019-Q1-SPX-Straddle-59-50-25-02-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>59 DTE - (50:25) / 24 DTE</u></b><br />
<br />
The average monthly return for Q1 was -30%, versus the 2007 to 2018 monthly average of +4%. Total return for the quarter was -89%. The bad return numbers continue! The average DIT for Q1 was 30, which was above the 2007 to 2018 average of 29 DIT.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjGVth2JouGWUYdwD5MtqdI3Li6Xw8lqy1aPS-T9bXzgOU7kgQsiN10oOJKyTOF0sfo-fLCbXCBfOTX1aOVxXqfRA8yIxdW2CUgAbg-oZY9xNWrTUm_V2MLPkNON4YVMtTgk_qWyPcBRDI/s1600/2019-Q1-SPX-Straddle-59-50-25-24-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="112" data-original-width="783" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjGVth2JouGWUYdwD5MtqdI3Li6Xw8lqy1aPS-T9bXzgOU7kgQsiN10oOJKyTOF0sfo-fLCbXCBfOTX1aOVxXqfRA8yIxdW2CUgAbg-oZY9xNWrTUm_V2MLPkNON4YVMtTgk_qWyPcBRDI/s400/2019-Q1-SPX-Straddle-59-50-25-24-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhOxrvMnuO9N4mPY3V5Lb0mXJj_zUo4o2e1A9nAadk3tsHFDzfULCd2JnBh7LtSi51amZPtQZJvq60cu_m58OQKd7T0Gm55vWK9PHSI6RyG1j2RRQg8N0nIZ9wnwfbgK92b92e_jYssYWs/s1600/2019-Q1-SPX-Straddle-59-50-25-24-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="479" data-original-width="849" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhOxrvMnuO9N4mPY3V5Lb0mXJj_zUo4o2e1A9nAadk3tsHFDzfULCd2JnBh7LtSi51amZPtQZJvq60cu_m58OQKd7T0Gm55vWK9PHSI6RyG1j2RRQg8N0nIZ9wnwfbgK92b92e_jYssYWs/s400/2019-Q1-SPX-Straddle-59-50-25-24-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh29BJ0ztHuQP3-oPXeutP9-eNEdBBGKsLleTGJEfwR1M5fOCcZOcUMXPBvPOh_LAS1upiuCN57Iz7q2NrPzFfNfBl_37zGC0jyMJvt4yYFkpXZ8y3hYAUiWP4n5u4LJKIQ3SpMfOIj5Eo/s1600/2019-Q1-SPX-Straddle-59-50-25-24-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="480" data-original-width="850" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh29BJ0ztHuQP3-oPXeutP9-eNEdBBGKsLleTGJEfwR1M5fOCcZOcUMXPBvPOh_LAS1upiuCN57Iz7q2NrPzFfNfBl_37zGC0jyMJvt4yYFkpXZ8y3hYAUiWP4n5u4LJKIQ3SpMfOIj5Eo/s400/2019-Q1-SPX-Straddle-59-50-25-24-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>45 DTE - (150:25) / 2 DTE</u></b><br />
<br />
The average monthly return for Q1 was -78%, versus the 2007 to 2018 monthly average of +2%. Total return for the quarter was -234%! Horrible return numbers for the quarter! The average DIT for Q1 was 35, which was above the 2007 to 2018 average of 28 DIT.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiikZqb7LT-UYOOq33x2G8ed8RBXYB2rI1Dt-mLetJQosm6jDOTYiSB7mgXQYYQMEtyiipzpyvrkAma3P7WwoCSuyrBouZUx1acwhNbaQfEGQLbpU5VPF3hW3VmtbubBC_trBex4fOgM2s/s1600/2019-Q1-SPX-Straddle-45-150-25-02-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="110" data-original-width="783" height="55" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiikZqb7LT-UYOOq33x2G8ed8RBXYB2rI1Dt-mLetJQosm6jDOTYiSB7mgXQYYQMEtyiipzpyvrkAma3P7WwoCSuyrBouZUx1acwhNbaQfEGQLbpU5VPF3hW3VmtbubBC_trBex4fOgM2s/s400/2019-Q1-SPX-Straddle-45-150-25-02-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj30H_iJYRFZFNnA84pJlNIDHztipCBMS88Q5JnMcXrXYaCyEn40jmIk6ey0-Vq6bPHTYZPh_L1-xgkMsQHH-d3zKE9xJJbuSNGrY5_aahWjawCHJRWnKftaWi4vNwQec52ix3Cw-6tlfo/s1600/2019-Q1-SPX-Straddle-45-150-25-02-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="479" data-original-width="849" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj30H_iJYRFZFNnA84pJlNIDHztipCBMS88Q5JnMcXrXYaCyEn40jmIk6ey0-Vq6bPHTYZPh_L1-xgkMsQHH-d3zKE9xJJbuSNGrY5_aahWjawCHJRWnKftaWi4vNwQec52ix3Cw-6tlfo/s400/2019-Q1-SPX-Straddle-45-150-25-02-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjblPEjCrZaPiLmBkib4eummeFDwFiOoWgANSJlslV-592_vSVmidAf-yxzf-8aylM1Jf6m2pHzBJf956-vPEfkGr9lh9gWL4Hh12zC1B9wwdR9cpRMuFa1qlu4T05ZmlPxNfkXdMYScFI/s1600/2019-Q1-SPX-Straddle-45-150-25-02-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="478" data-original-width="850" height="223" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjblPEjCrZaPiLmBkib4eummeFDwFiOoWgANSJlslV-592_vSVmidAf-yxzf-8aylM1Jf6m2pHzBJf956-vPEfkGr9lh9gWL4Hh12zC1B9wwdR9cpRMuFa1qlu4T05ZmlPxNfkXdMYScFI/s400/2019-Q1-SPX-Straddle-45-150-25-02-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>45 DTE - (150:25) / 31 DTE</u></b><br />
<br />
The average monthly return for Q1 was -11%, versus the 2007 to 2018 monthly average of +1%. Total return for the quarter was -33%. Pretty lousy returns for the Q1. The average DIT for Q1 was 14, which was the same as the 2007 to 2018 average DIT.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiSoSqqmKZia6C1bQCP3FDKsBJgT2zPhu9nZQziMzq9_Q251XZ_8L-EXkuQFrK5HJrKGlIOm9lzv2NM62ai-9WcDP9OGe3yRxLv2r7w-1WnFtqSTWzaZpqlCzTkbkFaCWFFYdjTqp1-1QA/s1600/2019-Q1-SPX-Straddle-45-150-25-31-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="112" data-original-width="784" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiSoSqqmKZia6C1bQCP3FDKsBJgT2zPhu9nZQziMzq9_Q251XZ_8L-EXkuQFrK5HJrKGlIOm9lzv2NM62ai-9WcDP9OGe3yRxLv2r7w-1WnFtqSTWzaZpqlCzTkbkFaCWFFYdjTqp1-1QA/s400/2019-Q1-SPX-Straddle-45-150-25-31-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhER6ABavYNVwsndZWs2psqwJSlxP0LWIfM-3GTmm5_MOhYgw0yhEHlY-p26tUkpmGK1tWIEhJF-tcF50UPvzRCJRGgOpJpJIBtKptX2FeTf2HfhT74gIQbQZ4bU-6mYCmi3LSzcoUY1yw/s1600/2019-Q1-SPX-Straddle-45-150-25-31-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="478" data-original-width="849" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhER6ABavYNVwsndZWs2psqwJSlxP0LWIfM-3GTmm5_MOhYgw0yhEHlY-p26tUkpmGK1tWIEhJF-tcF50UPvzRCJRGgOpJpJIBtKptX2FeTf2HfhT74gIQbQZ4bU-6mYCmi3LSzcoUY1yw/s400/2019-Q1-SPX-Straddle-45-150-25-31-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjy6lsQPsD4c_BeaiRyP5EPpoXA22YOnxf4_aKHcsAe-0gsk8D8l5JdQwYVSIexD6rQ2WUV5yGttnnk8B4mYr7aAvRo5ddP_aYBnu4ox49Vr4vy4kwhgR9dk5MAVlaa6D9uZhNcmqfdmf4/s1600/2019-Q1-SPX-Straddle-45-150-25-31-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="480" data-original-width="850" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjy6lsQPsD4c_BeaiRyP5EPpoXA22YOnxf4_aKHcsAe-0gsk8D8l5JdQwYVSIexD6rQ2WUV5yGttnnk8B4mYr7aAvRo5ddP_aYBnu4ox49Vr4vy4kwhgR9dk5MAVlaa6D9uZhNcmqfdmf4/s400/2019-Q1-SPX-Straddle-45-150-25-31-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
All of the straddle variations had negative returns for the quarter. In the next post, we'll review the Q1 returns for the SPX Iron Condor variations.<br />
<br />
<br />
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<i><br /></i>Unknownnoreply@blogger.com0tag:blogger.com,1999:blog-771169794002155719.post-91993572965971063462019-05-20T09:00:00.000-06:002019-05-20T09:00:18.514-06:00SPX Strangle - 2019 Q1 ReviewWe looked at the performance of a few of the better performing SPX strangles in a prior article (<a href="https://dtr-trading.blogspot.com/2019/04/spx-strangle-2018-review.html"><b>here</b></a>). In this post, we'll revisit those strangle variations and see how they performed in the first quarter of this year. Their performance will be compared to their historical performance from January 2007 through December 2018.<br />
<br />
These are the variations we'll review:<br />
<ol>
<li><b>59 DTE - 16 Delta Short Strikes (100:50) / 2 DTE</b> - exit if the trade has a loss of 100% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>59 DTE - 16 Delta Short Strikes (100:50) / 29 DTE</b> - exit if the trade has a loss of 100% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>59 DTE - 16 Delta Short Strikes (200:50) / 2 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>59 DTE - 16 Delta Short Strikes (200:50) / 29 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>45 DTE - 16 Delta Short Strikes (200:50) / 2 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>45 DTE - 16 Delta Short Strikes (200:50) / 22 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 2 DTE.</li>
</ol>
<br />
The 45 DTE variations follow the entry and exit criteria popularized by TastyTrade here:<br />
<ul>
<li><a href="https://www.tastytrade.com/tt/shows/market-measures/episodes/market-measures-07-17-2018">https://www.tastytrade.com/tt/shows/market-measures/episodes/market-measures-07-17-2018</a></li>
<li><a href="https://www.tastytrade.com/tt/shows/market-measures/episodes/why-and-why-not-2-sd-strangles-04-03-2019">https://www.tastytrade.com/tt/shows/market-measures/episodes/why-and-why-not-2-sd-strangles-04-03-2019</a></li>
</ul>
<br />
For each variation, I show one table and two charts. The table shows the percent return on portfolio margin. The first chart shows these same return numbers, but compared to their historical returns (max, min, average, and quartiles).The second chart shows the DIT numbers for each variation compared to the average for this variation.<br />
<br />
Let's get right to the results for each of these variations.<br />
<br />
<br />
<u><b>59 DTE - 16 Delta Short Strikes (100:50) / 2 DTE</b></u><br />
<br />
The average monthly return for Q1 was -12%, versus the 2007 to 2018 monthly average of +3%. Total return for the quarter was -37%. Pretty bad return numbers. The average DIT for Q1 was 23, which was below the 2007 to 2018 average of 27 DIT.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEieqxDfzHkiSEnrhrsnWc5arQDaBnVHlVSKRRRHcs8hrGcwHb_XCthtKSj4CwLefD1dAoclkdRa_TQBZtfG0CPLBMcCqVjwZWHWZpOD6HQls1Za7VQtsukh9It9h8AXp03Sskln0M2qfCY/s1600/2019-Q1-SPX-Strangle-59-100-50-02-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="112" data-original-width="784" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEieqxDfzHkiSEnrhrsnWc5arQDaBnVHlVSKRRRHcs8hrGcwHb_XCthtKSj4CwLefD1dAoclkdRa_TQBZtfG0CPLBMcCqVjwZWHWZpOD6HQls1Za7VQtsukh9It9h8AXp03Sskln0M2qfCY/s400/2019-Q1-SPX-Strangle-59-100-50-02-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh858uFYqd9FNIe_fuKZllqZGrA6gQSnqM3-l8xtjoHklLbpgCKSH3QXuo7YTbFt0SIiARpt-M8aGYGMcu3tLceoxUEg2p7MPj52cVQDHwt7BeOlkk31Z5nnpI1D_h-c_Dg5cGWTNr80ts/s1600/2019-Q1-SPX-Strangle-59-100-50-02-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="480" data-original-width="849" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh858uFYqd9FNIe_fuKZllqZGrA6gQSnqM3-l8xtjoHklLbpgCKSH3QXuo7YTbFt0SIiARpt-M8aGYGMcu3tLceoxUEg2p7MPj52cVQDHwt7BeOlkk31Z5nnpI1D_h-c_Dg5cGWTNr80ts/s400/2019-Q1-SPX-Strangle-59-100-50-02-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi1xxFlzHmWXncxKdEhIMaplGKDhu_i_ilKtv9Wz1BI0DijbMUW5T3MEtlnQeYKXHd4JyclRb1vM3DACQ2RixEwPVh9NuCcIG2SmpUIqmKU0fX3iwea379G7anI78Ut1WyE1Iaeo4QXO3I/s1600/2019-Q1-SPX-Strangle-59-100-50-02-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="476" data-original-width="848" height="223" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi1xxFlzHmWXncxKdEhIMaplGKDhu_i_ilKtv9Wz1BI0DijbMUW5T3MEtlnQeYKXHd4JyclRb1vM3DACQ2RixEwPVh9NuCcIG2SmpUIqmKU0fX3iwea379G7anI78Ut1WyE1Iaeo4QXO3I/s400/2019-Q1-SPX-Strangle-59-100-50-02-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>59 DTE - 16 Delta Short Strikes (100:50) / 29 DTE</u></b><br />
<br />
The average monthly return for Q1 was -7%, versus the 2007 to 2018 monthly average of +2%. Total return for the quarter was -22%. Again, pretty bad return numbers. The average DIT for Q1 was 20, which was below the 2007 to 2018 average of 24 DIT.<br />
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhztUOu9DahNSY9_QSDIr94jvFqZABNXHtVtHU5_bPCVy3BQl_66PTqcGD1DK1-kKiWYJeDMUzgXNNhGaAzgmdrzONMz2NcY1OHhhjg4py3EqnK4MkRaEK4-zZHeKWTPjg6aqagHvVvTJ8/s1600/2019-Q1-SPX-Strangle-59-100-50-29-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="110" data-original-width="783" height="55" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhztUOu9DahNSY9_QSDIr94jvFqZABNXHtVtHU5_bPCVy3BQl_66PTqcGD1DK1-kKiWYJeDMUzgXNNhGaAzgmdrzONMz2NcY1OHhhjg4py3EqnK4MkRaEK4-zZHeKWTPjg6aqagHvVvTJ8/s400/2019-Q1-SPX-Strangle-59-100-50-29-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEihp0WwX-CLCYWg8J5WdztovvrOfVMX1CkTV7cjynFzrtpEbdiFwJKLJCNdzjbFOXV_KR3utVeOLHkXlWMehM9mTLzH_Jlq5oubhQnVUeKsbMDUCOAhAnWkI9lBQ3lOJdULQhBcS0OGb84/s1600/2019-Q1-SPX-Strangle-59-100-50-29-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="480" data-original-width="849" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEihp0WwX-CLCYWg8J5WdztovvrOfVMX1CkTV7cjynFzrtpEbdiFwJKLJCNdzjbFOXV_KR3utVeOLHkXlWMehM9mTLzH_Jlq5oubhQnVUeKsbMDUCOAhAnWkI9lBQ3lOJdULQhBcS0OGb84/s400/2019-Q1-SPX-Strangle-59-100-50-29-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhtZACaTrhVnX7HPg4gl6Nd3G34ih67vkOlIrgbFd_zBalKdcA54QTP08wwSHwXHkveCGTra3PYHBS0AM3sh1uS0Kca4NYxsQbBYE_AjPlg2iAwPWPcOA8XAlFQ6LF1FUdJKc8At5NDoVA/s1600/2019-Q1-SPX-Strangle-59-100-50-29-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="479" data-original-width="852" height="223" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhtZACaTrhVnX7HPg4gl6Nd3G34ih67vkOlIrgbFd_zBalKdcA54QTP08wwSHwXHkveCGTra3PYHBS0AM3sh1uS0Kca4NYxsQbBYE_AjPlg2iAwPWPcOA8XAlFQ6LF1FUdJKc8At5NDoVA/s400/2019-Q1-SPX-Strangle-59-100-50-29-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>59 DTE - 16 Delta Short Strikes (200:50) / 2 DTE</u></b><br />
<br />
The average monthly return for Q1 was +1%, versus the 2007 to 2018 monthly average of +3%. Total return for the quarter was +3%. Pretty bad return numbers, but at least we have positive returns overall. The average DIT for Q1 was 32, which was above the 2007 to 2018 average of 29 DIT.<br />
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiyMrDy0AouN1m80M8jaHxErkObG3-lhrgubazNXQiYPJranqC1IDWgBFJqamxR5gTEdH2ZB0OQZMeNr2nS3ibDwhDUg2_S7fc8XrnGBEMoIyczCHYjzEM6G9d50GBq-xJErx2ikrD5RcU/s1600/2019-Q1-SPX-Strangle-59-200-50-02-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="112" data-original-width="784" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiyMrDy0AouN1m80M8jaHxErkObG3-lhrgubazNXQiYPJranqC1IDWgBFJqamxR5gTEdH2ZB0OQZMeNr2nS3ibDwhDUg2_S7fc8XrnGBEMoIyczCHYjzEM6G9d50GBq-xJErx2ikrD5RcU/s400/2019-Q1-SPX-Strangle-59-200-50-02-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEguN5OSbmn-5vamOqwaFa7erKKpJHQ658muMFIo2w0wMvDFN4bIuqgy7EDeVQORcyERGuUfvDL5ZTz3glJ0d4NVoMWN5qD-HcZxLNai-FFqc-KLokMneFmiFVYbcwt5RWNrlEg1_vPX5RQ/s1600/2019-Q1-SPX-Strangle-59-200-50-02-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="482" data-original-width="851" height="226" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEguN5OSbmn-5vamOqwaFa7erKKpJHQ658muMFIo2w0wMvDFN4bIuqgy7EDeVQORcyERGuUfvDL5ZTz3glJ0d4NVoMWN5qD-HcZxLNai-FFqc-KLokMneFmiFVYbcwt5RWNrlEg1_vPX5RQ/s400/2019-Q1-SPX-Strangle-59-200-50-02-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEggel_wbR3dZI8WfpSSxeHQdjQkbXYuq0P7yGOe3K-r0EP9yZneHl4esHW-qba7dgTDdQR-J9beoEb6m896vm6SUOGbsN61eeLAPZFlx-tWEWL0s5pskCq77rmpfBNCwKnKD2p1hpvKLHM/s1600/2019-Q1-SPX-Strangle-59-200-50-02-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="479" data-original-width="848" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEggel_wbR3dZI8WfpSSxeHQdjQkbXYuq0P7yGOe3K-r0EP9yZneHl4esHW-qba7dgTDdQR-J9beoEb6m896vm6SUOGbsN61eeLAPZFlx-tWEWL0s5pskCq77rmpfBNCwKnKD2p1hpvKLHM/s400/2019-Q1-SPX-Strangle-59-200-50-02-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>59 DTE - 16 Delta Short Strikes (200:50) / 29 DTE</u></b><br />
<br />
The average monthly return for Q1 was +7%, versus the 2007 to 2018 monthly average of +3%. Total return for the quarter was +20%. Finally some good return numbers. The average DIT for Q1 was 23, which was below the 2007 to 2018 average of 25 DIT.<br />
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjL1MQ5wAccj47RLuX9NB7GN_9HYFHrB_YGuQc6Sowsil_J1f_EHgGzPCE3C7vNGBkrcQRQfPRIW8emNA4gml4d4mIe0ROYtGZBJZxUPyJKvs88JNvulsHT2makLCrVyZv2RK7m-rylAVo/s1600/2019-Q1-SPX-Strangle-59-200-50-29-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="112" data-original-width="782" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjL1MQ5wAccj47RLuX9NB7GN_9HYFHrB_YGuQc6Sowsil_J1f_EHgGzPCE3C7vNGBkrcQRQfPRIW8emNA4gml4d4mIe0ROYtGZBJZxUPyJKvs88JNvulsHT2makLCrVyZv2RK7m-rylAVo/s400/2019-Q1-SPX-Strangle-59-200-50-29-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh7ZRerY9yevK1zuwZdIRDTZGzaAjeJuysdB5DSFCZFNCiww-HSF3TcK0qlUFfgtdeXHcwIFp3-9t1bnDFvURRcdheogmK7JpFEfoLV5OTyu6TlRA4w7dKeG5_V2fLbMM83uJQhhClgoVA/s1600/2019-Q1-SPX-Strangle-59-200-50-29-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="479" data-original-width="850" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh7ZRerY9yevK1zuwZdIRDTZGzaAjeJuysdB5DSFCZFNCiww-HSF3TcK0qlUFfgtdeXHcwIFp3-9t1bnDFvURRcdheogmK7JpFEfoLV5OTyu6TlRA4w7dKeG5_V2fLbMM83uJQhhClgoVA/s400/2019-Q1-SPX-Strangle-59-200-50-29-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjGCyzl0uvpgf4OmV6UQWBTPB4nkHIxERLMqICH8W7nh-oP-rUWQ0wFpBehp0lI3PnC1x37EBhIR1x4ezOYTTIJ4xtrVjJ3XAs0yvuw2wKiCnR2EgfDSY8Dtz6rju1srXKTS7JGOpX9es4/s1600/2019-Q1-SPX-Strangle-59-200-50-29-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="479" data-original-width="850" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjGCyzl0uvpgf4OmV6UQWBTPB4nkHIxERLMqICH8W7nh-oP-rUWQ0wFpBehp0lI3PnC1x37EBhIR1x4ezOYTTIJ4xtrVjJ3XAs0yvuw2wKiCnR2EgfDSY8Dtz6rju1srXKTS7JGOpX9es4/s400/2019-Q1-SPX-Strangle-59-200-50-29-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<br />
<b><u>45 DTE - 16 Delta Short Strikes (200:50) / 2 DTE</u></b><br />
<br />
The average monthly return for Q1 was -26%, versus the 2007 to 2018 monthly average of +1%. Total return for the quarter was -73%. Horrible return numbers for the quarter. The average DIT for Q1 was 32, which was above the 2007 to 2018 average of 23 DIT.<br />
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhgxCxSwQFogBLurUS4hyfYSbgHIGak2KP2_FHk21T-oZik92uXeHbpMjmPQ_T0kYO-g_zbGRLt0CPIDS0myvlBCraL9H8NuAmz4BXo6jt_k0eGW6EqoR-Awiuq_8NI9U9Oz0BHcQi254Q/s1600/2019-Q1-SPX-Strangle-45-200-50-02-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="113" data-original-width="784" height="57" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhgxCxSwQFogBLurUS4hyfYSbgHIGak2KP2_FHk21T-oZik92uXeHbpMjmPQ_T0kYO-g_zbGRLt0CPIDS0myvlBCraL9H8NuAmz4BXo6jt_k0eGW6EqoR-Awiuq_8NI9U9Oz0BHcQi254Q/s400/2019-Q1-SPX-Strangle-45-200-50-02-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjfuRxhAHDkMDVGuf5IzvyMYKk7E9EXWeuqb7vs9rA0hP1vKB2WbNGR7V4mJQ2yscpnH52FC9LzP_HKGyJJvSFycM_BWyfOqhPq6Wa4eMXVBzUcxBamwUO6WuM-WeC12DS9VN2hM4c-Ds0/s1600/2019-Q1-SPX-Strangle-45-200-50-02-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="479" data-original-width="849" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjfuRxhAHDkMDVGuf5IzvyMYKk7E9EXWeuqb7vs9rA0hP1vKB2WbNGR7V4mJQ2yscpnH52FC9LzP_HKGyJJvSFycM_BWyfOqhPq6Wa4eMXVBzUcxBamwUO6WuM-WeC12DS9VN2hM4c-Ds0/s400/2019-Q1-SPX-Strangle-45-200-50-02-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgYo9jqwZrOwjRExFh3tFpqSpaO3gOI9OQRsQnOR3UK1lkS5HCItrTYqZo-Zl6MMfbDtQzmH0cOJ_1vOIdcHVDRhA7J0Sq3TNQ8HFw5LTFBElsgRp5uxY7rkfJiljVZkJUPGSWB50iwFV0/s1600/2019-Q1-SPX-Strangle-45-200-50-02-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="481" data-original-width="851" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgYo9jqwZrOwjRExFh3tFpqSpaO3gOI9OQRsQnOR3UK1lkS5HCItrTYqZo-Zl6MMfbDtQzmH0cOJ_1vOIdcHVDRhA7J0Sq3TNQ8HFw5LTFBElsgRp5uxY7rkfJiljVZkJUPGSWB50iwFV0/s400/2019-Q1-SPX-Strangle-45-200-50-02-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<br />
<b><u>45 DTE - 16 Delta Short Strikes (200:50) / 22 DTE</u></b><br />
<br />
The average monthly return for Q1 was -19%, versus the 2007 to 2018 monthly average of +1%. Total return for the quarter was -57%. Again, horrible return numbers for the 45 DTE variations. The average DIT for Q1 was 21, which was above the 2007 to 2018 average of 19 DIT.<br />
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhwMUx_wSRsx9TA5YmLOYTziJ3AMx9rD_iJen_QxKpEn8K3v-YRIq-grLg3Y0t5l_A6lhUBsSD6uED2CvlKxzXy9qWJTI09rQgahny41239HIEz2v70BAXkPs5l-6m26mAMC-gjnG6ezB8/s1600/2019-Q1-SPX-Strangle-45-200-50-22-Returns-Table.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="112" data-original-width="784" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhwMUx_wSRsx9TA5YmLOYTziJ3AMx9rD_iJen_QxKpEn8K3v-YRIq-grLg3Y0t5l_A6lhUBsSD6uED2CvlKxzXy9qWJTI09rQgahny41239HIEz2v70BAXkPs5l-6m26mAMC-gjnG6ezB8/s400/2019-Q1-SPX-Strangle-45-200-50-22-Returns-Table.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiLV4M352amOslsWGhDbxDsK3a0YOSYzOqnWuYoDfeBP35LG0-2E_vfGrQlWhbZkcjQPBd6SpY6UjARB15pFoMYET9QI-ucKfJTUSBkrVCxlcGswIW4UuaNDFzOhYe1nJr67cJQMNbqIXc/s1600/2019-Q1-SPX-Strangle-45-200-50-22-Returns-Metrics-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="481" data-original-width="851" height="225" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiLV4M352amOslsWGhDbxDsK3a0YOSYzOqnWuYoDfeBP35LG0-2E_vfGrQlWhbZkcjQPBd6SpY6UjARB15pFoMYET9QI-ucKfJTUSBkrVCxlcGswIW4UuaNDFzOhYe1nJr67cJQMNbqIXc/s400/2019-Q1-SPX-Strangle-45-200-50-22-Returns-Metrics-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEimAAGVN9UzqboqLKw-Ot_yt1zHflC3J5Uma2FCRNSPWMKWZYZbb3u2QwIV8C0aS54aqjvV-2Vk9GKx6anGZw3tpiZpDkYMTdxM8GFmQJ_W-ml5ewfvb1OdTMA92cjYD01bDH5Lcwyoxgo/s1600/2019-Q1-SPX-Strangle-45-200-50-22-DIT-Chart.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="481" data-original-width="849" height="226" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEimAAGVN9UzqboqLKw-Ot_yt1zHflC3J5Uma2FCRNSPWMKWZYZbb3u2QwIV8C0aS54aqjvV-2Vk9GKx6anGZw3tpiZpDkYMTdxM8GFmQJ_W-ml5ewfvb1OdTMA92cjYD01bDH5Lcwyoxgo/s400/2019-Q1-SPX-Strangle-45-200-50-22-DIT-Chart.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
In the next post, we'll review the Q1 returns for the SPX straddle variations.<br />
<br />
<br />
<i>If you don't want to miss my new blog posts, follow my blog either by email, RSS feed or by Twitter. All options are free, and are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", </i><i>"Follow By Email", and "Twitter"</i><i>. I follow blogs by RSS using <a href="http://feedly.com/#discover">Feedly</a>, but any RSS reader will work.</i><br />
<i><br /></i>Unknownnoreply@blogger.com0tag:blogger.com,1999:blog-771169794002155719.post-15337157204425633382019-05-13T09:00:00.000-06:002019-05-13T09:00:00.834-06:00SPX Iron Condor - 2018 ReviewIn this post we'll look at how the SPX iron condor has been performing since I last analyzed its results back in 2016 (<a href="http://dtr-trading.blogspot.com/p/spx.html">here</a>). For this article, we'll just look at the following variations and how they performed from January 2007 through December 2018:
<br />
<ol>
<li><b>66 DTE - 25 pt wings, 12 Delta (200:50) / 2 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>66 DTE - <b>25 pt wings, </b>12 Delta (200:50) / 33 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 33 DTE.</li>
<li><b>73 DTE - <b>25 pt wings, </b>12 Delta (200:50) / 2 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>73 DTE - <b>25 pt wings, </b>12 Delta (200:50) / 37 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 37 DTE.</li>
<li><b>45 DTE - <b>25 pt wings, </b>16 Delta (200:50) / 2 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>45 DTE - <b>25 pt wings, </b>16 Delta (200:50) / 22 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 22 DTE.</li>
</ol>
For these backtests, I used the maximum margin requirement generated in a backtest run for each of the six strategy variations above. The maximum possible without any credit would have been $2.5K for an IC with 25 point wings. The performance of these variations in 2015 is shown in the tables below.
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj7k1TSc_gHy9BXm13HeK8xQs4h3oM7YgHu652dtq0oZvNuYbceBk05rLSaL-wLWdFk-z8C6yZF2Gfh7mUqES7RXnGOcBG57d18OwmT88TQiehKsgzQ4LRIatY0Dccn3JPPmfl3ZV8uzVg/s1600/2007-2015-SPX-IC-Returns-Metrics.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="248" data-original-width="803" height="122" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj7k1TSc_gHy9BXm13HeK8xQs4h3oM7YgHu652dtq0oZvNuYbceBk05rLSaL-wLWdFk-z8C6yZF2Gfh7mUqES7RXnGOcBG57d18OwmT88TQiehKsgzQ4LRIatY0Dccn3JPPmfl3ZV8uzVg/s400/2007-2015-SPX-IC-Returns-Metrics.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiNbHsOsD7IeJNAuhtdC8YUYMYZyeVCXEiBFJPMNh4JvIl-E0mzTsXfjU50SM689sU3fZPMMozlbrppa9e_YqTZzXx27k_oWabavWXYqiBBj4Xoe_uVP53C9ipOR0obbgiG3pCEJlOHl8E/s1600/2007-2015-SPX-IC-Trade-Metrics.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="248" data-original-width="803" height="122" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiNbHsOsD7IeJNAuhtdC8YUYMYZyeVCXEiBFJPMNh4JvIl-E0mzTsXfjU50SM689sU3fZPMMozlbrppa9e_YqTZzXx27k_oWabavWXYqiBBj4Xoe_uVP53C9ipOR0obbgiG3pCEJlOHl8E/s400/2007-2015-SPX-IC-Trade-Metrics.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
Now let's look at the metrics again, but adding in the results through December 2018. The tables below show the same metrics, but highlight which metrics have increased, which metrics have decreased, and which metric are unchanged.
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi-OAys0H1yNGOF-VyChpETued1G26OQsdmXs8ePOVOdCCdqwKV2rKe7vcHhJ0-a0hudvzN9AuF8VZ94BZuUPrrNRjGNXaR_HL5WSyTSVSr9e0GpVcSZVdSXRrCly4F4dUSPCwJWnrU06s/s1600/2007-2018-SPX-IC-Returns-Metrics.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="248" data-original-width="952" height="103" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi-OAys0H1yNGOF-VyChpETued1G26OQsdmXs8ePOVOdCCdqwKV2rKe7vcHhJ0-a0hudvzN9AuF8VZ94BZuUPrrNRjGNXaR_HL5WSyTSVSr9e0GpVcSZVdSXRrCly4F4dUSPCwJWnrU06s/s400/2007-2018-SPX-IC-Returns-Metrics.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgS0V2_htB_WkAjMM0yAPiUQYFehKiQW5Cc2hp9z4hdLZvjqmrkUpNJZb1Yf0zv3ft-Z7mDnjXUFFHJjbP6KRz-KGBNIoe0dba74u16cS2pRelpEm_HdL1_Q96S63DMV5tfYrpI_1AQmLA/s1600/2007-2018-SPX-IC-Trade-Metrics.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="248" data-original-width="952" height="103" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgS0V2_htB_WkAjMM0yAPiUQYFehKiQW5Cc2hp9z4hdLZvjqmrkUpNJZb1Yf0zv3ft-Z7mDnjXUFFHJjbP6KRz-KGBNIoe0dba74u16cS2pRelpEm_HdL1_Q96S63DMV5tfYrpI_1AQmLA/s400/2007-2018-SPX-IC-Trade-Metrics.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<span style="background-color: white;">The metrics in both tables above have mostly either worsened or stayed the same across all variations.</span><br />
<span style="background-color: white;"><br /></span>
<span style="background-color: white;">The corresponding equity curves for these variations are shown in the chart below, along with the chart of the SPX during this same time period.</span><br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgRhgIPotdozrBHag1alaZADKxBEEbgpRxgtu6vueM8PSEY7PjuQF6uUSsEXHwWnWjnqeZusL58xvmtNStWza59P8JPjwUuPBK_qPnILO45jKze-Ptcn3glHJPa7_xjbWKgUGUf9Kr6Ooc/s1600/2007-2018-SPX-IC-Trade-EQ.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="655" data-original-width="1302" height="200" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgRhgIPotdozrBHag1alaZADKxBEEbgpRxgtu6vueM8PSEY7PjuQF6uUSsEXHwWnWjnqeZusL58xvmtNStWza59P8JPjwUuPBK_qPnILO45jKze-Ptcn3glHJPa7_xjbWKgUGUf9Kr6Ooc/s400/2007-2018-SPX-IC-Trade-EQ.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj20Wg3tlcN8ojEEqweaXbrRED7ABDhhkLorW5QgAFhvZ3SVTHaOTraDWVV_nGrR9eFv32T0h_MNaEOmt0G3FXWZ9up2y7f70N3nbMMhLIxzoIo52azBaSciY74PCYENkN-aYPYoz3ETGc/s1600/2007-2018-SPX.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="654" data-original-width="1302" height="200" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj20Wg3tlcN8ojEEqweaXbrRED7ABDhhkLorW5QgAFhvZ3SVTHaOTraDWVV_nGrR9eFv32T0h_MNaEOmt0G3FXWZ9up2y7f70N3nbMMhLIxzoIo52azBaSciY74PCYENkN-aYPYoz3ETGc/s400/2007-2018-SPX.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
In case you're interested, I've included the updated return percentages for each variation below.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiTPOdJ_W39iEdT5rdANsHd-HDfOA6t1wqw-Nt9cb3Lvkra4ZxgGGkyJIpGFd5_nah4vWJtxJmfIRnVjNO5D-pyz_U6nW2pTS1sHiMBgR83RWUHqAucGIPcVIuDfM409ToR9Z6KK8sNasQ/s1600/2007-2018-SPX-IC-66-200-50-02-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="204" data-original-width="741" height="110" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiTPOdJ_W39iEdT5rdANsHd-HDfOA6t1wqw-Nt9cb3Lvkra4ZxgGGkyJIpGFd5_nah4vWJtxJmfIRnVjNO5D-pyz_U6nW2pTS1sHiMBgR83RWUHqAucGIPcVIuDfM409ToR9Z6KK8sNasQ/s400/2007-2018-SPX-IC-66-200-50-02-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(average return per year: 41.7%)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEghXLosCR5PNJ_Wx9IVIattjeQTTxTfRlNPm01jw4WUWOKtTSmJ63_Gy4xzinW6-QkIrO7rCJRB1sM26OqmG7NFWXaKCkngNPQI7HQEVGQgzFc8YSlPk964RMlBwEBM1cacqBOHZp7J7iE/s1600/2007-2018-SPX-IC-66-200-50-33-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="203" data-original-width="740" height="108" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEghXLosCR5PNJ_Wx9IVIattjeQTTxTfRlNPm01jw4WUWOKtTSmJ63_Gy4xzinW6-QkIrO7rCJRB1sM26OqmG7NFWXaKCkngNPQI7HQEVGQgzFc8YSlPk964RMlBwEBM1cacqBOHZp7J7iE/s400/2007-2018-SPX-IC-66-200-50-33-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(average return per year: 43.9%)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjxXOm9P8SP1_r0bwwBvsbIRSZBGrrL8lDzWORPxg0ZzmRQpaRoq7ZwWQaei1WV03IdFvc-wY0DpZ2yRhlOE3wXkbzSDFiNB3iDTamjky0_eDVri1-OtyoqM-ZE-Lsq4uwhOl4TQG2n4O0/s1600/2007-2018-SPX-IC-73-200-50-02-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="203" data-original-width="740" height="107" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjxXOm9P8SP1_r0bwwBvsbIRSZBGrrL8lDzWORPxg0ZzmRQpaRoq7ZwWQaei1WV03IdFvc-wY0DpZ2yRhlOE3wXkbzSDFiNB3iDTamjky0_eDVri1-OtyoqM-ZE-Lsq4uwhOl4TQG2n4O0/s400/2007-2018-SPX-IC-73-200-50-02-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(average return per year: 17.4%)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjT6oQG0l4YQwxERRRYxPG7lPmDZblJ2v4X8xtRWxG3CCbpCDGktF10-T_zn1WU5SNqk0lM0bKWOuxdc6kcxARpotYKQ992qt_potH5lNc57a4xlnUDLvxxNl6MRNTq_oc2JTVLGtzAeno/s1600/2007-2018-SPX-IC-73-200-50-37-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="204" data-original-width="741" height="110" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjT6oQG0l4YQwxERRRYxPG7lPmDZblJ2v4X8xtRWxG3CCbpCDGktF10-T_zn1WU5SNqk0lM0bKWOuxdc6kcxARpotYKQ992qt_potH5lNc57a4xlnUDLvxxNl6MRNTq_oc2JTVLGtzAeno/s400/2007-2018-SPX-IC-73-200-50-37-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(average return per year: 16.9%)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhXErvoe0bJ3NwwPiuSaIww2fMbjJyMIkGv-WPhQ-t6HJr4X4R8C4IdWEh27smhuC1Oc8fP2q-HUKcjgwKmNt1U6eXPA6K_ec-p9BXjWncXtODEVpP6Oyico2a-vFB4DIB28pQkrtcUxoM/s1600/2007-2018-SPX-IC-45-200-50-02-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="202" data-original-width="742" height="108" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhXErvoe0bJ3NwwPiuSaIww2fMbjJyMIkGv-WPhQ-t6HJr4X4R8C4IdWEh27smhuC1Oc8fP2q-HUKcjgwKmNt1U6eXPA6K_ec-p9BXjWncXtODEVpP6Oyico2a-vFB4DIB28pQkrtcUxoM/s400/2007-2018-SPX-IC-45-200-50-02-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(average return per year: 32.2%)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiI9D5TAPVTmNgRXr87j7OLwfLwe9x6Se4bXsGVS3wPfweqvt0YRSIjdAa83ECQqzqzYL0Oln8oU42T1J4wachwOkwLzXyBJcfgymMs_SgHNXnpahrBOmsFHFogSBuyQEPA0r2cZ5tYTjM/s1600/2007-2018-SPX-IC-45-200-50-22-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="203" data-original-width="741" height="108" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiI9D5TAPVTmNgRXr87j7OLwfLwe9x6Se4bXsGVS3wPfweqvt0YRSIjdAa83ECQqzqzYL0Oln8oU42T1J4wachwOkwLzXyBJcfgymMs_SgHNXnpahrBOmsFHFogSBuyQEPA0r2cZ5tYTjM/s400/2007-2018-SPX-IC-45-200-50-22-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(average return per year: 20.6%)</td></tr>
</tbody></table>
<br />
2018 had some of the lowest returns for these iron condors, with all the returns lower than their average annual returns.<br />
<br />
<br />
<i>If you don't want to miss my new blog posts, follow my blog either by email, RSS feed or by Twitter. All options are free, and are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", </i><i>"Follow By Email", and "Twitter"</i><i>. I follow blogs by RSS using <a href="http://feedly.com/#discover">Feedly</a>, but any RSS reader will work.</i><br />
<br />Unknownnoreply@blogger.com0tag:blogger.com,1999:blog-771169794002155719.post-72696568907211111302019-05-06T09:00:00.000-06:002019-05-11T14:38:32.051-06:00SPX Straddle - 2018 Review<div class="separator" style="clear: both; text-align: left;">
In this post we'll look at how the SPX straddle has been performing since I last analyzed its results back in 2015 (<a href="http://dtr-trading.blogspot.com/2015/11/spx-straddle-backtest-results-summary.html">here</a>). For this article, we'll just look at the following variations and how they performed from January 2007 through December 2018:</div>
<div class="separator" style="clear: both; text-align: left;">
<br /></div>
<div class="separator" style="clear: both; text-align: left;">
</div>
<ol>
<li><b>59 DTE - (25:10) / 2 DTE</b> - exit if the trade has a loss of 25% of its initial credit <i>OR</i> if the trade has a profit of 10% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>59 DTE - (25:10) / 41 DTE</b> - exit if the trade has a loss of 25% of its initial credit <i>OR</i> if the trade has a profit of 10% of its initial credit <i>OR</i> at 41 DTE.</li>
<li><b>59 DTE - (50:25) / 2 DTE</b> - exit if the trade has a loss of 50% of its initial credit <i>OR</i> if the trade has a profit of 25% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>59 DTE - (50:25) / 24 DTE</b> - exit if the trade has a loss of 50% of its initial credit <i>OR</i> if the trade has a profit of 25% of its initial credit <i>OR</i> at 24 DTE.</li>
<li><b>45 DTE - (150:25) / 2 DTE</b> - exit if the trade has a loss of 150% of its initial credit <i>OR</i> if the trade has a profit of 25% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>45 DTE - (150:25) / 31 DTE</b> - exit if the trade has a loss of 150% of its initial credit <i>OR</i> if the trade has a profit of 25% of its initial credit <i>OR</i> at 31 DTE.</li>
</ol>
<div class="separator" style="clear: both; text-align: left;">
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<div class="separator" style="clear: both; text-align: left;">
For these backtests, I used the Portfolio Margin (PM) requirements for straddles from TD/ThinkOrSwim from 13-Apr-2019. These numbers were $24K for 59 DTE straddles, and $25.5K for 45 DTE straddles. The performance of these variations in 2015 is shown in the tables below.</div>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiGxLWkn9Sc9KfW8KIAnrgZUIkgA6uiXg64TGy3Td9MFpbByF7LP8kAxB-cZ6soV-ZhfDXVLQ5AeeyE3-r5Y7vSx3Rq_YzV9CdBiAGpTuN4MzqUJbZrKD4QzadPM5z1Ek_z09idz8IaCh8/s1600/2007-2015-SPX-Straddle-Returns-Metrics.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="247" data-original-width="812" height="121" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiGxLWkn9Sc9KfW8KIAnrgZUIkgA6uiXg64TGy3Td9MFpbByF7LP8kAxB-cZ6soV-ZhfDXVLQ5AeeyE3-r5Y7vSx3Rq_YzV9CdBiAGpTuN4MzqUJbZrKD4QzadPM5z1Ek_z09idz8IaCh8/s400/2007-2015-SPX-Straddle-Returns-Metrics.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhSpQMHGtFJYkYPudJuChf1vgYWPAExGQsXOzGMsJO0PRguPSTp2yquAEaIUGHgayN_DZMjGOAbNw3TjqS_cgIVnysM_BdXJH7BaD9nNB2DUmYyyxkUnfGpeeXYykYHp5vfTeHSF9sHC24/s1600/2007-2015-SPX-Straddle-Trade-Metrics.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="248" data-original-width="802" height="122" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhSpQMHGtFJYkYPudJuChf1vgYWPAExGQsXOzGMsJO0PRguPSTp2yquAEaIUGHgayN_DZMjGOAbNw3TjqS_cgIVnysM_BdXJH7BaD9nNB2DUmYyyxkUnfGpeeXYykYHp5vfTeHSF9sHC24/s400/2007-2015-SPX-Straddle-Trade-Metrics.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<div class="separator" style="clear: both; text-align: center;">
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Now let's look at the metrics again, but adding in the results through December 2018. The tables below show the same metrics, but highlight which metrics have increased, which metrics have decreased, and which metric are unchanged.<br />
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<div class="separator" style="clear: both; text-align: center;">
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgs8AXolBCp7FJG0iQChyphenhyphenn_by_5l2uWxHsii-dVo1kE1a3MEiP6rMeEZJ3-4Uxu0sf3lCKfvwug9HwvqRJ4UioGZQgSZAIYDBxMD4tFE-epWioJEWiXqJ-qpCqcxoN27MHnmn4fmRqYDbI/s1600/2007-2018-SPX-Straddle-Returns-Metrics.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="251" data-original-width="952" height="105" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgs8AXolBCp7FJG0iQChyphenhyphenn_by_5l2uWxHsii-dVo1kE1a3MEiP6rMeEZJ3-4Uxu0sf3lCKfvwug9HwvqRJ4UioGZQgSZAIYDBxMD4tFE-epWioJEWiXqJ-qpCqcxoN27MHnmn4fmRqYDbI/s400/2007-2018-SPX-Straddle-Returns-Metrics.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgvez-voIIleTu8EQUx1t2U5kriNezKNjT4tjTvlMkLgxWjxqEShNBsch-VGqBmRQea_JlP2W8ww9WOvutSXi61GIHliuf_4bHDp8-E3SjtA-Et7noVROypR1Rk6qyTICPbbVoPPGsZF84/s1600/2007-2018-SPX-Straddle-Trade-Metrics.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="249" data-original-width="953" height="103" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgvez-voIIleTu8EQUx1t2U5kriNezKNjT4tjTvlMkLgxWjxqEShNBsch-VGqBmRQea_JlP2W8ww9WOvutSXi61GIHliuf_4bHDp8-E3SjtA-Et7noVROypR1Rk6qyTICPbbVoPPGsZF84/s400/2007-2018-SPX-Straddle-Trade-Metrics.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The return metrics (top table) are a mixed bag across all variations. The 59 DTE - 25:10 variations showed performance improvements, the 59 DTE - 50:25 variations were flat/down, and the 45 DTE show performance deterioration. The 59 DTE - 25:10 variation also had improved metrics in the second table.<br />
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The corresponding equity curves for these variations are shown in the chart below, along with the chart of the SPX during this same time period.<br />
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhwXXYv3Ok0ZwmMUPDLzFhSOmtePy2UaHNKuYEf19Qna1huMxtLTRu1EWehRGnwX1XoI2dgHmOAleCMwVy7smhMubqzTihjTguY0toaV0s7Yt_aYsIn6JBQ3Cwa-nJxD4qPCJ9e8rf3Hww/s1600/2007-2018-SPX-Straddle-EQ.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="655" data-original-width="1301" height="201" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhwXXYv3Ok0ZwmMUPDLzFhSOmtePy2UaHNKuYEf19Qna1huMxtLTRu1EWehRGnwX1XoI2dgHmOAleCMwVy7smhMubqzTihjTguY0toaV0s7Yt_aYsIn6JBQ3Cwa-nJxD4qPCJ9e8rf3Hww/s400/2007-2018-SPX-Straddle-EQ.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj20Wg3tlcN8ojEEqweaXbrRED7ABDhhkLorW5QgAFhvZ3SVTHaOTraDWVV_nGrR9eFv32T0h_MNaEOmt0G3FXWZ9up2y7f70N3nbMMhLIxzoIo52azBaSciY74PCYENkN-aYPYoz3ETGc/s1600/2007-2018-SPX.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="654" data-original-width="1302" height="200" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj20Wg3tlcN8ojEEqweaXbrRED7ABDhhkLorW5QgAFhvZ3SVTHaOTraDWVV_nGrR9eFv32T0h_MNaEOmt0G3FXWZ9up2y7f70N3nbMMhLIxzoIo52azBaSciY74PCYENkN-aYPYoz3ETGc/s400/2007-2018-SPX.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
In case you're interested, I've included the updated return percentages for each variation below.<br />
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh84WtgIY_S1cb7ktpzyO_vzKqJ8WBzxUawuQMN3vB10-JJMFb-BcsF-phH7KJJfnJf3Tx3Vxo0Ncznna8h6wNwmTVL00d6tDAQon1gLAyu0f8VjpOxYan-y_X8hFhiCszldQD-SXyb0uI/s1600/2007-2018-SPX-Strangle-59-25-10-02-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="204" data-original-width="739" height="110" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh84WtgIY_S1cb7ktpzyO_vzKqJ8WBzxUawuQMN3vB10-JJMFb-BcsF-phH7KJJfnJf3Tx3Vxo0Ncznna8h6wNwmTVL00d6tDAQon1gLAyu0f8VjpOxYan-y_X8hFhiCszldQD-SXyb0uI/s400/2007-2018-SPX-Strangle-59-25-10-02-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(average return per year: 21.8%)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiP3NTnJjBCiEc9KkofIqR3-tEKNfF8NyFo-_gP15HgEo2t-62K-3bHN2AJBYfAUkDS29hrxOiQmPfYAcBk9UIXco-nZaokUFkdWY51yKqNIo-QZyMjyfPzFBwmBfzJnuBFfSPFvARspCU/s1600/2007-2018-SPX-Strangle-59-25-10-41-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="205" data-original-width="743" height="110" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiP3NTnJjBCiEc9KkofIqR3-tEKNfF8NyFo-_gP15HgEo2t-62K-3bHN2AJBYfAUkDS29hrxOiQmPfYAcBk9UIXco-nZaokUFkdWY51yKqNIo-QZyMjyfPzFBwmBfzJnuBFfSPFvARspCU/s400/2007-2018-SPX-Strangle-59-25-10-41-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(average return per year: 15.6%)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhffzzzD0i8Xoy9mmQSiNea5nuRrtjs8nyjqypk_ONa_3oliOwu2RSRMM2bQCGbgdJOHyQfhM8b7RPs7cHjZ31QiWni-i6D0426bU9fr2_2EtCQF_kgkEKrr8NjInV5xdXCAxeeUbbFzVs/s1600/2007-2018-SPX-Strangle-59-50-25-02-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="204" data-original-width="740" height="110" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhffzzzD0i8Xoy9mmQSiNea5nuRrtjs8nyjqypk_ONa_3oliOwu2RSRMM2bQCGbgdJOHyQfhM8b7RPs7cHjZ31QiWni-i6D0426bU9fr2_2EtCQF_kgkEKrr8NjInV5xdXCAxeeUbbFzVs/s400/2007-2018-SPX-Strangle-59-50-25-02-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(average return per year: 47.5%)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgujnzrOE3yBQW5coNKSdZidLUehTRfgSVn4EPchwpIBKsele0ZRWbyRp20xhxumo6n9B-6Vgdtp2EHVguZmfI-GsczFezDacRNUEmejWYPtR_fAmvR_Z9tPz3oH1h8oqnv6EZsG52yYrs/s1600/2007-2018-SPX-Strangle-59-50-25-24-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="205" data-original-width="736" height="110" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgujnzrOE3yBQW5coNKSdZidLUehTRfgSVn4EPchwpIBKsele0ZRWbyRp20xhxumo6n9B-6Vgdtp2EHVguZmfI-GsczFezDacRNUEmejWYPtR_fAmvR_Z9tPz3oH1h8oqnv6EZsG52yYrs/s400/2007-2018-SPX-Strangle-59-50-25-24-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(average return per year: 45.4%)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhLYUxjZOO7F8WPoAgVFyUtoO4dY2KjB3CZ1F1j9yALgMQC5FJtqP6SWNWmYuGE5fBOI1zIOgTICdw8Pd74GhZ_k8p5XSGb0taPXmg0AHV6UA0HpfGjT2tGXMCmryfIvE5bAhcjTn22ex8/s1600/2007-2018-SPX-Strangle-45-150-25-02-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="203" data-original-width="741" height="107" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhLYUxjZOO7F8WPoAgVFyUtoO4dY2KjB3CZ1F1j9yALgMQC5FJtqP6SWNWmYuGE5fBOI1zIOgTICdw8Pd74GhZ_k8p5XSGb0taPXmg0AHV6UA0HpfGjT2tGXMCmryfIvE5bAhcjTn22ex8/s400/2007-2018-SPX-Strangle-45-150-25-02-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(average return per year: 28.1%)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhGHQqxZCZR0sglKGRffM1_9VeWrv3VT_WEQmyW1dgvITCnouetXGZIJh0hNdR6Npp3dmb-dGWf9T7sOdoGuaNMW0WXLxSyogzzeLKJ4UInmiS1A0xKcet0psKWcI2y2EhlnIWd4SP2XDE/s1600/2007-2018-SPX-Strangle-45-150-25-31-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="204" data-original-width="738" height="110" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhGHQqxZCZR0sglKGRffM1_9VeWrv3VT_WEQmyW1dgvITCnouetXGZIJh0hNdR6Npp3dmb-dGWf9T7sOdoGuaNMW0WXLxSyogzzeLKJ4UInmiS1A0xKcet0psKWcI2y2EhlnIWd4SP2XDE/s400/2007-2018-SPX-Strangle-45-150-25-31-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(average return per year: 14.1%)</td></tr>
</tbody></table>
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</div>
<br />
2018 had some of the lowest returns for these straddles, with all the returns lower than their average annual returns.<br />
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<br />Unknownnoreply@blogger.com0tag:blogger.com,1999:blog-771169794002155719.post-53453155166352835072019-04-17T10:44:00.000-06:002019-08-28T17:35:16.111-06:00SPX Strangle - 2018 Review<div class="separator" style="clear: both; text-align: left;">
I've been a little curious how the SPX strangle has been performing since I last analyzed its results back in 2015 (<a href="http://dtr-trading.blogspot.com/2015/08/spx-strangle-backtest-results-summary.html">here</a>). For this article, we'll just look at the following variations and how they performed from January 2007 through December 2018:</div>
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<ol>
<li><b>59 DTE - 16 Delta Short Strikes (100:50) / 2 DTE</b> - exit if the trade has a loss of 100% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>59 DTE - 16 Delta Short Strikes (100:50) / 29 DTE</b> - exit if the trade has a loss of 100% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 29 DTE.</li>
<li><b>59 DTE - 16 Delta Short Strikes (200:50) / 2 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>59 DTE - 16 Delta Short Strikes (200:50) / 29 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 29 DTE.</li>
<li><b>45 DTE - 16 Delta Short Strikes (200:50) / 2 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 2 DTE.</li>
<li><b>45 DTE - 16 Delta Short Strikes (200:50) / 22 DTE</b> - exit if the trade has a loss of 200% of its initial credit <i>OR</i> if the trade has a profit of 50% of its initial credit <i>OR</i> at 22 DTE.</li>
</ol>
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<div class="separator" style="clear: both; text-align: left;">
For these backtests, I used the Portfolio Margin (PM) requirements for strangles from TD/ThinkOrSwim from last weekend (13-Apr-2019). These numbers were $16K for 59 DTE strangles, and $19K for 45 DTE strangles. The performance of these variations in 2015 is shown in the tables below.</div>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg5YEGYT1Ee6P65ETnMzSSYssDemwJR-dIiM-ufXTcnB92yqezKdlwq3CPu3k9OOPnorAAcuDTk6_dQXpyz7qT1VWY2Jk_Bx7xsaCAr5WL8nFG7e4mIS-ApxGrXsbp9kcjt87-nLp1YUT0/s1600/2007-2015-SPX-Strangle-Returns-Metrics.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="265" data-original-width="814" height="130" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg5YEGYT1Ee6P65ETnMzSSYssDemwJR-dIiM-ufXTcnB92yqezKdlwq3CPu3k9OOPnorAAcuDTk6_dQXpyz7qT1VWY2Jk_Bx7xsaCAr5WL8nFG7e4mIS-ApxGrXsbp9kcjt87-nLp1YUT0/s400/2007-2015-SPX-Strangle-Returns-Metrics.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEguH1jxVx0-VGGqaV-lIRgkq_nI6ricCrPaxkNWTJYWYzkqeoan3RSKKXRJKNYy2yPRMnvwYjRan28y2FFFOmbKS10w_bap6gi4hOXV-6ZIprM7QzsV3kvel87d51FAxl2D0geTiNT7230/s1600/2007-2015-SPX-Strangle-Trade-Metrics.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="265" data-original-width="802" height="131" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEguH1jxVx0-VGGqaV-lIRgkq_nI6ricCrPaxkNWTJYWYzkqeoan3RSKKXRJKNYy2yPRMnvwYjRan28y2FFFOmbKS10w_bap6gi4hOXV-6ZIprM7QzsV3kvel87d51FAxl2D0geTiNT7230/s400/2007-2015-SPX-Strangle-Trade-Metrics.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
Now let's look at the metrics again, but adding in the results through December 2018. The tables below show the same metrics, but highlight which metrics have increased, which metrics have decreased, and which metric are unchanged.<br />
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgLK8_z77owEeXmYjxglaIn0KfL71B5WU-vBjxScShlZTsWEd_I5JbGc4lh-xIohG1CG0lXaCWIjthbD6pbvwOtuaMOfVLydG9NsUxzMHFiKQPa4ToL5Whdm2_JC55Hm5IiJsVNdeVjtTg/s1600/2007-2018-SPX-Strangle-Returns-Metrics-Arrows.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="265" data-original-width="953" height="110" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgLK8_z77owEeXmYjxglaIn0KfL71B5WU-vBjxScShlZTsWEd_I5JbGc4lh-xIohG1CG0lXaCWIjthbD6pbvwOtuaMOfVLydG9NsUxzMHFiKQPa4ToL5Whdm2_JC55Hm5IiJsVNdeVjtTg/s400/2007-2018-SPX-Strangle-Returns-Metrics-Arrows.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEho27Odpe-M05-VKAzCiJQVtphvBhWmnj7cSba-1axXaYi-N2HinaeYxCxn-fiW5SEB9_VG__oC4vgrnzCcuzYfqOiUs5YAoBhlEKI6vI9ZV_cFFaipZ2E0I7f7svOzKZ4OC7poXrCf-zA/s1600/2007-2018-SPX-Strangle-Trade-Metrics-Arrows.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="264" data-original-width="952" height="110" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEho27Odpe-M05-VKAzCiJQVtphvBhWmnj7cSba-1axXaYi-N2HinaeYxCxn-fiW5SEB9_VG__oC4vgrnzCcuzYfqOiUs5YAoBhlEKI6vI9ZV_cFFaipZ2E0I7f7svOzKZ4OC7poXrCf-zA/s400/2007-2018-SPX-Strangle-Trade-Metrics-Arrows.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The return metrics (top table) have generally improved across all variations. The variation taking losses at 100% of the credit received had improved metrics in the second table.<br />
<br />
The corresponding equity curves for these variations are shown in the chart below, along with the chart of the SPX during this same time period.<br />
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEijq55cBjNYtBT80SNpENPb0TOHBtUOntbdhnScWA3i11TTEx7CckStdebGLcxwEB8O5GgzMoFPAEo649KARJ2ByB4dlPJrYqIu1cUbU30QZJUqUSSjMdwFkvchKP0l25EATwWheD0Zq8I/s1600/2007-2018-SPX-Strangle-59DTE.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="656" data-original-width="1303" height="201" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEijq55cBjNYtBT80SNpENPb0TOHBtUOntbdhnScWA3i11TTEx7CckStdebGLcxwEB8O5GgzMoFPAEo649KARJ2ByB4dlPJrYqIu1cUbU30QZJUqUSSjMdwFkvchKP0l25EATwWheD0Zq8I/s400/2007-2018-SPX-Strangle-59DTE.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj20Wg3tlcN8ojEEqweaXbrRED7ABDhhkLorW5QgAFhvZ3SVTHaOTraDWVV_nGrR9eFv32T0h_MNaEOmt0G3FXWZ9up2y7f70N3nbMMhLIxzoIo52azBaSciY74PCYENkN-aYPYoz3ETGc/s1600/2007-2018-SPX.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="654" data-original-width="1302" height="200" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj20Wg3tlcN8ojEEqweaXbrRED7ABDhhkLorW5QgAFhvZ3SVTHaOTraDWVV_nGrR9eFv32T0h_MNaEOmt0G3FXWZ9up2y7f70N3nbMMhLIxzoIo52azBaSciY74PCYENkN-aYPYoz3ETGc/s400/2007-2018-SPX.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
In case you're interested, I've included the updated return percentages for each variation below.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjkaiMxpokcYwExrkxRZ8g0Zk75lRV9thm2nLV3dHEbZ_j2RQWUFNJzUtyb1QH3N3NpWLRvRoT1COwCpIf0Fjk8VYL4GHm2ss_XenMAcZ-YvqQTHMUHH5p7ZyMZ8pGqZYU19hxIn_sx1_s/s1600/2007-2018-SPX-Strangle-59-100-50-02-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="218" data-original-width="752" height="115" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjkaiMxpokcYwExrkxRZ8g0Zk75lRV9thm2nLV3dHEbZ_j2RQWUFNJzUtyb1QH3N3NpWLRvRoT1COwCpIf0Fjk8VYL4GHm2ss_XenMAcZ-YvqQTHMUHH5p7ZyMZ8pGqZYU19hxIn_sx1_s/s400/2007-2018-SPX-Strangle-59-100-50-02-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiVYIb4AMB9Lh_PrmGwEY_Pyo3bRAyT_rKF2Yh_woXJFrdAMDPTlR3qcbLTww6n_RkGsi-J959C0uKGlAKf7WOb1jHtBNDGlrQdsTpcoFG0LtLDbrSRPSOH9hqFst4t60BrhEby2R-s6U0/s1600/2007-2018-SPX-Strangle-59-100-50-29-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="219" data-original-width="751" height="115" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiVYIb4AMB9Lh_PrmGwEY_Pyo3bRAyT_rKF2Yh_woXJFrdAMDPTlR3qcbLTww6n_RkGsi-J959C0uKGlAKf7WOb1jHtBNDGlrQdsTpcoFG0LtLDbrSRPSOH9hqFst4t60BrhEby2R-s6U0/s400/2007-2018-SPX-Strangle-59-100-50-29-Returns.PNG" width="400" /></a>
</td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgOx6viVMfBHktFJwu4f87KLOtyKy1JGnWpt-Sb_QN3mlcreZZmsg4SLknvhTE0PxkFipogYLZL0xcthSyPdyehCWlWwYAfQUXOoDsDQd5D8aeNyd7Yji46Yb2wUAib01-yF5dng0H0I9U/s1600/2007-2018-SPX-Strangle-59-200-50-02-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="220" data-original-width="753" height="115" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgOx6viVMfBHktFJwu4f87KLOtyKy1JGnWpt-Sb_QN3mlcreZZmsg4SLknvhTE0PxkFipogYLZL0xcthSyPdyehCWlWwYAfQUXOoDsDQd5D8aeNyd7Yji46Yb2wUAib01-yF5dng0H0I9U/s400/2007-2018-SPX-Strangle-59-200-50-02-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjJAmk5ZpJG07Xrar_oysRxF5dX0iHII2Q5SqO433juBHxfayqTcFssHItke5dTOt7-IZcuCXyD5fVL-FCa69OssDqZ2DYI82xSF1RaXF2kLl69pVZ8e32NxKWfJ4-kz7irtPxBikxbzYA/s1600/2007-2018-SPX-Strangle-59-200-50-29-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="218" data-original-width="751" height="115" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjJAmk5ZpJG07Xrar_oysRxF5dX0iHII2Q5SqO433juBHxfayqTcFssHItke5dTOt7-IZcuCXyD5fVL-FCa69OssDqZ2DYI82xSF1RaXF2kLl69pVZ8e32NxKWfJ4-kz7irtPxBikxbzYA/s400/2007-2018-SPX-Strangle-59-200-50-29-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjvxVtKn0CVAzp36GTouMBnvQmNOVkO9XMx9B5bT7r00EeATbMO37bg8Qs7XK9-Zf7x9EFPVUfHOMSG24ZpnOvIesiLFp_YsXuxD-gNjT7Bz-TVZM-aarUr216rX_-LXE_p24g0ouqjSeE/s1600/2007-2018-SPX-Strangle-45-200-50-02-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="218" data-original-width="752" height="115" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjvxVtKn0CVAzp36GTouMBnvQmNOVkO9XMx9B5bT7r00EeATbMO37bg8Qs7XK9-Zf7x9EFPVUfHOMSG24ZpnOvIesiLFp_YsXuxD-gNjT7Bz-TVZM-aarUr216rX_-LXE_p24g0ouqjSeE/s400/2007-2018-SPX-Strangle-45-200-50-02-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhZ5Wvp3KBGejutKdeuBzdKiNKVcK22bhjhwTTBVl9VSngJvCL7jwsRZUtMTfHHsz3er40lVM71fXcnHCE3RBQHNF0nQuCMZH5srDg9k2hw_gg_rdFlfmwOcCJVqf7hqc8lZOz_O44e67o/s1600/2007-2018-SPX-Strangle-45-200-50-22-Returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="220" data-original-width="753" height="116" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhZ5Wvp3KBGejutKdeuBzdKiNKVcK22bhjhwTTBVl9VSngJvCL7jwsRZUtMTfHHsz3er40lVM71fXcnHCE3RBQHNF0nQuCMZH5srDg9k2hw_gg_rdFlfmwOcCJVqf7hqc8lZOz_O44e67o/s400/2007-2018-SPX-Strangle-45-200-50-22-Returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<br />
<i>If you don't want to miss my new blog posts, follow my blog either by email, RSS feed or by Twitter. All options are free, and are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", </i><i>"Follow By Email", and "Twitter"</i><i>. I follow blogs by RSS using <a href="http://feedly.com/#discover">Feedly</a>, but any RSS reader will work.</i><br />
<br />Unknownnoreply@blogger.com0tag:blogger.com,1999:blog-771169794002155719.post-59213654183323226602017-12-12T15:02:00.000-07:002017-12-12T15:02:07.037-07:00Iron Condor Results Summary - Part 6 - IC Returns vs Initial Conditions CorrelationIn the <a href="http://dtr-trading.blogspot.com/2017/12/iron-condor-results-summary-part-5-ic.html">last article</a>, we looked at correlations between Iron Condor returns and Iron Condor structures / trade management. Specifically, we started with the following list of areas to investigate:<br />
<br />
<ol>
<li>Correlation between Iron Condor strategy structure / management and result metrics</li>
<li>Which result metrics most influence equity curve shape</li>
<li>Correlation between result metrics</li>
<li>Correlation between initial trade conditions and trade outcome based on strategy variation</li>
</ol>
<br />
In the last article we looked at items 1 and 2, and in this article we will look at items 3 and 4. We will start with the correlation between result metrics. For reviewing the correlation numbers, I'll use the following guidelines:<br />
<br />
<ul>
<li>-0.5 to -1.0 or +0.5 to +1.0: strong correlation</li>
<li>-0.3 to -0.5 or +0.3 to + 0.5: moderate correlation</li>
<li>-0.1 to -0.3 or +0.1 to +0.3: weak correlation</li>
<li>-0.1 to +0.1: no correlation</li>
</ul>
<br />
While there is not 100% agreement on these levels across experts, these levels are fairly close to the common ranges listed in a number of statistics articles and books.<br />
<br />
<br />
<b><u>3. Correlation Between Result Metrics</u></b><br />
The correlation matrices below show the results for <b>all </b>3024 strategy variations, and also the subset of 1512 strategy variations that just contain profit targets and stops. There isn't any surprising information in these two matrices. The strong correlations in the tables are exactly where you would expect strong correlations to exist.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjNXnnu1WbidF3eQdMNHXkLzWha9tKHg7Pqo7MyXOdV78W53w00Lvx8gXftcAoDcMmCXZfehAr24yB4ipwD4ua3aSMWxc1qA950VWTdeZ7yP76PtarOXhERDB4GfwD8mzrLo1IoMBue8uU/s1600/Metrics-Correlation.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="191" data-original-width="691" height="110" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjNXnnu1WbidF3eQdMNHXkLzWha9tKHg7Pqo7MyXOdV78W53w00Lvx8gXftcAoDcMmCXZfehAr24yB4ipwD4ua3aSMWxc1qA950VWTdeZ7yP76PtarOXhERDB4GfwD8mzrLo1IoMBue8uU/s400/Metrics-Correlation.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiQELGbnVVnlLiJbyxCn9Yc671g4VbRdI9bKcoIx67rNfKfEMhuhe2ANsIForgKn8zDRcQTDN7B5X079-zsQi_vXAu4Vaik7kNZQfxOE3wN-zwYVFdANYO4Fqci8eI0Txv0s47Z9yR8YGI/s1600/Metrics-Correlation2.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="189" data-original-width="689" height="108" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiQELGbnVVnlLiJbyxCn9Yc671g4VbRdI9bKcoIx67rNfKfEMhuhe2ANsIForgKn8zDRcQTDN7B5X079-zsQi_vXAu4Vaik7kNZQfxOE3wN-zwYVFdANYO4Fqci8eI0Txv0s47Z9yR8YGI/s400/Metrics-Correlation2.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<u><b>4. Correlation Between Initial Trade Conditions and Returns</b></u><br />
This is the most interesting topic. I've analyzed if there is any relationship between the conditions at trade entry and the P&L for a trade. For initial conditions, I used the following indicator values from the day a trade was initiated:<br />
<br />
<ul>
<li>IV Correlation: average implied volatility (IV) of the at the money (ATM) call and put</li>
<li>VIX Correlation: VIX</li>
<li>Skew 10: skew calculation based on 10 delta and 50 delta calls and puts (<i>see note below</i>)</li>
<li>Skew 25: skew calculation based on 25 delta and 50 delta calls and puts (<i>see note below</i>)</li>
<li>Skew 40: skew calculation based on 40 delta and 50 delta calls and puts (<i>see note below</i>)</li>
<li>Put Slope: indicator based on IV of 10 puts at various deltas (8, 12, 16, 20, 25, 30, ... , 50)</li>
<li>Slope(50-12): indicator based on slope of IVs at 12 delta and 50 delta</li>
<li>Slope(50-30): indicator based on slope of IVs at 30 delta and 50 delta</li>
<li>Credit: credit received per trade</li>
<li>Above/Below MA(50): whether the SPX is above/below it's MA(50) (-1, 0, +1)</li>
<li>Above/Below MA(200): whether the SPX is above/below it's MA(200) (-1, 0, +1)</li>
<li>ATR-50: indicator based on the number of ATRs the SPX is above/below it's MA(50)</li>
<li>ATR-200: indicator based on the number of ATRs the SPX is above/below it's MA(200)</li>
</ul>
<blockquote class="tr_bq">
<i><span style="font-size: x-small;">Note: skew calculation based on Mixon paper: <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1618602">What Does Implied Volatility Skew Measure?</a></span></i></blockquote>
<br />
The 25th percentile, mean, and 75th percentile values for each of these indicators at 80 DTE is displayed in the table below. This will give you an idea of the distribution of the indicator values between January, 2007 and September, 2016.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiP1L5e2YUZz6nGFbKmlD9iilaTCm_xV1TvHxRndr5hCajMSwrUYtNhvO4gmLnOkz_d3suTBB_qs5WbjqCWdGQtQqae7fNL_mvIidmc7SbmQAK3YQlq9wxKFJVpv-xDzK6duwoYRThprvc/s1600/IndicatorStats-80DTE.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="110" data-original-width="876" height="50" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiP1L5e2YUZz6nGFbKmlD9iilaTCm_xV1TvHxRndr5hCajMSwrUYtNhvO4gmLnOkz_d3suTBB_qs5WbjqCWdGQtQqae7fNL_mvIidmc7SbmQAK3YQlq9wxKFJVpv-xDzK6duwoYRThprvc/s400/IndicatorStats-80DTE.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The correlation between returns and these indicators is shown in correlation tables below. Each table is for a specific DTE, short strike delta, wing width, stop loss, and profit target. Each table also includes the three Iron Condor starting structures (DN - delta neutral, EL - extra long put, and ST - standard balanced). Each row corresponds to a particular wing width, and each column corresponds to a particular stop loss level. <b>My biggest take away was that there was either weak correlation or no correlation between indicator values at trade initiation and the final trade results.</b><br />
<br />
The nine correlation tables below are for the 80 DTE Iron Condor variations with 8 delta short strikes. Across these tables, there were only 11 values of 0.2 / 20% or greater. 7 of these values occurred with the DN structure. 4 of these 11 values were associated with the VIX. <b>Overall, though, any correlation of returns with initial conditions was weak for these trade variations.</b><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhhbVsHW7ekf48-7XUUxQTaM-qKnlHVInwAGbIKqHthDZQjmupa0e0UmxclrD-4Es8v7qS69Jf6qPq5qspJca3UiKhZR_IZQUMMeuf1swsJFfoyUFy7esMFzG_hsMcodenEW7D9AKfhifU/s1600/80DTE-08Delta-part1.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="576" data-original-width="996" height="231" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhhbVsHW7ekf48-7XUUxQTaM-qKnlHVInwAGbIKqHthDZQjmupa0e0UmxclrD-4Es8v7qS69Jf6qPq5qspJca3UiKhZR_IZQUMMeuf1swsJFfoyUFy7esMFzG_hsMcodenEW7D9AKfhifU/s400/80DTE-08Delta-part1.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjFWz7otViw0RYhhc8RaXBXxwIEpCqNHu1sLcnjv_livJsnmG5hL3zL2L37tSjk87-9NFJ6Fgaon1OdGrsQQt7-3lqkkbLDPZ1VQNOZQhZO7OVUZdOyO6GRMfR2AjUekxvkrDS3XO2JNBM/s1600/80DTE-08Delta-part2.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="290" data-original-width="998" height="115" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjFWz7otViw0RYhhc8RaXBXxwIEpCqNHu1sLcnjv_livJsnmG5hL3zL2L37tSjk87-9NFJ6Fgaon1OdGrsQQt7-3lqkkbLDPZ1VQNOZQhZO7OVUZdOyO6GRMfR2AjUekxvkrDS3XO2JNBM/s400/80DTE-08Delta-part2.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The nine correlation tables below are for the 80 DTE Iron Condor variations with 12 delta short strikes. Across these tables, there were only 41 values of 0.2 / 20% or greater. A much larger number than for the variations with 8 delta short strikes. 17 of these values occurred with the EL structure, 15 with the ST structure. 14 of these 41 values were associated with the Slope(50-12) indicator, and 10 with the Credit. <b>Again, overall, any correlation of returns with initial conditions was weak for these trade variations.</b><br />
<br />
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjtz01oBCEx-I81iq3-PO8bqOcsRP_k_5W6GEWHl-f8ze-NQxFMB0MaWrombX59Sqa0kUe-TCNdojhuXAdukTmmu2iI-FqcWDRr6JCE6txCkjnHrupN89q-XuKhqXhu-vj-LbgvSPztZOs/s1600/80DTE-12Delta-part1.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="580" data-original-width="998" height="231" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjtz01oBCEx-I81iq3-PO8bqOcsRP_k_5W6GEWHl-f8ze-NQxFMB0MaWrombX59Sqa0kUe-TCNdojhuXAdukTmmu2iI-FqcWDRr6JCE6txCkjnHrupN89q-XuKhqXhu-vj-LbgvSPztZOs/s400/80DTE-12Delta-part1.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhdLsmIlg9LN_HTX7iWTolrCzN9QvaJWGQoJ-CVlwCh7LV7bLfvczFGNksm_04RSFtrp686W9crfIHavvkiAhBOY_3iKLTaKEsXUc4qIOLAHpIJEUJd8LUlL-x-EAHtFhEuCVNk_lghILI/s1600/80DTE-12Delta-part2.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="292" data-original-width="998" height="116" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhdLsmIlg9LN_HTX7iWTolrCzN9QvaJWGQoJ-CVlwCh7LV7bLfvczFGNksm_04RSFtrp686W9crfIHavvkiAhBOY_3iKLTaKEsXUc4qIOLAHpIJEUJd8LUlL-x-EAHtFhEuCVNk_lghILI/s400/80DTE-12Delta-part2.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
For the sake of completeness, the indicator values and correlations at 66 DTE are included below. There are six correlation tables for the 66 DTE Iron Condor variations with 12 delta short strikes. Across these tables, there were only 21 values of 0.2 / 20% or greater. 9 of these values occurred with the ST structure. 10 of these 21 values were associated with the Skew 40 indicator, and 6 with the ATR-50 indicator. Incidentally, the Skew 40 indicator also had one correlation value that hit 0.3. <b>Regardless, any correlation of returns with initial conditions was also weak for these trade variations.</b><br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgp9fCOhpaX7_lASWx0kdQIE0ZRNI_gGKbeR8rNzohXi7nDmOA3N8LMrlWuZKNHD0BT7BiIp-eSMLYfuWfjD5yT1tVu6iwdg78fNkVpApCuRKE1gbQDFXZjksG4rpBMb4hI0_Z9S6uVrRY/s1600/IndicatorStats-66DTE.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="109" data-original-width="875" height="48" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgp9fCOhpaX7_lASWx0kdQIE0ZRNI_gGKbeR8rNzohXi7nDmOA3N8LMrlWuZKNHD0BT7BiIp-eSMLYfuWfjD5yT1tVu6iwdg78fNkVpApCuRKE1gbQDFXZjksG4rpBMb4hI0_Z9S6uVrRY/s400/IndicatorStats-66DTE.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhMdvy9Kfz8PdPOSFo3xlB-PecL349j5sTmWDxlPANHjL6uNniVnZQEBGzxjLLiVpKDelJdEvk4LUK1n6rnMkqVatabW8m6CQ_hylPS2mTUxTTcBTnrqZI5_YuvSxuvSZ9SiPK-iQ0_9ws/s1600/66DTE-12Delta-part1.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="576" data-original-width="998" height="230" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhMdvy9Kfz8PdPOSFo3xlB-PecL349j5sTmWDxlPANHjL6uNniVnZQEBGzxjLLiVpKDelJdEvk4LUK1n6rnMkqVatabW8m6CQ_hylPS2mTUxTTcBTnrqZI5_YuvSxuvSZ9SiPK-iQ0_9ws/s400/66DTE-12Delta-part1.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
I think the big take away from this correlation analysis is that the market conditions at trade initiation, specifically indicator readings, have almost no ability to predict the final returns for these Iron Condors. So, don't overthink your entries.<br />
<br />
I'm still reflecting on a quote from <a href="https://twitter.com/SinclairEuan">Euan Sinclair</a> on the Talton Capital Management <a href="http://taltoncm.blogspot.com/2017/11/well-you-did-ask.html">blog</a> and how it relates to these results:<br />
<blockquote class="tr_bq">
"always use the simplest method possible. Trading is a business. Problems are to be solved, not treated as sources of amusement or intellectual challenges. Brute force is often a perfectly acceptable technique."</blockquote>
I think the correlation results for these simple Iron Condors fall under the category of "brute force is often a perfectly acceptable technique." Decent results are possible with static profit targets and static stop loss levels. Spend your time managing your trades, not overthinking your entries.<br />
<br />
<br />
<i>Follow my blog by email, RSS feed or Twitter (<a href="https://twitter.com/DTRTrading">@DTRTrading</a>). All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", </i><i>"Follow By Email", and "Twitter"</i><i>. </i><br />
<br />Unknownnoreply@blogger.com0tag:blogger.com,1999:blog-771169794002155719.post-60795207488607696922017-12-06T06:00:00.000-07:002017-12-06T06:00:36.816-07:00Iron Condor Results Summary - Part 5 - IC Structure vs Metrics CorrelationIn the last article, posted way back in August, I looked at the Iron Condor structures that appeared to perform the best for each of the seven metrics I tracked. Recall that I tested 3024 different Iron Condor strategy variations over the period from January 2007 through September 2016. This testing generated more than 600,000 Iron Condor trades. The past articles can be found at:<br />
<br />
<ul>
<li><a href="http://dtr-trading.blogspot.com/2017/05/iron-condor-results-summary.html">Iron Condor Results Summary - Part 1</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/06/iron-condor-results-summary-part-2-loss.html">Iron Condor Results Summary - Part 2 - Loss Levels</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/08/iron-condor-results-summary-part-3-2017.html">Iron Condor Results Summary - Part 3 - 2017 Results</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/08/iron-condor-results-summary-part-4-top.html">Iron Condor Results Summary - Part 4 - Top Performers By Metric</a></li>
</ul>
<br />
<br />
<b><u>Background</u></b><br />
After writing those four articles, I was a bit disappointed with the results. In <a href="http://dtr-trading.blogspot.com/2017/08/iron-condor-results-summary-part-3-2017.html">Part 3</a>, I looked at three strategy variations that appeared to be some of the strongest based on the results in Part 1 and Part 2. These variations did not have the equity curves that I was anticipating. In <a href="http://dtr-trading.blogspot.com/2017/08/iron-condor-results-summary-part-4-top.html">Part 4</a>, I ranked the 3024 different Iron Condor strategy variations by seven metrics in order to create a composite rank for each of variation. I then looked at the top scoring variation for each of the seven metrics, while also noting that variation's composite rank. These top performing strategy variations were a bit disappointing as well.<br />
<br />
My next step was to identify four "families" of Iron Condor strategies that had some of the best composite rank scores. Those Iron Condor "families" included:<br />
<br />
<ul>
<li>80 DTE, 25 point wings, 8 delta short strikes</li>
<li>80 DTE, 25 point wings, 12 delta short strikes</li>
<li>80 DTE, 50 point wings, 16 delta short strikes</li>
<li>66 DTE, 25 point wings, 12 delta short strikes</li>
</ul>
<br />
For these "families" I looked at all of the combinations of profit targets, and stop loss for each of the different starting structures (DN, EL, ST). I tweeted the results from this analysis starting <a href="https://twitter.com/DTRTrading/status/909148547383099392">September 16</a> and running through <a href="https://twitter.com/DTRTrading/status/918098251538190336">October 11</a>. Quite a few of these variations looked promising.<br />
<br />
<br />
<u><b>Correlations</b></u><br />
Since that time, I've been looking more closely at a number of features related to the result metrics, including:<br />
<br />
<ol>
<li>Correlation between Iron Condor strategy structure / management and result metrics</li>
<li>Which result metrics most influence equity curve shape</li>
<li>Correlation between result metrics</li>
<li>Correlation between initial trade conditions and trade outcome based on strategy variation</li>
</ol>
<div>
<br />
<br />
<b><u>1. Correlation Between Iron Condor Structure and Metrics</u></b><br />
Let's take a quick look at the results from bullet one above, the correlation between Iron Condor strategy structure / management and result metrics. The correlation matrices below show the results for <b>all </b>3024 strategy variations, and also the subset of 1512 strategy variations that just contain profit targets and stops.</div>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjivvd_iVeXXMfcHN2SdrjI-uZs21ya9KuP9jutKfwAxX9h2mJMqsbxC2WESGXK08ad-dNPhI4x2a0TXn_R75vaATQCZkuMw6Gnf27r2VacRH_6cyJPY-OWoAYwNihyphenhyphen0PhXH9vVQI_ZsvU/s1600/Structure-Metrics-Correlation-3024.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="146" data-original-width="613" height="95" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjivvd_iVeXXMfcHN2SdrjI-uZs21ya9KuP9jutKfwAxX9h2mJMqsbxC2WESGXK08ad-dNPhI4x2a0TXn_R75vaATQCZkuMw6Gnf27r2VacRH_6cyJPY-OWoAYwNihyphenhyphen0PhXH9vVQI_ZsvU/s400/Structure-Metrics-Correlation-3024.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgLDKn4tI1Bm1RfS0LWSdyvA_ipPXbmEm_BK0uJ4pOBdGWcwzjij0bR5TYbV9sAtMYtOv-_Yv9S-eKs0ZIe1iK9SndmRd8hcVJNUzSlehIq53JFg35JrQEGeAt-hwnzqWYU413RRRNAsi8/s1600/Structure-Metrics-Correlation-1512.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="147" data-original-width="611" height="95" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgLDKn4tI1Bm1RfS0LWSdyvA_ipPXbmEm_BK0uJ4pOBdGWcwzjij0bR5TYbV9sAtMYtOv-_Yv9S-eKs0ZIe1iK9SndmRd8hcVJNUzSlehIq53JFg35JrQEGeAt-hwnzqWYU413RRRNAsi8/s400/Structure-Metrics-Correlation-1512.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
A few points to note from the correlation matrices:<br />
<br />
<ul>
<li><b>P&L / Trade vs DTE</b>:<br /> The trades entered at higher DTE (i..e 80), generated greater returns per trade. You'd expect this, since we have more days of theta generation. Assuming we have two variations, with the only difference being DTE, you'd expect the higher DTE trade to generate a greater return since its DIT will typically be greater.</li>
<br />
<li><b>P&L / Trade vs Short Delta</b>:<br />Higher delta short strikes generate greater returns per trade than lower delta short strikes. For example, a variation with 20 delta short strikes will typically generate greater P&L / trade than a similar variation with 8 delta short strikes.</li>
<br />
<li><b>P&L / Trade vs Risk (stop loss):</b></li>
Trades managed with larger risk / stops (i.e. 300% or NA) generated greater returns per trade than those managed with lower risk. With larger stops, you give the market more "room to run" inside the structure of the Iron Condor.<br />
<br />
<li><b>Win % vs Short Delta:</b></li>
As the delta of the short strike decreases, Win % increases. For example, a variation with an 8 delta short strike would tend to have a higher win rate than a similar variation with a 12 delta short strike.<br />
<br />
<li><b>Win % vs Risk (stop loss):</b></li>
The Win % is strongly correlated with Risk / stop level. Higher stop loss levels (i.e. 300% or NA) are associated with higher Win % numbers.<br />
<br />
<li><b>Win % vs Reward (profit target):</b></li>
The Win % is negatively correlated with Reward / profit target. Variations with lower profit targets (i.e. 50%) have higher Win % numbers than variations with higher profit targets.<br />
<br />
<li><b>Largest Loss vs Wing Width:</b></li>
This one is less obvious due to the way I measured Largest Loss. The larger the Wing Width, the smaller the Largest Loss. Fore example, a variation with a Wing Width of 75 would tend to have smaller losses (in terms of % of max risk) than a similar variation with 25 point wings.<br />
<br />
<li><b>Largest Loss vs Short Delta:</b></li>
Again, this is less obvious due to the way I recorded Largest Loss. The larger the Short Delta, the larger the Largest Loss. A variation with short strikes at 8 delta would tend to have smaller losses (in terms of % of max risk) than a similar variation with short strikes at 20 delta.<br />
<br />
<li><b>Largest Loss vs Risk (stop loss):</b></li>
The larger the Risk / stop loss, the larger the Largest Loss. For example, a variation with a 300% stop would tend to have larger losses than a similar variation with a 100% stop loss.<br />
<br />
<li><b>P&L / Day vs Short Delta:</b></li>
The smaller the short strike delta, the smaller the P&L per Day. For example, a variation with short deltas at 8 would then to generate less profit per day than a similar variation with shorts at 20 delta.<br />
<br />
<li><b>P&L / Day vs Reward (profit target):</b></li>
The lower the Reward / profit target, the higher the P&L per Day. For example, a variation with a profit target of 50% would tend to generate more profit per day than a similar variation with a profit target of 75%.
</ul>
<br />
I'm not sure there is anything too surprising in the above correlations. Most of us would have assumed that these relationships existed, but it's nice to quantify the correlations. Also note what did not show much of a correlation:<br />
<br />
<ul>
<li><b>DTE</b>: no significant correlation with Win%, Largest Loss, or P&L / Day</li>
<li><b>Wing Width</b>: no significant correlation with P&L / Trade, Win %, or P&L / Day</li>
<li><b>Type</b>: very minimal correlation between P&L / Day and the ST initial starting structure</li>
<li><b>Risk (stop loss)</b>: minimal correlation between P&L / Day and stop loss level, with a larger stop generating slightly more P&L / day</li>
<li><b>Reward (profit target)</b>: no significant correlation with P&L / Trade, or Largest Loss</li>
</ul>
<div>
<br />
<br />
<b><u>2. Metrics Influencing Equity Curve Shape</u></b></div>
Now let's move on to bullet 2 in the list above...the result metrics that most influence equity curve shape. This again shouldn't be a big surprise. A variation with a high Win % and low Largest Loss will have the smoothest equity curve. A variation with a low Win % will be more "jagged", with the size of the drops being related to the Largest Loss number.<br />
<br />
Let's now find some examples of variations with smooth equity curves. We need variations with a high Win% and low Largest Loss number.<br />
<br />
A high Win % is correlated with low deltas, high risk / stops, and low reward / profit targets. An example would be an Iron Condor with 8 delta shorts, a stop at 300% or NA, and a profit target of 50%.<br />
<br />
A small Largest Loss number is correlated with large wing widths, low deltas, and low risk / stops. The last one is at odds with our Win % requirements. An example of a variation that meets this requirement would be an Iron Condor with 75 point wings, 8 delta shorts, and a stop at 100%.<br />
<br />
For the smoothest equity curve, we should be looking at Iron Condors with 50 to 75 point wings, 8 to 12 delta shorts, stops in the 200% to 300% range, and a profit target of 50%.<br />
<br />
We'll look at bullets three, and possibly four, in the next article. Also, my plan is to try to close out this Iron Condor series by the end of the year, and move on to other analysis...if all goes well.<br />
<br />
<br />
<i>Follow my blog by email, RSS feed or Twitter (<a href="https://twitter.com/DTRTrading">@DTRTrading</a>). All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", </i><i>"Follow By Email", and "Twitter"</i><i>. </i><br />
<br />Unknownnoreply@blogger.com0tag:blogger.com,1999:blog-771169794002155719.post-31804756905346582802017-10-29T21:23:00.001-06:002017-10-30T17:28:58.293-06:00Broken Wing Butterfly Price and Volatility - CDN<div class="separator" style="clear: both; text-align: left;">
In the last two posts (<a href="http://dtr-trading.blogspot.com/2017/10/broken-wing-butterfly-price-and.html" target="_blank"><b>RTT</b></a> and <a href="https://dtr-trading.blogspot.com/2017/10/broken-wing-butterfly-price-and_29.html" target="_blank"><b>60/40/20</b></a>), we looked at how implied volatility (IV) and price of the option strikes in two broken wing butterfly (BWB) strategies changed with time. In this post, we'll look at another BWB strategy, the centered delta neutral (CDN) BWB. In this strategy, the short put options are at-the-money (ATM), the lower long is at least 100 points below the market, and the upper long is positioned to create a delta neutral structure. An SPX January 2018 expiration CDN is modeled below.</div>
<div class="separator" style="clear: both; text-align: left;">
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEixxJmtBuVutydnUfu0zjDUOdYF8WdA_sI7jE836JxjUccf3yHAPGpct6kFQ0rnncBYOBklTQrKZ55j231Dxj29fjEps-HlBh2XdOoUmrhe-ZtaPLkYgHxyzccT1dTnmPOgWT_4WqtIF0I/s1600/3_BWB-Centered-Delta-Neutral.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="810" data-original-width="1320" height="245" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEixxJmtBuVutydnUfu0zjDUOdYF8WdA_sI7jE836JxjUccf3yHAPGpct6kFQ0rnncBYOBklTQrKZ55j231Dxj29fjEps-HlBh2XdOoUmrhe-ZtaPLkYgHxyzccT1dTnmPOgWT_4WqtIF0I/s400/3_BWB-Centered-Delta-Neutral.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
As in the last two articles, we'll use five option chains in our analysis. The options chains we'll use expire on:<br />
<ul>
<li>03-Nov-2017 (7 DTE)</li>
<li>10-Nov-2017 (14 DTE)</li>
<li>17-Nov-2017 (20 DTE)</li>
<li>15-Dec-2017 (48 DTE)</li>
<li>19-Jan-2018 (83 DTE)</li>
</ul>
In the chart below, these five SPX options chains are plotted in terms of IV. In addition, the three strikes of our CDN along with the current market are marked with vertical lines.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEipifRu7SWyEjCkYQiSiGd-DsRfGPAzw4QpVd1OWw4-EzZBmPSjYT0nczLZgSaMmEghFtBkxAf-9sJjXA5QLBneVjDA78u9MzCNePgbOBSqIkpUNvSdTjY6Cl1R5nFLfEVxCeKrlpOtXTA/s1600/3_BWB-Centered-Delta-Neutral-IVCurves.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="634" data-original-width="1277" height="197" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEipifRu7SWyEjCkYQiSiGd-DsRfGPAzw4QpVd1OWw4-EzZBmPSjYT0nczLZgSaMmEghFtBkxAf-9sJjXA5QLBneVjDA78u9MzCNePgbOBSqIkpUNvSdTjY6Cl1R5nFLfEVxCeKrlpOtXTA/s400/3_BWB-Centered-Delta-Neutral-IVCurves.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<div class="separator" style="clear: both; text-align: left;">
<br /></div>
If the market conditions don't change, what can we expect? As time progresses in this trade, we expect the IV of the lower long ("Long 1" - blue vertical line) to increase from approximately 12.5% to 16+%. Notice how the different expirations move up the blue vertical line ("Long 1") as DTE decrease. The center strike ("Short" - red vertical line), behaves differently, with the IV dropping from approximately 9% to about 6%. The IV of the upper long ("Long 2") behaves similar to "Long 1" and increases from approximately 8% to about 12%.<br />
<div>
<br /></div>
<div>
So what happens with the price of these put options as DTE decrease? They all lose value with time...not a surprise! The options at-the-money (ATM) lose the most...again, not a surprise. The upper longs in-the-money (ITM) lose the least. Similar to the IV chart above, the strikes of our CDN along with the current market price are marked with vertical lines.</div>
<div class="separator" style="clear: both; text-align: left;">
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<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh3x6zR2zCT0QDx3RLQOCO5i2ePKqW6pMlnpdAr7kb7kQCM07rKEXzgil70ARAFTP-JqL8MN7_Cg6P7OotS0Lm-NA7lz_WYD3HJjpTxx6ouPp_ilxxSi7IcMHIGcahC3UEywxLavvFCgMM/s1600/3_BWB-Centered-Delta-Neutral-PriceCurves.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="634" data-original-width="1277" height="197" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh3x6zR2zCT0QDx3RLQOCO5i2ePKqW6pMlnpdAr7kb7kQCM07rKEXzgil70ARAFTP-JqL8MN7_Cg6P7OotS0Lm-NA7lz_WYD3HJjpTxx6ouPp_ilxxSi7IcMHIGcahC3UEywxLavvFCgMM/s400/3_BWB-Centered-Delta-Neutral-PriceCurves.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<div class="separator" style="clear: both; text-align: left;">
<br /></div>
As we did with the last two BWB strategies, we'll use the Black-Scholes model to simulate how the prices of our CDN strikes change with DTE. For a given strike, we use the actual IVs from our options chains as inputs to the Black-Scholes model.<br />
<br />
For the lower long strike of our CDN, the 2470 strike, we have IVs at 7 DTE, 14 DTE, 20 DTE, 48 DTE, and 83 DTE. At 83 DTE the IV of the 2470 strike is 12.6%, and at 7 DTE the IV of the 2470 strike is 16.1%. The chart below shows how the price of the 2470 strike decays with variable IV (changing from 12.6% to 16.1%), with fixed IV of 12.6%, and with fixed IV of 16.1%. The variable IV (purple line) is closer to how this option price will actually decay.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjhIDPYpMKJxvz9JronPTSLRMU6NyZCzPm7gteJ6QDmpuC-jXFb5L1owaAY9b3JE5rNwgiodFkveEJn2Ud6U8_uWAEnzvOxMcOkfFq-2OmB91JaBdE-aXuQqwK8PdJwWasgGVl_kdFiiqA/s1600/3_BWB-Centered-Delta-Neutral-DecayLowerLong.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="625" data-original-width="1153" height="216" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjhIDPYpMKJxvz9JronPTSLRMU6NyZCzPm7gteJ6QDmpuC-jXFb5L1owaAY9b3JE5rNwgiodFkveEJn2Ud6U8_uWAEnzvOxMcOkfFq-2OmB91JaBdE-aXuQqwK8PdJwWasgGVl_kdFiiqA/s400/3_BWB-Centered-Delta-Neutral-DecayLowerLong.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The theoretical decay of the center short strike is shown in the chart below.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi22O1fuu4cZruH_n_HnVOWGeIwV57b61n28URvML4GjBoTlOWIATcgSjWfUfgjuCPHDQbDxbF9Z2A-CbRIvS-Gdf7ThMwQbdbsE2q4e7Il9I2YeNuoMP5xFHN0HRAV6_MW8RyHZT9ek7E/s1600/3_BWB-Centered-Delta-Neutral-DecayCenterShort.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="630" data-original-width="1153" height="217" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi22O1fuu4cZruH_n_HnVOWGeIwV57b61n28URvML4GjBoTlOWIATcgSjWfUfgjuCPHDQbDxbF9Z2A-CbRIvS-Gdf7ThMwQbdbsE2q4e7Il9I2YeNuoMP5xFHN0HRAV6_MW8RyHZT9ek7E/s400/3_BWB-Centered-Delta-Neutral-DecayCenterShort.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
Finally, the theoretical decay of the upper long strike is shown in the next chart.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgLJFmaDfFs91NrsGs-PFC1yAB19pieW8JdCWDjpYn-m9r8z6zO8kAI11Hhj_jurhzq1-OdUCKD4pwoQiXhdsHF_XatUHGCibYmZo50iSFDUEJ72Nx_GjLr3X4kEZaD2XxxktHUeDlftjg/s1600/3_BWB-Centered-Delta-Neutral-DecayUpperLong.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="630" data-original-width="1153" height="217" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgLJFmaDfFs91NrsGs-PFC1yAB19pieW8JdCWDjpYn-m9r8z6zO8kAI11Hhj_jurhzq1-OdUCKD4pwoQiXhdsHF_XatUHGCibYmZo50iSFDUEJ72Nx_GjLr3X4kEZaD2XxxktHUeDlftjg/s400/3_BWB-Centered-Delta-Neutral-DecayUpperLong.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
In ThinkOrSwim (TOS), using four 20 day steps, we can see how the price of the CDN changes with time. This is shown in the image below. We can see that if the market did not move, and if the IV stayed constant, we would expect the price to increase to expiration.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjVXcdCon7VslS2N91KvFjcxB6p6YtlRH_bykLKSuVTrG9sb6-wKfOt654f3ucK3714dXwE1sJcNGHnRBEMQj9VKeY-T06WP5r4LgCPdTXf2x0CwtFAI_2XdryivOHsYXyoKdInINSCvg4/s1600/3_BWB-Centered-Delta-Neutral-DayStep.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="801" data-original-width="1327" height="241" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjVXcdCon7VslS2N91KvFjcxB6p6YtlRH_bykLKSuVTrG9sb6-wKfOt654f3ucK3714dXwE1sJcNGHnRBEMQj9VKeY-T06WP5r4LgCPdTXf2x0CwtFAI_2XdryivOHsYXyoKdInINSCvg4/s400/3_BWB-Centered-Delta-Neutral-DayStep.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
Using the theoretical Black-Scholes option prices from the analysis above, we can model the CDN price by DTE. Assuming the market and IV remain constant, the Black-Scholes model shows the CDN price change by DTE in the chart below.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjsc5Ufsd0Ua2Z4DWzrKhba9zAg95sY8_lNSIfY71mwSPVo1MZxWgdvAEOvwMrS5V_4vqPw3ZghhH79_peI4__4C_FP7nsl3VEaDTwmI3Vdt9QYbISEC6qys7QilfNuLQqfOPRArccTBbU/s1600/3_BWB-Centered-Delta-Neutral-TradePrice.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="625" data-original-width="1153" height="215" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjsc5Ufsd0Ua2Z4DWzrKhba9zAg95sY8_lNSIfY71mwSPVo1MZxWgdvAEOvwMrS5V_4vqPw3ZghhH79_peI4__4C_FP7nsl3VEaDTwmI3Vdt9QYbISEC6qys7QilfNuLQqfOPRArccTBbU/s400/3_BWB-Centered-Delta-Neutral-TradePrice.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
Neither the TOS Bjerksund-Stensland model nor the Black-Scholes model reflect what will actually happen with this trade, even if both the SPX and IV remained constant. These models do provide a view of the general trend of price change with DTE, which can be useful when evaluating your actual trades.<br />
<br />
This is all for now for BWB, but in the future we'll look more at how initial conditions impact the outcome of these trades.<br />
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</div>
<div>
</div>
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Unknownnoreply@blogger.com2tag:blogger.com,1999:blog-771169794002155719.post-51228853784753936572017-10-29T21:18:00.000-06:002017-10-29T21:18:24.070-06:00Broken Wing Butterfly Price and Volatility - 60/40/20In the <a href="http://dtr-trading.blogspot.com/2017/10/broken-wing-butterfly-price-and.html" target="_blank">last post</a>, we looked at how the implied volatility (IV) and price of the option strikes in Road Trip Trade (RTT) changed with time. In this post, we'll look at another broken wing butterfly (BWB) strategy, the 60/40/20 BWB. In this strategy, the put options are at 60 delta, 40 delta, and 20 delta. An SPX January 2018 expiration 60/40/20 is modeled below.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEho8wE6kh90j_zgOs3IBKiWhk6-ftSIGvY-udNhNv-JinFCcQOpcXBGbbH9Hr6k0P-mqeirHKLwmRMh73tm3N3onyilrTC2fAoWCdFFPn9MpF2Kjn5Tk6L9u8ksLkWaOvVtNiqx9HwX63Y/s1600/2_BWB-60-40-20.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="810" data-original-width="1320" height="245" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEho8wE6kh90j_zgOs3IBKiWhk6-ftSIGvY-udNhNv-JinFCcQOpcXBGbbH9Hr6k0P-mqeirHKLwmRMh73tm3N3onyilrTC2fAoWCdFFPn9MpF2Kjn5Tk6L9u8ksLkWaOvVtNiqx9HwX63Y/s400/2_BWB-60-40-20.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
As in the last article, we'll use five option chains in our analysis. The options chains we'll use expire on:<br />
<ul>
<li>03-Nov-2017 (7 DTE)</li>
<li>10-Nov-2017 (14 DTE)</li>
<li>17-Nov-2017 (20 DTE)</li>
<li>15-Dec-2017 (48 DTE)</li>
<li>19-Jan-2018 (83 DTE)</li>
</ul>
In the chart below, these five SPX options chains are plotted in terms of IV. In addition, the three strikes of our 60/40/20 along with the current market are marked with vertical lines.<br />
<div>
<br /></div>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhfBVGKrUo6rO6F8-pEArf62sHP6JXiEdJ70Uzu51eSDLyDtKCppC6J2kX1Yu4I9B-Pk06lAplcNeHj51ZEFujedBPRNdQo0ikPExP_XhDs-zpsLzDOizhj8b_kkYrJZeJS41DXYnSb7Eg/s1600/2_BWB-60-40-20-IVCurves.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="634" data-original-width="1277" height="197" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhfBVGKrUo6rO6F8-pEArf62sHP6JXiEdJ70Uzu51eSDLyDtKCppC6J2kX1Yu4I9B-Pk06lAplcNeHj51ZEFujedBPRNdQo0ikPExP_XhDs-zpsLzDOizhj8b_kkYrJZeJS41DXYnSb7Eg/s400/2_BWB-60-40-20-IVCurves.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<div class="separator" style="clear: both; text-align: left;">
<br /></div>
If the market conditions don't change, what can we expect? As time progresses in this trade, we expect the IV of the lower long ("Long 1" - blue vertical line) to increase from approximately 13% to 18+%. Notice how the different expirations move up the blue vertical line ("Long 1") as DTE decrease. The center strike ("Short" - red vertical line), behaves differently, with the IV dropping from approximately 10% to about 8%. The IV of the upper long ("Long 2") first drops from about 8.5% to approximately 7.5%, then increases back to about 8.5%.<br />
<div>
<br /></div>
<div>
So what happens with the price of these put options as DTE decrease? They all lose value with time...not a surprise! The options closer to at-the-money (ATM) lose the most...again, not a surprise. Similar to the IV chart above, the strikes of our 60/40/20 along with the current market price are marked with vertical lines.</div>
<div>
<br /></div>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhYMDqHlZ95WdbHs-CV8w39Qb95XcjnNrBeRjHHdKDoH15YU1PqRenX8Mtxuk31RBWkpo6azD3HblRRrsfAgX8pfy82aWxf5ihm3ITuTLDZYFq3wpPXKtP8p8RFzVbKlnH4WOXNpl9uvSI/s1600/2_BWB-60-40-20-PriceCurves.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="634" data-original-width="1277" height="197" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhYMDqHlZ95WdbHs-CV8w39Qb95XcjnNrBeRjHHdKDoH15YU1PqRenX8Mtxuk31RBWkpo6azD3HblRRrsfAgX8pfy82aWxf5ihm3ITuTLDZYFq3wpPXKtP8p8RFzVbKlnH4WOXNpl9uvSI/s400/2_BWB-60-40-20-PriceCurves.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
As we did with the RTT BWB, we'll use the Black-Scholes model to simulate how the prices of our 60/40/20 strikes change with DTE. For a given strike, we use the actual IVs from our options chains as inputs to the Black-Scholes model.<br />
<br />
For the lower long strike of our 60/40/20, the 2450 strike, we have IVs at 7 DTE, 14 DTE, 20 DTE, 48 DTE, and 83 DTE. At 83 DTE the IV of the 2450 strike is 13.3%, and at 7 DTE the IV of the 2450 strike is 18.3%. The chart below shows how the price of the 2450 strike decays with variable IV (changing from 13.3% to 18.3%), with fixed IV of 13.3%, and with fixed IV of 18.3%. The variable IV (purple line) is closer to how this option price will actually decay.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgt8cmBZ-v-BoZvcrk01gtmpxdyUF4s-tjPS564vsqTngsRoaqNOyw1E7saBlaWQH2gCnPKVmypGHLY2GVXGVTySWholQoE50q7DGyw56y1BYb57rOhbIt8oFD7coDSl34UQGv2ayXr0Qk/s1600/2_BWB-60-40-20-DecayLowerLong.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="625" data-original-width="1153" height="216" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgt8cmBZ-v-BoZvcrk01gtmpxdyUF4s-tjPS564vsqTngsRoaqNOyw1E7saBlaWQH2gCnPKVmypGHLY2GVXGVTySWholQoE50q7DGyw56y1BYb57rOhbIt8oFD7coDSl34UQGv2ayXr0Qk/s400/2_BWB-60-40-20-DecayLowerLong.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The theoretical decay of the center short strike is shown in the chart below.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiqDxoDLGsMx2tso1A4fBQn7VC3fUi0gO9bcdakTfrYHwsgf_N1VrMANfnvNmvJVqwO4SqCyOR36Z3oBZu3eplBhvcKYitE7mJIqHVSy6Ld6NdIBrbvOowYDlPgsOrnZraHqgrQxxMINxw/s1600/2_BWB-60-40-20-DecayCenterShort.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="630" data-original-width="1153" height="217" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiqDxoDLGsMx2tso1A4fBQn7VC3fUi0gO9bcdakTfrYHwsgf_N1VrMANfnvNmvJVqwO4SqCyOR36Z3oBZu3eplBhvcKYitE7mJIqHVSy6Ld6NdIBrbvOowYDlPgsOrnZraHqgrQxxMINxw/s400/2_BWB-60-40-20-DecayCenterShort.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<div class="separator" style="clear: both; text-align: left;">
<br /></div>
<div class="separator" style="clear: both; text-align: left;">
Finally, the theoretical decay of the upper long strike is shown in the next chart.</div>
<div class="separator" style="clear: both; text-align: left;">
<br /></div>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgL9u_MN5h_1gPYX4niStBxctcgl9Fcn6OWwZ43R2dTPFRmFtsUz5_vB0-LZEQ3r6hpEsn6ZFjGlPzOO4WpQibFSVL_gEy0Azp0AL5VgnjdLpPPrZ1BtkOZhSNRX9n0rJG6X5STn9qqlno/s1600/2_BWB-60-40-20-DecayUpperLong.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="630" data-original-width="1153" height="217" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgL9u_MN5h_1gPYX4niStBxctcgl9Fcn6OWwZ43R2dTPFRmFtsUz5_vB0-LZEQ3r6hpEsn6ZFjGlPzOO4WpQibFSVL_gEy0Azp0AL5VgnjdLpPPrZ1BtkOZhSNRX9n0rJG6X5STn9qqlno/s400/2_BWB-60-40-20-DecayUpperLong.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<div class="separator" style="clear: both; text-align: left;">
<br /></div>
<div class="separator" style="clear: both; text-align: left;">
So, how do we expect the price of the entire 60/40/20 to evolve with time? This is shown in ThinkOrSwim (TOS), using four 20 day steps, in the image below. We can see that if the market did not move, and if the IV stayed constant, we would expect the price to increase to expiration. If the market were to drop closer to our center short strike, the profit potential of this trade would increase.</div>
<div class="separator" style="clear: both; text-align: left;">
<br /></div>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjtALfKDbDXRoYzI7h14frBpcgYwapX60NDj1UU7LKkfo4ZCgLiKW0-FJKEeStufPYmWL01rx202vrq3cgsNZNj29WoJH0t4XnyDhyphenhyphenGJU_Pbjtblj3-o1Q8EPJiq8SeoTE2yZvjCIO8gLg/s1600/2_BWB-60-40-20-DayStep.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="801" data-original-width="1327" height="241" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjtALfKDbDXRoYzI7h14frBpcgYwapX60NDj1UU7LKkfo4ZCgLiKW0-FJKEeStufPYmWL01rx202vrq3cgsNZNj29WoJH0t4XnyDhyphenhyphenGJU_Pbjtblj3-o1Q8EPJiq8SeoTE2yZvjCIO8gLg/s400/2_BWB-60-40-20-DayStep.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
Using the theoretical Black-Scholes option prices from the analysis above, we can model the 60/40/20 price by DTE. Assuming the market and IV remain constant, the Black-Scholes model shows the 60/40/20 price change by DTE in the chart below.<br />
<div>
<br /></div>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgGAfYNgP0zxvwwrV8hWLE0rDb0dyDANRPxbAqB-JHOm9clgIx7l_F1GpA2KHNQXfmMfQefslMktIPYYLg5VPTb44xtJ3bmZYyhYy1AX9_1KL0-uhByssD5a-006i_DKCqo31sEQUF9Q0o/s1600/2_BWB-60-40-20-TradePrice.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="625" data-original-width="1153" height="216" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgGAfYNgP0zxvwwrV8hWLE0rDb0dyDANRPxbAqB-JHOm9clgIx7l_F1GpA2KHNQXfmMfQefslMktIPYYLg5VPTb44xtJ3bmZYyhYy1AX9_1KL0-uhByssD5a-006i_DKCqo31sEQUF9Q0o/s400/2_BWB-60-40-20-TradePrice.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
As mentioned in the last article, neither the TOS model or the Black-Scholes model reflect what will actually happen with this trade, even if both the SPX and IV remained constant. These models do provide a view of the general trend of price change with DTE, which can be useful when evaluating your actual trades.<br />
<br />
I'll run through a similar analysis of one more BWB structure in the next day or so, before finally finishing up with the Iron Condor backtest analysis.<br />
<br />
<br />
<div class="separator" style="clear: both;">
</div>
<div>
</div>
<i style="font-family: "times new roman";">Follow my blog by email, RSS feed or Twitter (<a href="https://twitter.com/DTRTrading">@DTRTrading</a>). All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", </i><i style="font-family: "times new roman";">"Follow By Email", and "Twitter"</i><i style="font-family: "times new roman";">. </i><br />
<br />Unknownnoreply@blogger.com4tag:blogger.com,1999:blog-771169794002155719.post-36022569860353716642017-10-29T16:40:00.000-06:002017-10-29T16:40:46.904-06:00Broken Wing Butterfly Price and Volatility - RTTWith SPX implied volatility (IV) so low for months now, and with a strong up trending market, butterflies have been challenging to trade. About the only variations that have been able to withstand both the low IV and uptrend have been broken wing butterflies (BWB). One BWB variation, the <a href="http://roadtriptrade.com/" target="_blank">Road Trip Trade</a> (RTT) has been reasonably good at handling this market. An SPX January 2018 expiration RTT is modeled below.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj75NtI58FEsK55BOL85oKM5Jyaj9cYXOd0YveJDaR8X1JzIk9o_DurmnanyqacZKfMW43l6kWs7OniNveJ6jzONvH_KG3cUQo1p9fX8_Bp4nOnSxBNrxX1xyCr8N7dUDxVslw71mrt6Lo/s1600/1_BWB-RT.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="810" data-original-width="1320" height="245" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj75NtI58FEsK55BOL85oKM5Jyaj9cYXOd0YveJDaR8X1JzIk9o_DurmnanyqacZKfMW43l6kWs7OniNveJ6jzONvH_KG3cUQo1p9fX8_Bp4nOnSxBNrxX1xyCr8N7dUDxVslw71mrt6Lo/s400/1_BWB-RT.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
Let's look at the options associated with this trade a little more closely. We have several SPX option chains expiring prior to January 2018. We'll choose five to keep the analysis less complicated. The options chains we'll use in our analysis expire on:<br />
<ul>
<li>03-Nov-2017 (7 DTE)</li>
<li>10-Nov-2017 (14 DTE)</li>
<li>17-Nov-2017 (20 DTE)</li>
<li>15-Dec-2017 (48 DTE)</li>
<li>19-Jan-2018 (83 DTE)</li>
</ul>
In the chart below, these five SPX options chains are plotted in terms of IV. In addition, the three strikes of our RTT along with the current market are marked with vertical lines.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjajxMOQfvNbS029EmdvjuaTzW-uptchv_ueHoHhx8lI2nQj5LuQ26QnFL9Q7fqiWOpmQG6ihFqICWFclP-6vf70LgDKMX0-Ej1LCmcD9EtldIAtpfqCQKZ92jAgJ6DClwRB3KKKvbqh3w/s1600/1_BWB-RT-IVCurves.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="634" data-original-width="1277" height="197" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjajxMOQfvNbS029EmdvjuaTzW-uptchv_ueHoHhx8lI2nQj5LuQ26QnFL9Q7fqiWOpmQG6ihFqICWFclP-6vf70LgDKMX0-Ej1LCmcD9EtldIAtpfqCQKZ92jAgJ6DClwRB3KKKvbqh3w/s400/1_BWB-RT-IVCurves.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
If the market conditions don't change, what can we expect? As time progresses in this trade, we expect the IV of the lower long ("Long 1" - blue vertical line) to increase from approximately 14% to 20+%. Notice how the different expirations move up the blue vertical line ("Long 1") as DTE decrease. We expect the same to occur at the center strike ("Short" - red vertical line), but with a smaller change from approximately 12% to 14+%. The upper long ("Long 2") will change even less, with the IV first dropping before increasing slightly.<br />
<br />
If the VIX were to increase, the IV <i>behavior </i>outlined above would remain essentially the same. The <i>magnitudes </i>would change though as the <i>slopes </i>of these IV lines would change.<br />
<br />
If the market were to move up, only the <i>behavior </i>of the upper long would change. Rather than the IV of the upper long dropping and then increasing, it would just increase.<br />
<br />
If the market were to move up by say 20 points, we can estimate the associated IV change by strike. We can do this by shifting the RTT strikes in the chart down by 20 points. So, 2430 would go down to 2410, and we can see that if the market did not move up any further, the IV of this strike would then change from approximately 14.5% to 22+%. In a similar fashion, we can estimate the IV change of the other two strikes if the market were to move up.<br />
<br />
Now, what do these IV changes tell us about the prices of our put options? Well, they all lose value with time...not a surprise! The options closer to at-the-money (ATM) lose the most...again, not a surprise. Similar to the IV chart above, the strikes of our RTT along with the current market price are marked with vertical lines.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhShJj1FT2ZjIQhpZ6usqN75R6P0_DIpT3s0dHEaMHQ_sUgvtfaeSxMgcyGli40-QNH1Q9YFM5bRjGzk8dhABs3aGjjukxu_4avZGTvTxluWbtEG63NsWAx0opihehl-lmha6mVm2VlNMc/s1600/1_BWB-RT-PriceCurves.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="634" data-original-width="1277" height="197" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhShJj1FT2ZjIQhpZ6usqN75R6P0_DIpT3s0dHEaMHQ_sUgvtfaeSxMgcyGli40-QNH1Q9YFM5bRjGzk8dhABs3aGjjukxu_4avZGTvTxluWbtEG63NsWAx0opihehl-lmha6mVm2VlNMc/s400/1_BWB-RT-PriceCurves.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
Using the Black-Scholes model we can simulate how the put prices of our RTT strikes will change with DTE. For a given strike, we can use the actual IVs from our options chains as inputs to the Black-Scholes model.<br />
<br />
For the lower long strike of our RTT, the 2430 strike, we have IVs at 7 DTE, 14 DTE, 20 DTE, 48 DTE, and 83 DTE. At 83 DTE the IV of the 2430 strike is 13.9%, and at 7 DTE the IV of the 2430 strike is 20.0%. The chart below shows how the price of the 2430 strike decays with variable IV (changing from 13.9% to 20.0%), with fixed IV of 13.9%, and with fixed IV of 20.0%. The variable IV (purple line) is closer to how this option price will actually decay.<br />
<br />
<div class="separator" style="clear: both; text-align: center;">
</div>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhy6w4LG6pE4aC2Qz937cuReGgdlbcxempZCRSzSFa2kqKV0Yk0EeX5iw2cDCoheCSYct_EtZoUsS9oJaE8w3Xz9F9SGSin3hNWJsHNE807lBc8y5RptYUvUuCMB2LVQIuolV6oXACM1fY/s1600/1_BWB-RT-DecayLowerLong.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="625" data-original-width="1153" height="216" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhy6w4LG6pE4aC2Qz937cuReGgdlbcxempZCRSzSFa2kqKV0Yk0EeX5iw2cDCoheCSYct_EtZoUsS9oJaE8w3Xz9F9SGSin3hNWJsHNE807lBc8y5RptYUvUuCMB2LVQIuolV6oXACM1fY/s400/1_BWB-RT-DecayLowerLong.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The theoretical decay of the center short strike is shown in the chart below.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgw3yzQ2T-GLdXH8JmhJ8fTB-11lYdRB-KdbnIks38gsPLxj-G69Uk83xJbhKjaFiQaaivixrFq7l1YPje2HyCLN4-NLHzwkL2qpWhzEBcy1frFyrCY4dgGsnhHMiSMCWzCYuZWJvTXlM4/s1600/1_BWB-RT-DecayCenterShort.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="630" data-original-width="1153" height="217" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgw3yzQ2T-GLdXH8JmhJ8fTB-11lYdRB-KdbnIks38gsPLxj-G69Uk83xJbhKjaFiQaaivixrFq7l1YPje2HyCLN4-NLHzwkL2qpWhzEBcy1frFyrCY4dgGsnhHMiSMCWzCYuZWJvTXlM4/s400/1_BWB-RT-DecayCenterShort.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
Finally, the theoretical decay of the upper long strike is shown in the next chart.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjQr-hlIru8kMLazL6yCho0U9JQOsG1yRtgKP-0NKkbCxh-mYZ3nlwlp53HaALWN5q_fy1jSPpJVSGcwrYONLpSx6GXEFsCx2ax9WsS4YHVAwszh-vzsAlwaL_D1C_LisJovLqp_Qbe1ow/s1600/1_BWB-RT-DecayUpperLong.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="630" data-original-width="1153" height="217" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjQr-hlIru8kMLazL6yCho0U9JQOsG1yRtgKP-0NKkbCxh-mYZ3nlwlp53HaALWN5q_fy1jSPpJVSGcwrYONLpSx6GXEFsCx2ax9WsS4YHVAwszh-vzsAlwaL_D1C_LisJovLqp_Qbe1ow/s400/1_BWB-RT-DecayUpperLong.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
So, how do we expect the price of the entire RTT to evolve with time? This is shown in ThinkOrSwim (TOS), using four 20 day steps, in the image below. We can see that if the market did not move, and if the IV stayed constant, we would expect the price to increase through December (gray line), before finally dropping in value into expiration (yellow line). If the market were to drop closer to our center short strike, the profit potential of this trade would clearly increase.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj9atBB4gKDdpRM-2VK7OTrZd3v6tqCth1YRLFlMFGmN4CB3hCZi6Lnj9eRZy26xebuOE4ohzqSpjrScHjhvi0Yvi1-O3_e9HFqc4zuJfBDEfzfMYrjFtbM_TVfsuT2eUrZdzI2nIK1E0M/s1600/1_BWB-RT-DayStep.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="801" data-original-width="1327" height="241" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj9atBB4gKDdpRM-2VK7OTrZd3v6tqCth1YRLFlMFGmN4CB3hCZi6Lnj9eRZy26xebuOE4ohzqSpjrScHjhvi0Yvi1-O3_e9HFqc4zuJfBDEfzfMYrjFtbM_TVfsuT2eUrZdzI2nIK1E0M/s400/1_BWB-RT-DayStep.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
Using the theoretical Black-Scholes option prices from the analysis above, we can model the RTT price by DTE. Assuming the market and IV remain constant, the Black-Scholes model shows the RTT price change by DTE in the chart below.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiQ53fS96DYXy06noh7hEpOhTsN147cayCoOuUuWZcF-fCdbMQIUyObE6BB29Jmat1Q5_mdYtimT1rV8M2Ak8KCEMv8PkVdJi1mNDJFB_lR728dJhZRZEXaCWjAEPFLMKVCTNxmVUfnUzo/s1600/1_BWB-RT-TradePrice.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="625" data-original-width="1153" height="216" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiQ53fS96DYXy06noh7hEpOhTsN147cayCoOuUuWZcF-fCdbMQIUyObE6BB29Jmat1Q5_mdYtimT1rV8M2Ak8KCEMv8PkVdJi1mNDJFB_lR728dJhZRZEXaCWjAEPFLMKVCTNxmVUfnUzo/s400/1_BWB-RT-TradePrice.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
Neither the TOS model or the Black-Scholes model reflect what will actually happen with this trade, even if both the SPX and IV remained constant. These models do provide a view of the general trend of price change with DTE, which can be useful when evaluating your actual trades.<br />
<br />
I'll run through a similar analysis of two more BWB structures in the next few days, before finally finishing up with the Iron Condor backtest analysis.<br />
<br />
<br />
<i>Follow my blog by email, RSS feed or Twitter (<a href="https://twitter.com/DTRTrading">@DTRTrading</a>). All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", </i><i>"Follow By Email", and "Twitter"</i><i>. </i><br />
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Unknownnoreply@blogger.com0tag:blogger.com,1999:blog-771169794002155719.post-42084760192242648412017-08-29T06:00:00.000-06:002017-08-29T06:00:17.869-06:00Iron Condor Results Summary - Part 4 - Top Performers By MetricIn this article we will look at a subset of the 3024 iron condor strategy variations that were tested between January 2007 and September 2016. Specifically, we will look at the 1512 iron condor strategy variations that used both stop losses and profit targets. Out of these 1512 variations we will look at the top performers in terms of the following metrics:<br />
<ol>
<li>P&L / Trade (total return)</li>
<li>Largest Loss % (looking for the smallest value)</li>
<li>P&L / Day</li>
<li>Win Rate</li>
<li>Profit Factor</li>
<li>Sortino Ratio</li>
<li>Shortest time in trade for winning trades (in terms of % of DTE)</li>
</ol>
<br />
The top scoring iron condor strategy variations for each of these seven categories are listed below. For each metric, the metric value is listed first, followed by the details of the iron condor strategy variation that generated that value, followed by win rates, and finally the strategy score as described in the last article <a href="http://dtr-trading.blogspot.com/2017/08/iron-condor-results-summary-part-3-2017.html" target="_blank"><b>here</b></a>.
<br />
<ol>
<li><b>P&L / Trade (9.1%): </b></li>
<ul>
<li>80 DTE</li>
<li>ST structure</li>
<li>50 pt. wings</li>
<li>20 delta shorts </li>
<li>300% stop loss / 75% profit taking</li>
<li><span style="color: blue;">2007 - 2016 win rate: 79%</span></li>
<li><span style="color: blue;">2016 - 2017 win rate: 75%</span></li>
<li><span style="color: blue;">Strategy score: 67</span></li>
</ul>
<li><b>Largest Loss % (-11%): </b></li>
<ul>
<li>66 DTE</li>
<li>DN structure</li>
<li>75 pt. wings</li>
<li>8 delta shorts</li>
<li>100% stop loss / 50% profit taking</li>
<li><span style="color: blue;">2007 - 2016 win rate: 82%</span></li>
<li><span style="color: blue;">2016 - 2017 win rate: 92%</span></li>
<li><span style="color: blue;">Strategy score: 72</span></li>
</ul>
<li><b>P&L / Day (0.18%): </b></li>
<ul>
<li>45 DTE</li>
<li>DN structure</li>
<li>25 pt. wings</li>
<li>20 delta shorts</li>
<li>300% stop loss / 50% profit taking</li>
<li><span style="color: blue;">2007 - 2016 win rate: 86%</span></li>
<li><span style="color: blue;">2016 - 2017 win rate: 75%</span></li>
<li><span style="color: blue;">Strategy score: 74</span></li>
</ul>
<li><b>Win Rate (96%): </b></li>
<ul>
<li>80 DTE</li>
<li>ST structure</li>
<li>25 pt. wings</li>
<li>8 delta shorts</li>
<li>300% stop loss / 50% profit taking</li>
<li><span style="color: blue;">2007 - 2016 win rate: 96%</span></li>
<li><span style="color: blue;">2016 - 2017 win rate: 83%</span></li>
<li><span style="color: blue;">Strategy score: 90</span></li>
</ul>
<li><b>Profit Factor (4.5%): </b></li>
<ul>
<li>80 DTE</li>
<li>ST structure</li>
<li>25 pt. wings</li>
<li>8 delta shorts</li>
<li>300% stop loss / 50% profit taking</li>
<li><span style="color: blue;">2007 - 2016 win rate: 96%</span></li>
<li><span style="color: blue;">2016 - 2017 win rate: 83%</span></li>
<li><span style="color: blue;">Strategy score: 90</span></li>
</ul>
<li><b>Sortino Ratio (0.25): </b></li>
<ul>
<li>80 DTE</li>
<li>DN structure</li>
<li>50 pt. wings</li>
<li>8 delta shorts</li>
<li>100% stop loss / 75% profit taking</li>
<li><span style="color: blue;">2007 - 2016 win rate: 77%</span></li>
<li><span style="color: blue;">2016 - 2017 win rate: 75%</span></li>
<li><span style="color: blue;">Strategy score: 69</span></li>
</ul>
<li><b>%DTE (30%): </b></li>
<ul>
<li>80 DTE</li>
<li>EL structure</li>
<li>25 pt. wings</li>
<li>8 delta shorts</li>
<li>100% stop loss / 50% profit taking</li>
<li><span style="color: blue;">2007 - 2016 win rate: 79%</span></li>
<li><span style="color: blue;">2016 - 2017 win rate: 67%</span></li>
<li><span style="color: blue;">Strategy score: 74</span></li>
</ul>
</ol>
<br />
Out of these seven iron condor strategy variations, there was one duplicate...the strategy that generated the top win rate was also the strategy that generated the top profit factor. Now, lets look at the equity curves for these six strategy variations. Note, for reference, an SPX chart is included below the equity curve chart.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgWXqIZ0vCYg20pXkJ6WIISpqrXp5tTI1mIfVgcY7V7PNxyxkDA0Kc2vKIafnZAxZVF9A6N3CDsZtORuybdCk0qusDtnjT9FH10coBfpNAmZNqpK_FJD5AgxObZKV0yyyWXbFB8MlUDAbk/s1600/SPX-IC-Equity-Curves.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="657" data-original-width="1303" height="200" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgWXqIZ0vCYg20pXkJ6WIISpqrXp5tTI1mIfVgcY7V7PNxyxkDA0Kc2vKIafnZAxZVF9A6N3CDsZtORuybdCk0qusDtnjT9FH10coBfpNAmZNqpK_FJD5AgxObZKV0yyyWXbFB8MlUDAbk/s400/SPX-IC-Equity-Curves.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhppYZIEHkeN8CSrNBuRQFkMctyFoQjDOAmuHk4ialDOJUz6Kn9F7LCXchznSmr2uk5lR4XxNiw308ENL9KMLmy2wnhrk6mBD9g6xOrs6P-7pvW2VvwX8ocTYuNIHokwd1xNFgZHHcfNrc/s1600/SPX-technical-charte.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="657" data-original-width="1304" height="200" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhppYZIEHkeN8CSrNBuRQFkMctyFoQjDOAmuHk4ialDOJUz6Kn9F7LCXchznSmr2uk5lR4XxNiw308ENL9KMLmy2wnhrk6mBD9g6xOrs6P-7pvW2VvwX8ocTYuNIHokwd1xNFgZHHcfNrc/s400/SPX-technical-charte.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The two iron condor strategy variations using 20 delta short strikes had the highest returns, but also the least smooth equity curves. The strategy variation with the highest win rate, had the third highest returns on this chart, but has been under performing in 2017.<br />
<br />
The return distribution for these monthly trades for the initial test range (January 2007 through September 2016) is shown in the table below.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgNFK141agrR1fMRUZyg9r0YlZpHXiXx12yBOZuKuRlN0bMJDUPlMXx0ohDZ07zJh1h-PXfWoZcutNBFOMO2muLcEgG3DC0KPTvw2hqk1kENpK9poawbwPf7HJMqsgpuTFt7Zgbt7UAz2Y/s1600/SPX-IC-Return-distribution2.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="252" data-original-width="664" height="151" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgNFK141agrR1fMRUZyg9r0YlZpHXiXx12yBOZuKuRlN0bMJDUPlMXx0ohDZ07zJh1h-PXfWoZcutNBFOMO2muLcEgG3DC0KPTvw2hqk1kENpK9poawbwPf7HJMqsgpuTFt7Zgbt7UAz2Y/s400/SPX-IC-Return-distribution2.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<div class="separator" style="clear: both; text-align: center;">
</div>
<br />
The strategy variation with the shortest time in trade, also had the smallest absolute loss, but not the smallest loss as a percentage of capital at risk. This table doesn't provide any new information, but does provide some data driving the shapes of the equity curves shown above.<br />
<br />
Now let's take a look at the returns for the one year period running from July 2016 expiration through the June 2017 expiration.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj735RkOA8vh8INUj34JxTn48RDv8Ab2D4e64wapl9v19k_hNCCEqHb2Qck_jaHcFyqbwQMR9f1T7LuAsdOgcY7Mx0hSZti45Ou8i6t8j2fnvn8ti2EIZAvHg1TdEP93nyzdjj2-NT4k9c/s1600/SPX-IC-Monthly-returns.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="589" data-original-width="841" height="280" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj735RkOA8vh8INUj34JxTn48RDv8Ab2D4e64wapl9v19k_hNCCEqHb2Qck_jaHcFyqbwQMR9f1T7LuAsdOgcY7Mx0hSZti45Ou8i6t8j2fnvn8ti2EIZAvHg1TdEP93nyzdjj2-NT4k9c/s400/SPX-IC-Monthly-returns.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
During this recent one year period, the win rates and returns for these iron condor strategy variations (except for one!) have lagged their historical averages.<br />
<br />
The one strategy variation that bucked this under performance trend was the one with the smallest "Largest Loss" number...the 66 DTE, DN structure, 75 pt. wing, 8 delta short iron condor with a 100% stop loss and a 50% profit taking level. This strategy had a 25.2% return during this most recent one year test period, with a win rate of 92%. Historically, this strategy returned 18% per year, with a win rate of 82%. Note, this is the strategy with the solid red equity curve above.<br />
<br />
The other strategy variation that was closest to it's historical metrics was the one with the highest Sortino Ratio...the 80 DTE, DN structure, 50 pt. wing, 8 delta short iron condor with a 100% stop loss and a 75% profit taking level. This strategy had a 20.1% return during this most recent one year test period, with a win rate of 75%. Historically, this strategy returned 32% per year, with a win rate of 77%. Note, this is the strategy with the red dashed equity curve above.<br />
<br />
The two better preforming strategy variations during this recent one year period were both delta neutral (DN) structures.<br />
<br />
In the next article, we'll look at a few of the higher scoring iron condors. These tended to be initiated at 80 DTE, with short strike deltas at either 8 or 12. <br />
<br />
<br />
<i>Follow my blog by email, RSS feed or Twitter (<a href="https://twitter.com/DTRTrading">@DTRTrading</a>). All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", </i><i>"Follow By Email", and "Twitter"</i><i>. </i><br />
<br />Unknownnoreply@blogger.com4tag:blogger.com,1999:blog-771169794002155719.post-90963451616852972522017-08-07T06:00:00.000-06:002017-08-26T16:00:11.568-06:00Iron Condor Results Summary - Part 3 - 2017 ResultsIn this article we'll look more deeply at the following iron condor (IC) strategy variations:<br />
<ul>
</ul>
<ol>
<li>38 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking</li>
<li>80 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking</li>
<li>80 DTE, 75 pt. wings, 12 delta shorts, 200% stop loss, 50% profit taking</li>
</ol>
These strategy variations <i>appeared </i>to be the strongest based on their metrics, and the stability of their metrics. A summary of all of the articles in this series can be found <a href="http://dtr-trading.blogspot.com/p/spx.html" target="_blank"><b>here</b></a>.<br />
<br />
Recall, that in this series of IC articles we looked at three different starting structures (see <a href="http://dtr-trading.blogspot.com/2016/12/new-iron-condor-series-introduction.html" target="_blank"><b>introduction</b></a>):<br />
<ol>
<li>Standard (ST): equal number of call spreads and put spreads</li>
<li>Delta Neutral (DN): fewer call spreads than put spreads ... can better withstand up moves</li>
<li>Extra Long Put (EL): same as ST, but with one extra long put ... can better withstand down moves</li>
</ol>
In the sections below, we'll look at how these three structures (ST, DN, EL) perform relative to each other in each of the three strategy variations listed at the top of this page.<br />
<br />
Lastly, in the prior articles in this series, I used data from trades running from the January 2007 expiration through the September 2016 expiration. In this article I have expanded the results to include trades from the January 2007 expiration through the June 2017 expiration.<br />
<br />
<br />
<u style="font-weight: bold;">IC Strategy 1</u> <i>(38 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking)</i><br />
<br />
The equity curves for the three structures, executing trades only using the <i>monthly </i>options, are shown below.<br />
<div>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><img border="0" data-original-height="738" data-original-width="1420" height="207" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEggt32WS9jUG15_vWfzWKoT1W5CZhUiDFtmVJL7ao94M3lzzYfrtWxQo9zj_XeH9gHj8sSkrvo3A5KTzYf2QHevAdaaNNR_bfCxxlIsVoDysvGjkNiubE7VxbSB0_DgAOGB4W8-Kl6n0j9L/s400/SPX-IC-38DTE-25pt-20delta-100-50-Equity-Curves.png" width="400" /></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The equity curves for the standard (ST) and delta neutral (DN) look better than the extra long put structure, with the DN looking the best. Neither the DN or ST structures really started performing well until January 2012. Overall, these equity curves at 38 DTE are pretty jagged.<br />
<br />
The returns for each of these structures over the last 12 months of backtests are shown in the tables below.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><img border="0" data-original-height="102" data-original-width="899" height="45" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg9c0_zmXmu-VAP5vKboeMb1DuMTJdGf1BNBiAgG5G8xEfLBjIKV9fSAkRVURLOdXd15MTQ4kfkgy7gl47J3XXPMo4Qb5wm0UtBpxkDP9aM6nNmE2FkL62ipd7SAAhZpM_oCEurEjSkTBKW/s400/SPX-IC-38DTE-25pt-20delta-100-50-Returns-DN.png" width="400" /></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><img border="0" data-original-height="104" data-original-width="899" height="45" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg_tYxg72yD8b_bYJZ1XivrGh8qrenwMA3YP05EPSDl3UpDj0UfRdUOCcKKAjnCC5gv1I5zxsoKAvnAgpleHg2jVKEEfHugpqrHmtefneobx0nGU8MKoZvfKreeJ5yT72EqDBMesFvA-uY-/s400/SPX-IC-38DTE-25pt-20delta-100-50-Returns-EL.png" style="margin-left: auto; margin-right: auto;" width="400" /></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><img border="0" data-original-height="104" data-original-width="899" height="45" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiePUoXBtoZhrSnwxyXDsAHaSGqzquylL9KC0SJSwb9VOfljxjDElcdRUYGWxvq4iePSHXoL9Leds6oEKl4pGZRsROvP4UqWUkCyX9LIOECFdbKTV-taGAA9Egc5w9pseCGzbgdLYhYidNP/s400/SPX-IC-38DTE-25pt-20delta-100-50-Returns-ST.png" width="400" /></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The July 2016 expiration hit the DN and ST structures pretty hard, but the EL structure made money during that expiration. The V bottom at the end of June triggered stop loss exits on the DN and ST structures.<br />
<br />
The December 2016 expiration was the next losing trade, with upside stop losses being triggered (DN 8-Dec-2016, EL 25-Nov-2016, ST 7-Dec-2016). The smallest loss on this expiration occurred with the EL structure.<br />
<br />
The March 2017 expiration was again the result of upside stop losses being triggered (DN 23-Feb-2017, EL 15-Feb-2017, ST 15-Feb-2017). The smallest loss on this expiration occurred with the DN structured.<br />
<br />
The highest total returns for this 12 month period were associated with the EL structure, with second place going to the ST structure.<br />
<br />
The metrics for each of the three structures are shown in the table below. There are three major groupings in this table, with each grouping containing the results for a specific structure (DN, EL, ST). For each structure, there are three rows of metrics organized as follows:<br />
<ol>
<li>First row - results from trades on weekly expirations from Jan 2007 through Sep 2016</li>
<li>Second row - results from trades on weekly expirations from Jan 2007 through June 2017</li>
<li>Third row - results from trades on monthly expirations from Jan 2007 through June 2017</li>
</ol>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEghGeLVWLpYu-lzfeK1jyO3-JyXhGApKV_6gbeBwX81ZhF03aJm-vp_vTKzpRsE4GP8fgKI2JmPl-3oP64KmP5vjJU_9umYXcpJBqLg_ben52gWUfOPzWLuMKlDJe_iU-r0O-4J8GP_cHP0/s1600/SPX-IC-38DTE-25pt-20delta-100-50-Metrics-3-Ranges.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="247" data-original-width="1307" height="75" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEghGeLVWLpYu-lzfeK1jyO3-JyXhGApKV_6gbeBwX81ZhF03aJm-vp_vTKzpRsE4GP8fgKI2JmPl-3oP64KmP5vjJU_9umYXcpJBqLg_ben52gWUfOPzWLuMKlDJe_iU-r0O-4J8GP_cHP0/s400/SPX-IC-38DTE-25pt-20delta-100-50-Metrics-3-Ranges.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
In general, the metrics are pretty stable across the different time periods and frequencies. Metrics for the last 12 months were:<br />
<ol>
<li>DN - win rate: 75%; average p&l/trade: 1.3%</li>
<li>EL - win rate: 83%; average p&l/trade: 6.3%</li>
<li>ST - win rate: 75%; average p&l/trade: 3.5%</li>
</ol>
<br />
<br />
<u style="font-weight: bold;">IC Strategy 2</u> <i>(80 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking)</i><br />
<br />
The equity curves for the three structures, executing trades only using the <i>monthly </i>options, are shown below.
<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiNoVI3U6fCbTBiH9-PuTkDtZ5qEnwgte0XrpWqv_YXtP_kW5xcw9jIpPWuPlWzoF3YIMRjMZp3fQCPIEMII0S3Q31dErNb2WXFl3ulJyvRwje3-oKFRIFGsMqUFKpcOqnzHYuuQAgMfbQu/s1600/SPX-IC-80DTE-25pt-20delta-100-50-Equity-Curves.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="738" data-original-width="1420" height="207" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiNoVI3U6fCbTBiH9-PuTkDtZ5qEnwgte0XrpWqv_YXtP_kW5xcw9jIpPWuPlWzoF3YIMRjMZp3fQCPIEMII0S3Q31dErNb2WXFl3ulJyvRwje3-oKFRIFGsMqUFKpcOqnzHYuuQAgMfbQu/s400/SPX-IC-80DTE-25pt-20delta-100-50-Equity-Curves.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
None of these equity curves look great, but the DN equity curve looks the best and has been in an uptrend since March 2009. As with the 38 DTE strategies presented first, these 80 DTE variations have fairly jagged equity curves.<br />
<br />
The returns for each of these structures over the last 12 months of backtests are shown in the tables below.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj4zpbY2JrjqqQZG2LIBUQIcgHvbCoAkb3r5zThD-b9sYuP9UEvMc7ONd8RfKmcSYqhII2wrETG7jk0tDl5WbS-3KLyaeE6cty-jPxSQZj2FmJi3BHX6NlDmbmt6aZQeLIBVf7LiM5mNAS1/s1600/SPX-IC-80DTE-25pt-20delta-100-50-Returns-DN.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="104" data-original-width="899" height="45" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj4zpbY2JrjqqQZG2LIBUQIcgHvbCoAkb3r5zThD-b9sYuP9UEvMc7ONd8RfKmcSYqhII2wrETG7jk0tDl5WbS-3KLyaeE6cty-jPxSQZj2FmJi3BHX6NlDmbmt6aZQeLIBVf7LiM5mNAS1/s400/SPX-IC-80DTE-25pt-20delta-100-50-Returns-DN.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh2H9Fh8XDWua9WkupWpoQduz6jGvgwRtVeAC4ZhHbDTyapzWuCnVH9QfohK1MmKRc2NJVtSZABORyWXIVj3ngOO65NN95G3Xa4yClVZYK44win7u8iKqrs5wIpiQIHf7PoKcfRHAuVyjmW/s1600/SPX-IC-80DTE-25pt-20delta-100-50-Returns-EL.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="104" data-original-width="898" height="45" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh2H9Fh8XDWua9WkupWpoQduz6jGvgwRtVeAC4ZhHbDTyapzWuCnVH9QfohK1MmKRc2NJVtSZABORyWXIVj3ngOO65NN95G3Xa4yClVZYK44win7u8iKqrs5wIpiQIHf7PoKcfRHAuVyjmW/s400/SPX-IC-80DTE-25pt-20delta-100-50-Returns-EL.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh0Jy8IsVO9CmypbLIJNkMnXoWO6qLvDLfmkUm25_HQFDs6_zywGTkyphw994GPJqrDLOTF4KZWcqQaRGl2tHeJONq0_YD1x382wChoG-R8P3eicMkKCxIbWuNl9n35vshyphenhyphen3gTUjXAr9xQJ/s1600/SPX-IC-80DTE-25pt-20delta-100-50-Returns-ST.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="103" data-original-width="899" height="45" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh0Jy8IsVO9CmypbLIJNkMnXoWO6qLvDLfmkUm25_HQFDs6_zywGTkyphw994GPJqrDLOTF4KZWcqQaRGl2tHeJONq0_YD1x382wChoG-R8P3eicMkKCxIbWuNl9n35vshyphenhyphen3gTUjXAr9xQJ/s400/SPX-IC-80DTE-25pt-20delta-100-50-Returns-ST.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The trade on the September 2016 expiration was a loser for both the EL and ST structures. Upside stop losses were triggered on these trades on 8-Jul-2016 and 18-Jul-2016 respectively.<br />
<br />
The January 2017 expiration was a loser across all three structures. Upside stop losses were triggered on all of these structures on the following dates: 1) DN 6-Jan-2017, 2) EL 21-Nov-2016, and 3) ST 7-Dec-2016.<br />
<br />
The February 2017 expiration was a loser for the EL and ST structures. Upside stop losses were triggered on these trades on 13-Dec-2016 and 10-Feb-2017 respectively.<br />
<br />
The last losing trades occurred on the April 2017 expiration for both the EL and ST structures. Upside stop losses were triggered on these trades on 15-Feb-2017 and 24-Feb-2017 respectively.<br />
<br />
All of the losses on these 80 DTE trades occurred due to upside moves. Not surprisingly, the DN structure performed the best during the last year since it better handles upside moves.<br />
<br />
The metrics for each of the three structures are shown in the table below. As mentioned above, this table first groups the metrics by structure (DN, EL, ST), and then by time period / frequency.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEil142x1SOk6cw0QZm4pi5Y_8L9X3uSoCv89k4grbFvFqTgQTLdDmGhovG0Z_8HzsLpNV_vCT7soURfrj2SwfIefVCzciGdGhbAqfBebNgel5oDKcF6KbUSql7kuaeRCc9Ie7oxyByd-2Py/s1600/SPX-IC-80DTE-25pt-20delta-100-50-Metrics-3-Ranges.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="247" data-original-width="1306" height="75" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEil142x1SOk6cw0QZm4pi5Y_8L9X3uSoCv89k4grbFvFqTgQTLdDmGhovG0Z_8HzsLpNV_vCT7soURfrj2SwfIefVCzciGdGhbAqfBebNgel5oDKcF6KbUSql7kuaeRCc9Ie7oxyByd-2Py/s400/SPX-IC-80DTE-25pt-20delta-100-50-Metrics-3-Ranges.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The metrics for the DN and EL structures were fairly consistent across time periods and frequency. The ST structure was not as stable, specifically with its P&L/trade numbers. The Jan-2007 through Sep-2016 period had the highest returns, and these return numbers dropped significantly when the period was expanded to Jan-2007 through Jun-2017. Trading this structure on a monthly cycle reduced the per trade returns even more. Metrics for the last 12 months were:<br />
<ol>
<li>DN - win rate: 92%; average p&l/trade: 9.2%</li>
<li>EL - win rate: 67%; average p&l/trade: 0.4%</li>
<li>ST - win rate: 67%; average p&l/trade: 0.4%</li>
</ol>
<br />
<br />
<u style="font-weight: bold;">IC Strategy 3</u> <i>(80 DTE, 75 pt. wings, 12 delta shorts, 200% stop loss, 50% profit taking)</i>
<br />
<br />
The equity curves for the three structures, executing trades only using the <i>monthly </i>options, are shown below.
<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhGFyY_YNETng9GdEgQ9AAiNiT7ryhLsAzFVRPnFD6kqWbffIV11sAl6uQDgdx99SWCkIRj3vrvrdUvGGfMFATEcut1U9OGkCHw8NqJCfdTxrW9WMru9tY3XuP1Y848qxAhoy4vOe9CeuMt/s1600/SPX-IC-80DTE-75pt-12delta-200-50-Equity-Curves.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="739" data-original-width="1420" height="207" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhGFyY_YNETng9GdEgQ9AAiNiT7ryhLsAzFVRPnFD6kqWbffIV11sAl6uQDgdx99SWCkIRj3vrvrdUvGGfMFATEcut1U9OGkCHw8NqJCfdTxrW9WMru9tY3XuP1Y848qxAhoy4vOe9CeuMt/s400/SPX-IC-80DTE-75pt-12delta-200-50-Equity-Curves.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
With the lower delta short strikes and larger stop loss, the equity curves for this family of strategies were generally smoother than the prior two families of strategies. The equity curve for the DN structure appears to be the most consistent, but the curves for all of these structures have been flat to down for the last two years.<br />
<br />
The returns for each of these structures over the last 12 months of backtests are shown in the tables below.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgZId6HIWQRN9wSUnbZ-ZeFmo0tjKXym9X5sm2CFYPKrXrCI_iki6IwppLpWiM4Q0KaXhM_-UlztEIXKAEtF_dqRDWKXKqILrmE40c08rvXgeJYJH7NNz23YO3Jf2o_Vux7o9hl9saL5G7z/s1600/SPX-IC-80DTE-75pt-12delta-200-50-Returns-DN.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="102" data-original-width="899" height="45" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgZId6HIWQRN9wSUnbZ-ZeFmo0tjKXym9X5sm2CFYPKrXrCI_iki6IwppLpWiM4Q0KaXhM_-UlztEIXKAEtF_dqRDWKXKqILrmE40c08rvXgeJYJH7NNz23YO3Jf2o_Vux7o9hl9saL5G7z/s400/SPX-IC-80DTE-75pt-12delta-200-50-Returns-DN.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjuwQq56ykaHrt5xmvOz3nz8SYLzU9bRxvqSOoNQfOMBMRHZ4URMD4WgKiFu6_3s0UN2nvl_XbDcxWpgaJlfS4cxW2mZwoaEWPALMHvARtsHG_Nj4Zz6VPfgcvWN64KH1D_JK4RiuDOdbdp/s1600/SPX-IC-80DTE-75pt-12delta-200-50-Returns-EL.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="102" data-original-width="898" height="45" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjuwQq56ykaHrt5xmvOz3nz8SYLzU9bRxvqSOoNQfOMBMRHZ4URMD4WgKiFu6_3s0UN2nvl_XbDcxWpgaJlfS4cxW2mZwoaEWPALMHvARtsHG_Nj4Zz6VPfgcvWN64KH1D_JK4RiuDOdbdp/s400/SPX-IC-80DTE-75pt-12delta-200-50-Returns-EL.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiG7fZrzdfzkxPz6w0J194GN_EGgaB5N2wy150FfzIItjC4PkBdrmIJBfHe7fyNlhT7TfD77KQGOGKUGfxujjioZlD_5Fg_eOe27AQifRjXW45c6tuCvbsvqNfdZVZM0kkEhystE9t0CSFr/s1600/SPX-IC-80DTE-75pt-12delta-200-50-Returns-ST.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="104" data-original-width="898" height="46" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiG7fZrzdfzkxPz6w0J194GN_EGgaB5N2wy150FfzIItjC4PkBdrmIJBfHe7fyNlhT7TfD77KQGOGKUGfxujjioZlD_5Fg_eOe27AQifRjXW45c6tuCvbsvqNfdZVZM0kkEhystE9t0CSFr/s400/SPX-IC-80DTE-75pt-12delta-200-50-Returns-ST.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The first losing trades occurred with the September 2016 expiration for the EL and ST structures. Upside stop losses were triggered on 14-Jul-2016, and 20-Jul-2016 respectively. This was a losing month with the other 80 DTE strategy for these structures as well.<br />
<br />
The January 2017 expiration trades were losers for all three structures. Upside stop losses were triggered for all three structures: 1) DN 13-Dec-2016, 2) EL 8-Dec-2016, and 3) ST 9-Dec-2016.<br />
<br />
The last losing trades occurred with the April 2017 expiration and were the result of upside stop losses being hit on the EL and ST structures. Both of these trades were exited on 1-Mar-2017.<br />
<br />
All of the losses for these 80 DTE trades were again due to upside moves. The DN structure was the clear winner with the other two structures having negative returns for the last 12 month period.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgnZSrGB5cTJeDq8dj1CtBxG2jhhr69aIKQvITNcAbhIPFfGQryz7vYSAzNBWEfgL16CWJd7vkKC2GjO-NNwnFeyBcJ42-HU9GYo7Tbr-zvvRGbzCc7sO3VEHRSBBqPYlCgPi7PAIKGtanr/s1600/SPX-IC-80DTE-75pt-12delta-200-50-Metrics-3-Ranges.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="249" data-original-width="1306" height="76" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgnZSrGB5cTJeDq8dj1CtBxG2jhhr69aIKQvITNcAbhIPFfGQryz7vYSAzNBWEfgL16CWJd7vkKC2GjO-NNwnFeyBcJ42-HU9GYo7Tbr-zvvRGbzCc7sO3VEHRSBBqPYlCgPi7PAIKGtanr/s400/SPX-IC-80DTE-75pt-12delta-200-50-Metrics-3-Ranges.png" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The metrics for the DN structure was fairly consistent across time periods and frequency. The EL and ST structures were not as stable, specifically with their P&L/trade numbers. The Jan-2007 through Sep-2016 period had the highest returns, and these return numbers dropped when the period was expanded to Jan-2007 through June-2017. Trading this structure on a monthly cycle reduced the per trade returns even more. Metrics for the last 12 months were:<br />
<ol>
<li>DN - win rate: 92%; average p&l/trade: 3.0%</li>
<li>EL - win rate: 75%; average p&l/trade: -2.7%</li>
<li>ST - win rate: 75%; average p&l/trade: -2.8%</li>
</ol>
<br />
<br />
<u style="font-weight: bold;">Summary</u><br />
<br />
I didn't really like the performance of these three families of strategies, and was a bit disappointed with their equity curves. After looking at this data, I decided to look at all 3024 strategy variations again and rank them.<br />
<br />
I created a composite score for each of the 3024 strategy variations by equal weighting 7 metrics:<br />
<ol>
<li>Avg. P&L / trade</li>
<li>Biggest Loss</li>
<li>Avg. P&L / day</li>
<li>Win %</li>
<li>Sortino Ratio</li>
<li>Profit Factor</li>
<li>Avg DIT Winner (%DTE). </li>
</ol>
Each strategy ended up with an integer score from 2 to 92, with the possible range being 0 to 100. Using this approach, many strategies ended up having the same score. The scores of the strategy variations covered in this article were:<br />
<ol>
<li>38 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking</li>
<ol>
<li>DN: <b>70</b></li>
<li>EL: <b>43</b></li>
<li>ST: <b>60</b></li>
</ol>
<li>80 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking</li>
<ol>
<li>DN: <b>62</b></li>
<li>EL: <b>36</b></li>
<li>ST: <b>73</b></li>
</ol>
<li>80 DTE, 75 pt. wings, 12 delta shorts, 200% stop loss, 50% profit taking</li>
<ol>
<li>DN: <b>81</b></li>
<li>EL: <b>81</b></li>
<li>ST: <b>83</b></li>
</ol>
</ol>
Out of the 3024 strategy variations tested, only 1512 used both stop losses and profit targets. Out of these 1512 strategy variations, only 54 have a score of 80 or greater. In the next article, we'll try to find some better performing strategy variations.<br />
<br />
<br />
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<br /></div>
Dave R.http://www.blogger.com/profile/03362989471822664073noreply@blogger.com1tag:blogger.com,1999:blog-771169794002155719.post-71546293161849521542017-06-22T06:00:00.000-06:002017-06-22T06:00:22.508-06:00Iron Condor Results Summary - Part 2 - Loss LevelsIn the <a href="http://dtr-trading.blogspot.com/2017/05/iron-condor-results-summary.html" target="_blank">last article</a> we looked at the backtest results from 600,912 iron condor trades entered between January 2007 and September 2016. The focus in that article was on <b>win rate</b> and <b>normalized P&L per day</b> for each of the 3024 variations tested. Recall that we looked at combinations of:<br />
<ul>
<li>Trade entry dates based on days to expiration (DTE)</li>
<li>Iron condor wing widths</li>
<li>Iron condor short strike position based on delta</li>
<li>Iron condor structures (standard balanced (ST), extra long put (EL), and delta neutral (DN))</li>
<li>Stop loss as a percentage of credit received (risk)</li>
<li>Profit target as a percentage of credit received (reward)</li>
</ul>
<br />
In this article we will look at a subset of those 3024 iron condor variations...the 2016 iron condor variations that used a profit target. Most traders don't want to carry their trades to expiration, but instead want to exit based on predefined profit targets and stop loss levels.<br />
<br />
This article will look at several metrics in those 2016 iron condor variations, and group them by stop loss level. Many traders select strategies based on the amount of capital at risk, and a stop loss level can <i>help</i> define this amount. This article is meant to: a) help identify the optimal strategy variations based on stop loss level, and b) help identify the overall top performing strategy variations.<br />
<br />
<br />
<b><u>Stop Loss - 100% of credit received</u></b><br />
<ul>
<li><b><i><u>100% Stop Loss - Top 10 Strategy Variations By Metric</u></i></b></li>
</ul>
<blockquote class="tr_bq">
At this stop loss level, the trades entered at shorter DTE (specifically 38 DTE) dominate the top 10 average normalized P&L per day readings. This trend is visible even in the top 50 strategy variations at this stop loss level. The strongest combination to maximize P&L per day with a 100% stop loss level was 38 DTE, 25 point wings, 20 delta short strikes, standard structure (ST), with profit taking at 50%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhKYCBq6xS60G4cFiG_ccIObZk166ukYwTIxDJqYJuLvIufipOLzqanOIZGdkyd2TBs8RjWxu1zjEQYDsm_KoyC7ziwBUZ-FRU-d9_pjILSsRmEBWkoK77Q1YujsRomFFJdaiv7TJH_1ls/s1600/PLperDay_No_NAs_Loss-100_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="173" data-original-width="1219" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhKYCBq6xS60G4cFiG_ccIObZk166ukYwTIxDJqYJuLvIufipOLzqanOIZGdkyd2TBs8RjWxu1zjEQYDsm_KoyC7ziwBUZ-FRU-d9_pjILSsRmEBWkoK77Q1YujsRomFFJdaiv7TJH_1ls/s400/PLperDay_No_NAs_Loss-100_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Day - Top 10 Variations </td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
To maximize trade returns at this stop loss level, you'd look to initiate your trade between 73 and 80 DTE, with 25 point wings, with 20 delta short strikes, using the standard balanced IC structure (ST), with profit taking at between 50% and 75%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjFw9SWtqDpM0lT904hyItr5NviJNTePnpeCgGV4uI4e2kt1lS3L2q6of_XpMrfaM62mM12iPsX-Yqqgspip1yk3LqBYGJZKxi4MvYJBvi25phCv4aTNL9rEm5V2FvouCCpbJX6nvw58nA/s1600/PLperTrade_No_NAs_Loss-100_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="173" data-original-width="1219" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjFw9SWtqDpM0lT904hyItr5NviJNTePnpeCgGV4uI4e2kt1lS3L2q6of_XpMrfaM62mM12iPsX-Yqqgspip1yk3LqBYGJZKxi4MvYJBvi25phCv4aTNL9rEm5V2FvouCCpbJX6nvw58nA/s400/PLperTrade_No_NAs_Loss-100_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Trade - Top 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
Looking at the top 10 profit factors at this stop loss level sees another shift in the top performing strategy variations. The top profit factors were still associated with the 73 to 80 DTE starting range, but now we see the top variations having 50 point wings, with 8 delta short strikes, using the delta neutral (DN) IC structure, with profit taking leaning towards the 50% level. The DN structure still dominates as we expand results to look at the top 25. It's also worth noticing that these combinations also have some of the highest Sortino ratios at this stop loss level.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEggObjNWcTdIC1OChaY6geX7L6h-A8gU5F9QX9ni7TDNocih9mgIhlMcKXxdsoXWLsrJ07JBW3oKBgpPdXsyM12YPeQE4rcxk8QFDuDKPPdvtW-KC8sBOec04QlTwiJ6z2J5FXarhyphenhyphenZ-g0/s1600/ProfitFactor_No_NAs_Loss-100_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="171" data-original-width="1218" height="55" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEggObjNWcTdIC1OChaY6geX7L6h-A8gU5F9QX9ni7TDNocih9mgIhlMcKXxdsoXWLsrJ07JBW3oKBgpPdXsyM12YPeQE4rcxk8QFDuDKPPdvtW-KC8sBOec04QlTwiJ6z2J5FXarhyphenhyphenZ-g0/s400/ProfitFactor_No_NAs_Loss-100_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Profit Factor - Top 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The top 10 win rates at the 100% stop loss level were associated with strategy variations with short strikes at 8 delta and profit taking at 50%. These top variations also tended to have wing widths in the 50 to 75 point range, and also leaned toward delta neutral (DN) IC structures. These top performing variations started anywhere from 59 to 80 DTE.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgvTdVhZf6tWYgOEJ2iwbtNjag2VyUvPwmk5KqCrcl_EacDbpgwY53fV6Q6cmUGAxVxvVuD46nUwz1frezyiDJnwlOcxWk3e6_iCHCTstIvwzgVADvt-tlDK35cGCoe0MdYQsoPnN0gyLc/s1600/WinRate_No_NAs_Loss-100_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1217" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgvTdVhZf6tWYgOEJ2iwbtNjag2VyUvPwmk5KqCrcl_EacDbpgwY53fV6Q6cmUGAxVxvVuD46nUwz1frezyiDJnwlOcxWk3e6_iCHCTstIvwzgVADvt-tlDK35cGCoe0MdYQsoPnN0gyLc/s400/WinRate_No_NAs_Loss-100_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Win Rate - Top 10 Variations</td></tr>
</tbody></table>
<br />
<ul>
<li><b><i><u>100% Stop Loss - Bottom 10 Strategy Variations By Metric</u></i></b></li>
</ul>
<blockquote class="tr_bq">
In contrast to the top 10 P&L per day strategy variations, the bottom 10 used the extra long put (EL) IC structure, with mid range starting DTE (45 - 59).</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj9hIVSx0YVxn6myGZgnf0-n56YbfanGA17y5vinMgL7sZbG-Q_LkiAU_QnjKet3Zf7TKHJNKyu3PrYQqz6thze8I029LN_ql8r9_EHZqiM1Fq64DfN9lXVphArpVyfkl4sLiPvDSpLDU0/s1600/PLperDay_No_NAs_Loss-100_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1218" height="55" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj9hIVSx0YVxn6myGZgnf0-n56YbfanGA17y5vinMgL7sZbG-Q_LkiAU_QnjKet3Zf7TKHJNKyu3PrYQqz6thze8I029LN_ql8r9_EHZqiM1Fq64DfN9lXVphArpVyfkl4sLiPvDSpLDU0/s400/PLperDay_No_NAs_Loss-100_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Day - Bottom 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The bottom 10 P&L per trade values were associated with mid range starting DTE (45 - 59), short strike deltas in the 8 - 12 range, and the extra long put (EL) IC structure.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgl9u4iMzBWKXAM82pH7bPXF5HP21O-YN9HaHPkVaFPxnEOqx4Dw3DZjEy8g6yD3xmSGeGYINZFaPxZwwXQtukYydeev657acLoISDEhn7jfvl0eTcM9T5h2TXDW5BZKSrYyAjdrNHLyBc/s1600/PLperTrade_No_NAs_Loss-100_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1217" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgl9u4iMzBWKXAM82pH7bPXF5HP21O-YN9HaHPkVaFPxnEOqx4Dw3DZjEy8g6yD3xmSGeGYINZFaPxZwwXQtukYydeev657acLoISDEhn7jfvl0eTcM9T5h2TXDW5BZKSrYyAjdrNHLyBc/s400/PLperTrade_No_NAs_Loss-100_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Trade - Bottom 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The bottom 10 profit factors were also associated with strategy variations starting in the low to mid range DTE (38 - 66), with 25 point wings, 20 delta short strikes, and the extra long put (EL) IC structure.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiCi6_DNu3qxqThJH9XkewFwIA8XKYRZJD4t-A85uIOUjcniWUnMcnNByberCnlWSKfWYiXctuWXqGaFGqeP5JF6lo6NdVqsdBc4kK6eE6fu5y-PoUgxVxaGyhbvpYryEjtj1VcwCF1_nc/s1600/ProfitFactor_No_NAs_Loss-100_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1218" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiCi6_DNu3qxqThJH9XkewFwIA8XKYRZJD4t-A85uIOUjcniWUnMcnNByberCnlWSKfWYiXctuWXqGaFGqeP5JF6lo6NdVqsdBc4kK6eE6fu5y-PoUgxVxaGyhbvpYryEjtj1VcwCF1_nc/s400/ProfitFactor_No_NAs_Loss-100_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Profit Factor - Bottom 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
At the 100% stop loss level, we see the bottom 10 strategy variations using 25 to 50 point wings, with 20 delta short strikes, using the extra long put (EL) IC structure, and taking profits at 75%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg2VFesbWttzHHQZOp1vtHST_d7a6gSVk289HFebHtmbl30tflpYDFX7Qv3XXITX-VVHNNq-EzUzXAKmPsCi4O6njg9t00lZ9_qk5iwS361cK36MAiUcZ-vmZYNoSh-gbCb9AXLZB54iYQ/s1600/WinRate_No_NAs_Loss-100_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1218" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg2VFesbWttzHHQZOp1vtHST_d7a6gSVk289HFebHtmbl30tflpYDFX7Qv3XXITX-VVHNNq-EzUzXAKmPsCi4O6njg9t00lZ9_qk5iwS361cK36MAiUcZ-vmZYNoSh-gbCb9AXLZB54iYQ/s400/WinRate_No_NAs_Loss-100_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Win Rate - Bottom 10 Variations</td></tr>
</tbody></table>
<br />
<ul>
<li><b><i><u>100 % Stop Loss Summary</u></i></b></li>
</ul>
<blockquote class="tr_bq">
At the 100% stop loss level there were several strategy variations that work well, but these three stood out:
</blockquote>
<ol>
<ol>
<li>38 DTE, 25 pt. wings, 20 delta shorts, ST structure, 100% stop loss, 50% profit taking</li>
<li>80 DTE, 25 pt. wings, 20 delta shorts, ST structure, 100% stop loss, 50% profit taking</li>
<li>80 DTE, 50 pt. wings, 8 delta shorts, DN structure, 100% stop loss, 50% profit taking</li>
</ol>
</ol>
<br />
<br />
<b><u>Stop Loss - 200% of credit received</u></b><br />
<ul>
<li><b><i><u><b style="font-style: normal;"><i><u>200% Stop Loss - </u></i></b>Top 10 Strategy Variations By Metric</u></i></b></li>
</ul>
<blockquote class="tr_bq">
As we move to the 200% stop loss level, the 38 DTE trades are no longer leading in the P&L per day metric. The top 10 readings were dominated by trades initiated at 45 DTE, 25 point wings, 20 delta short strikes, using the standard balanced (ST) IC structure, with profit taking at 50%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj3Byc8KoEluHRHOZ1kN7t3gx9BiLmEJM13Tvw_hb8kqCzxTAaDpWhqlpnxA8SM1JrgyhToJnq8xMZo_Ols-AbNoRwdj4TunR2smLNZ5CsEe01CriQm1i5U-wKQM80PjZUgKZL3P12PrtE/s1600/PLperDay_No_NAs_Loss-200_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1219" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj3Byc8KoEluHRHOZ1kN7t3gx9BiLmEJM13Tvw_hb8kqCzxTAaDpWhqlpnxA8SM1JrgyhToJnq8xMZo_Ols-AbNoRwdj4TunR2smLNZ5CsEe01CriQm1i5U-wKQM80PjZUgKZL3P12PrtE/s400/PLperDay_No_NAs_Loss-200_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Day - Top 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The top 10 P&L per trade readings at this stop loss level were associated with strategy variations starting at 80 DTE, with 25 - 50 point wings, with 20 delta short strikes, using the standard balanced (ST) IC structure, with profit taking between 50% and 75%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhqGxCP60WN-G3b0Gs8YaPuXv7Zm5D72STFSA5Kc1D6qB4lS3KL2rWSA6YjyYHIDCNovUG0iwIxVdXLALGElZ7M7a3lQYTJ3otwWUhZJY67FPtlOHsQvnUAUNfqm8S-kdrX95xATv9lwAI/s1600/PLperTrade_No_NAs_Loss-200_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1218" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhqGxCP60WN-G3b0Gs8YaPuXv7Zm5D72STFSA5Kc1D6qB4lS3KL2rWSA6YjyYHIDCNovUG0iwIxVdXLALGElZ7M7a3lQYTJ3otwWUhZJY67FPtlOHsQvnUAUNfqm8S-kdrX95xATv9lwAI/s400/PLperTrade_No_NAs_Loss-200_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Trade - Top 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
At this stop loss level, the top 10 profit factor readings were associated with strategy variations staring at 80 DTE, with 50 to 75 point wings, with 8 - 12 delta short strikes, and profit taking at 50%. There was not a clear pattern of IC structure out performance.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiD1QA3W88VT9tMXOmDTfpnQYsT3hfzLXWBi5iQQe9qYfWZFtlnxZ7SWYMHyHhXg0BOYsSWlxEcJ0BJDpN20wGvGwKAvKs-iaYr_NX8HT_Ty5IEYhsdcXv-1mSZjRbQlOPr2uSibN2FpE8/s1600/ProfitFactor_No_NAs_Loss-200_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="173" data-original-width="1217" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiD1QA3W88VT9tMXOmDTfpnQYsT3hfzLXWBi5iQQe9qYfWZFtlnxZ7SWYMHyHhXg0BOYsSWlxEcJ0BJDpN20wGvGwKAvKs-iaYr_NX8HT_Ty5IEYhsdcXv-1mSZjRbQlOPr2uSibN2FpE8/s400/ProfitFactor_No_NAs_Loss-200_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Profit Factor - Top 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The top 10 win rates were dominated by trades starting at 80 DTE, 75 point wing widths, 8 delta short strikes, and profit taking at the 50% level. The two top performing strategy structures were the extra long put (EL) structure, but following these top two positions, there was not a strong winner based on structure.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhAU1EuigbcFehedMgoeM_qsdX7SYOHY6LkJ7bdN0RFrRgDJL-gTMPitVVniyPYQP2IRdEfMeBdg6oKggTwExySV8sX6HwxLjeoXoY_0c9vVml6FSJkJ0gdQ6EcwSuQOl9avsG5xM_LpHs/s1600/WinRate_No_NAs_Loss-200_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1218" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhAU1EuigbcFehedMgoeM_qsdX7SYOHY6LkJ7bdN0RFrRgDJL-gTMPitVVniyPYQP2IRdEfMeBdg6oKggTwExySV8sX6HwxLjeoXoY_0c9vVml6FSJkJ0gdQ6EcwSuQOl9avsG5xM_LpHs/s400/WinRate_No_NAs_Loss-200_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Win Rate - Top 10 Variations</td></tr>
</tbody></table>
<div style="-webkit-text-stroke-width: 0px; color: black; font-family: "Times New Roman"; font-size: medium; font-style: normal; font-variant-caps: normal; font-variant-ligatures: normal; font-weight: normal; letter-spacing: normal; margin: 0px; orphans: 2; text-align: start; text-decoration-color: initial; text-decoration-style: initial; text-indent: 0px; text-transform: none; white-space: normal; widows: 2; word-spacing: 0px;">
</div>
<br />
<ul>
<li><b><i><u>200% Stop Loss - Bottom 10 Strategy Variations By Metric</u></i></b></li>
</ul>
<blockquote class="tr_bq">
The bottom 10 P&L per day readings were again dominated by the extra long put (EL) structure with mid range DTE values of 52 to 66. The wing width and short strike delta pattern present in the bottom ten variations did not continue when I looked at the bottom 50 performers. There was also no pattern present in profit taking level.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjlXvczC7GVMaefQW4EvH0AcA0SM7ggg254Gju_rGbFn8e11YP2gE0lIrNa52jb2slHNxcp7jcDr1CBbyZE7CSAQNMQWYFJ5Aperd_a89zO2FHPKObcAzgu9eCHzG4rlhhwCMB6FxW6yUI/s1600/PLperDay_No_NAs_Loss-200_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1220" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjlXvczC7GVMaefQW4EvH0AcA0SM7ggg254Gju_rGbFn8e11YP2gE0lIrNa52jb2slHNxcp7jcDr1CBbyZE7CSAQNMQWYFJ5Aperd_a89zO2FHPKObcAzgu9eCHzG4rlhhwCMB6FxW6yUI/s400/PLperDay_No_NAs_Loss-200_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Day - Bottom 10 Variations </td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
At the 200% stop loss level, the worst performing P&L per trade readings were associated with strategy variations starting between 38 and 59 DTE, with 8 delta short strikes, using the extra long put (EL) structure, and taking profits at 50%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiGI4PqsbSQPCKgaWZkho3qtd5R0j6DJbV4Hn-zhMjNCXcRrKE6iJWxzMmYkUGIwGiZhwkimA6HHxSYLhGru8YWVLbf_eD-TccBJGpwbGjE1PtATWYeG7dAn_ZXJ7PfpiJUK9GPfe4DuN4/s1600/PLperTrade_No_NAs_Loss-200_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="173" data-original-width="1218" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiGI4PqsbSQPCKgaWZkho3qtd5R0j6DJbV4Hn-zhMjNCXcRrKE6iJWxzMmYkUGIwGiZhwkimA6HHxSYLhGru8YWVLbf_eD-TccBJGpwbGjE1PtATWYeG7dAn_ZXJ7PfpiJUK9GPfe4DuN4/s400/PLperTrade_No_NAs_Loss-200_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Trade - Bottom 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The lowest 10 profit factor values were associated with strategy variations starting between 38 and 59 DTE, with 25 point wings, with 20 delta short strikes, using the extra long put (EL) structure, and taking profits at 75%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgWo3I_n38MKI2gPx1P1Sj1LChmaWiEy1-b3p5TbsFcpRsKyXlhypDKJekYmjx7r_ZrKqx-rKb1lVLW6KyQ0adlfsvarl2vzfTXcKLVoVxkw9fx70VyIY4gtK9WUnAiY5bYEXQyWtsPM5Y/s1600/ProfitFactor_No_NAs_Loss-200_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1219" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgWo3I_n38MKI2gPx1P1Sj1LChmaWiEy1-b3p5TbsFcpRsKyXlhypDKJekYmjx7r_ZrKqx-rKb1lVLW6KyQ0adlfsvarl2vzfTXcKLVoVxkw9fx70VyIY4gtK9WUnAiY5bYEXQyWtsPM5Y/s400/ProfitFactor_No_NAs_Loss-200_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Profit Factor - Bottom 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
For the bottom 10 win rate values at the 200% stop loss level, we see the trend continue. The lowest readings are associated with strategy variations starting between 38 and 66 DTE, with 25 point wings, 20 delta short strikes, and profit taking at 75%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhn1N9FsglWR5E8cuBea7uDK4kcwMHhDaF0XRUCROfEYDSLxvYhZTZFHw7hFOzy1O4sLJ_XOQUx75H3uox5LQYF77d8xacVO8tU5YoF_BNdtNUl2E_wffeZQlJjhWkgoe3y6BIHfxiY-b8/s1600/WinRate_No_NAs_Loss-200_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1219" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhn1N9FsglWR5E8cuBea7uDK4kcwMHhDaF0XRUCROfEYDSLxvYhZTZFHw7hFOzy1O4sLJ_XOQUx75H3uox5LQYF77d8xacVO8tU5YoF_BNdtNUl2E_wffeZQlJjhWkgoe3y6BIHfxiY-b8/s400/WinRate_No_NAs_Loss-200_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Win Rate - Bottom 10 Variations</td></tr>
</tbody></table>
<br />
<ul>
<li><b><i><u>200 % Stop Loss Summary</u></i></b></li>
</ul>
<blockquote class="tr_bq">
There were several decent strategies at the 200% stop loss level, but these stood out:</blockquote>
<ol>
<ol>
<li>45 DTE, 25 pt. wings, 20 delta shorts, ST structure, 200% stop loss, 50% profit taking</li>
<li>80 DTE, 25 pt. wings, 20 delta shorts, ST structure, 200% stop loss, 50% profit taking</li>
<li>80 DTE, 75 pt. wings, 12 delta shorts, DN structure, 200% stop loss, 50% profit taking</li>
</ol>
</ol>
<br />
<br />
<b><u>Stop Loss - 300% of credit received</u></b><br />
<ul>
<li><b><i><u>300% Stop Loss - Top 10 Strategy Variations By Metric</u></i></b></li>
</ul>
<blockquote class="tr_bq">
At the 300% stop loss level, we see both shorter term and longer term variations appear in the top 10 P&L per day readings. The top variations were 80 DTE, with 25 to 50 point wings (leaning towards 25 points!), 16 to 20 delta short strikes, using the standard balanced (ST) IC structure, with profit taking at 50%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhGcqu_Ja1n7IV87fXtPeZ4gghatMrCoMkK9NDZFwKiY3fHhhTRSfm3P8vyRdzhdyRUrxnFeyXc5EEK86q0MOmixSmZFLGG2BYEytgpTr44riRy1nMJekXPfui8TREAaSzNf0wMCcBAvXE/s1600/PLperDay_No_NAs_Loss-300_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1218" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhGcqu_Ja1n7IV87fXtPeZ4gghatMrCoMkK9NDZFwKiY3fHhhTRSfm3P8vyRdzhdyRUrxnFeyXc5EEK86q0MOmixSmZFLGG2BYEytgpTr44riRy1nMJekXPfui8TREAaSzNf0wMCcBAvXE/s400/PLperDay_No_NAs_Loss-300_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Day - Top 10 Variations </td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The top 10 P&L per trade readings were associated with variations initiated at 80 DTE, with 25 to 50 point wings, 16 to 20 delta short strikes, using the standard balanced (ST) IC structure, with profit taking at 75%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhFb73fPLW-0ijirJZaGpl84q9V7yAv4THwNKZJ09pUU1Ps-3deJ5Ipyz3X1UrL71HjQZDFFlzbadbRjC3m5w6TKfCQ8f44rcfua9QksVTOCVTYDbwg3WCQiOMULiFHy94w376CPeb9Nvc/s1600/PLperTrade_No_NAs_Loss-300_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="171" data-original-width="1218" height="55" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhFb73fPLW-0ijirJZaGpl84q9V7yAv4THwNKZJ09pUU1Ps-3deJ5Ipyz3X1UrL71HjQZDFFlzbadbRjC3m5w6TKfCQ8f44rcfua9QksVTOCVTYDbwg3WCQiOMULiFHy94w376CPeb9Nvc/s400/PLperTrade_No_NAs_Loss-300_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Trade - Top 10 Variations </td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The top 10 profit factors were all associated with variations initiated at 80 DTE. Wing widths tended toward the 50 to 75 point range, with deltas between 8 and 12, and profit taking at 50%. There was no clear winner in terms of structure, with ST and DN having the strongest showing.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi-QdNB-IHJ7R50S8tt5o__2xK6oa1OslPHA_yz5fczfTJh8DrIhRsSLCyd44BvOBJp8y82GgAHTEWvAizFjF8jlqT4jba-9RPsW6_hWmP15QKAYEePDsPJCdnOklTRR1bQvuqYLJ7Xt3g/s1600/ProfitFactor_No_NAs_Loss-300_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1219" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi-QdNB-IHJ7R50S8tt5o__2xK6oa1OslPHA_yz5fczfTJh8DrIhRsSLCyd44BvOBJp8y82GgAHTEWvAizFjF8jlqT4jba-9RPsW6_hWmP15QKAYEePDsPJCdnOklTRR1bQvuqYLJ7Xt3g/s400/ProfitFactor_No_NAs_Loss-300_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Profit Factor - Top 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The top 10 win rates were also strongly associated with trades starting at 80 DTE. Expanding the results to the top 30 highlighted that the top variations used 75 point wings, with short strike deltas between 8 and 12, and profit taking at 50%. All structures were about equally present in the to 30.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEha_61afhAnDLfWLcN0An4nqCXAQQjFOIOn_HoTCGcFXDPaW1whFrlLcqChypQ6KLky8xJx-1kFnY1fHZp5DWvX7HQjjVTvXS9LybN5SHpWWO7DKi0VFlAfiQNhZioGUYFamwmSP90NgB0/s1600/WinRate_No_NAs_Loss-300_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="173" data-original-width="1218" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEha_61afhAnDLfWLcN0An4nqCXAQQjFOIOn_HoTCGcFXDPaW1whFrlLcqChypQ6KLky8xJx-1kFnY1fHZp5DWvX7HQjjVTvXS9LybN5SHpWWO7DKi0VFlAfiQNhZioGUYFamwmSP90NgB0/s400/WinRate_No_NAs_Loss-300_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Win Rate - Top 10 Variations</td></tr>
</tbody></table>
<br />
<ul>
<li><u><b><i>300% Stop Loss - Bottom 10 Strategy Variations By Metric</i></b></u></li>
</ul>
<blockquote class="tr_bq">
The worst 10 performing variations were associated with low to mid starting DTE (38 - 66), 25 point wings, 16 to 20 delta short strikes, with the extra long put (EL) IC structure. </blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjjCYwUbvmmLQWyqCYp3XN0Vrb-6knmIq8M1CAqKFRZUwWJsvVizycxthz3eskCj7dT77bAk23_mnGyDZ-7EBGJ8GnHJhczo8-YdKYRa_MnJyiPiiAYKCI5965F2hxuo8HjV_rdPRmQYDg/s1600/PLperDay_No_NAs_Loss-300_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="173" data-original-width="1219" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjjCYwUbvmmLQWyqCYp3XN0Vrb-6knmIq8M1CAqKFRZUwWJsvVizycxthz3eskCj7dT77bAk23_mnGyDZ-7EBGJ8GnHJhczo8-YdKYRa_MnJyiPiiAYKCI5965F2hxuo8HjV_rdPRmQYDg/s400/PLperDay_No_NAs_Loss-300_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Day - Bottom 10 Variations </td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The worst 10 P&L per trade numbers were associated with variations starting between 38 and 52 DTE, with 25 point wings, 8 to 12 delta short strikes, the extra long put (EL) IC structure, and profit taking at 50%. This pattern was present in the bottom 30 variations.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjzL9xW7HH1DQhEvdNwSmai5904jWuooW1pOZ1H3c0Dlm-lEx8XWfcM8HytPCKV16lW2umVezhDFJhqZtSpg1X49GtseRx90JVrkP-D0GkHqoQW4vE2EawEll5mP3067uGF5sZnDy4Xsrg/s1600/PLperTrade_No_NAs_Loss-300_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="173" data-original-width="1218" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjzL9xW7HH1DQhEvdNwSmai5904jWuooW1pOZ1H3c0Dlm-lEx8XWfcM8HytPCKV16lW2umVezhDFJhqZtSpg1X49GtseRx90JVrkP-D0GkHqoQW4vE2EawEll5mP3067uGF5sZnDy4Xsrg/s400/PLperTrade_No_NAs_Loss-300_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Trade - Bottom 10 Variations </td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The bottom 10 profit factor value were associated with low to mid starting DTE (38 - 66), 25 point wings, 20 delta short strikes, the extra long put (EL) IC structure, and profit taking at 50%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj2YnI4x7HsHHKF7nZG0zhdS7Fn5hbiUJ9VXH2Zfpbc1gX-OZBTt9zn2ZhHxjOx4mlcO9RsFk4946Ny87KMJjGPO4Thw-3_s3V7UlxYNAlABpiP7Y30Sjf-xqHHTKnaVnM8HTgawRbBovU/s1600/ProfitFactor_No_NAs_Loss-300_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1219" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj2YnI4x7HsHHKF7nZG0zhdS7Fn5hbiUJ9VXH2Zfpbc1gX-OZBTt9zn2ZhHxjOx4mlcO9RsFk4946Ny87KMJjGPO4Thw-3_s3V7UlxYNAlABpiP7Y30Sjf-xqHHTKnaVnM8HTgawRbBovU/s400/ProfitFactor_No_NAs_Loss-300_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Profit Factor - Bottom 10 Variations </td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The worst 10 win rates were associated with low to mid DTE (38 - 66), 25 point wings, 20 delta short strikes, and profit taking at 75%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhD7u-IZjB8GtYZhTAv-F1BaWAq56tQ3-XfPVaiwz09dDKxwVrs7J2WimDGCU7RYzAcJDvuo2prTRUQ2X5GMwvKrVmVMFIkNp_NsKfaYVs1LCx_aEfKRjIQBTCoMVGPSBJ-CxPs7a7QwkM/s1600/WinRate_No_NAs_Loss-300_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1219" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhD7u-IZjB8GtYZhTAv-F1BaWAq56tQ3-XfPVaiwz09dDKxwVrs7J2WimDGCU7RYzAcJDvuo2prTRUQ2X5GMwvKrVmVMFIkNp_NsKfaYVs1LCx_aEfKRjIQBTCoMVGPSBJ-CxPs7a7QwkM/s400/WinRate_No_NAs_Loss-300_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Win Rate - Bottom 10 Variations</td></tr>
</tbody></table>
<br />
<ul>
<li><b><i><u>300 % Stop Loss Summary</u></i></b></li>
</ul>
<blockquote class="tr_bq">
At the 300% stop loss level there were several strategy variations that work well, including:</blockquote>
<ol><ol>
<li>80 DTE, 25 pt. wings, 8 delta shorts, ST structure, 300% stop loss, 50% profit taking</li>
<li>80 DTE, 50 pt. wings, 16 delta shorts, ST structure, 300% stop loss, 75% profit taking</li>
<li>80 DTE, 75 pt. wings, 12 delta shorts, DN structure, 300% stop loss, 50% profit taking</li>
</ol>
</ol>
<br />
<br />
<b><u>Stop Loss - NA - no stop loss</u></b><br />
<ul>
<li><b><i><u>No Stop Loss - Top 10 Strategy Variations By Metric</u></i></b></li>
</ul>
<blockquote class="tr_bq">
For variations not using a stop loss, the top 10 P&L per day readings were associated with strategies starting at 80 DTE, with 25 point wings, 16 to 20 delta short strikes, using the standard balanced (ST) IC structure, and taking profits at 50%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiKUTWTGfrc2GZVKx8fNYltunDzO4UmYeV3YJM_au8qP_sIAIrAl9hkasHcz7VtBBzocQF2GbBWN37MuBNGGZp2KCx5WHpLYQkaiE-u73fIUudiXwFcxZns4mG1RWAVgmw5UKzayP_kfAE/s1600/PLperDay_No_NAs_Loss-NA_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1219" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiKUTWTGfrc2GZVKx8fNYltunDzO4UmYeV3YJM_au8qP_sIAIrAl9hkasHcz7VtBBzocQF2GbBWN37MuBNGGZp2KCx5WHpLYQkaiE-u73fIUudiXwFcxZns4mG1RWAVgmw5UKzayP_kfAE/s400/PLperDay_No_NAs_Loss-NA_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Day - Top 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The top 10 P&L per trade readings were associated with 80 DTE trades, using 25 to 50 point wings, 20 delta short strikes, with the standard balanced (ST) IC structure, and profit taking leaning toward 75%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiF09Oix8aTwKE_Cfn1aGflzIG8mvG0jKiN5RuV9ADQ4XTGcGIsV2gocL6mxKtWnO5drCw7E1fGcmc5Djwd6PJVtCYGJgs7QZ-ziaKtUomuWTHnc9k5jm_hJsv7G-mDMUtXgzspIssZbTI/s1600/PLperTrade_No_NAs_Loss-NA_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="173" data-original-width="1219" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiF09Oix8aTwKE_Cfn1aGflzIG8mvG0jKiN5RuV9ADQ4XTGcGIsV2gocL6mxKtWnO5drCw7E1fGcmc5Djwd6PJVtCYGJgs7QZ-ziaKtUomuWTHnc9k5jm_hJsv7G-mDMUtXgzspIssZbTI/s400/PLperTrade_No_NAs_Loss-NA_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Trade - Top 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The top 10 profit factor readings were also associated with strategies starting at 80 DTE, with 8 delta short strikes, using the delta neutral (DN) IC structure, and profit taking at 50%. The top 30 had all wing widths present in approximately equal numbers.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhuJ8JWNJCRFTIQSpN6S0bM5n6oVFxqxc8YEIVcecYpA48LHbjZQVgA42lP0z2ZAasmlxESBjpkIszwFsIK0tJlW9H6SJ991ubcu0lfsfs8OhEHWp9TMEDgcQQYmU5EuK87JTB1Ku9pVZI/s1600/ProfitFactor_No_NAs_Loss-NA_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="173" data-original-width="1219" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhuJ8JWNJCRFTIQSpN6S0bM5n6oVFxqxc8YEIVcecYpA48LHbjZQVgA42lP0z2ZAasmlxESBjpkIszwFsIK0tJlW9H6SJ991ubcu0lfsfs8OhEHWp9TMEDgcQQYmU5EuK87JTB1Ku9pVZI/s400/ProfitFactor_No_NAs_Loss-NA_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Profit Factor - Top 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The top 10 win rates were associated with strategies starting at 80 DTE, using 75 point wings, with 8 delta short strikes, leaning towards the delta neutral (DN) IC structure, and profit taking at 50%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj_6dGTm1dSYprxihC3xwMJXomXNFnTOD28fOFrGEgJCxAft2OWlp5zQQOAekDOEEBlwqTOeiSTz_WzWnpLRiaNxraDly9qd1PTu4yYm9iBdQwZBTw-1nyo99DyyY9jfkrFqfHffav6fas/s1600/WinRate_No_NAs_Loss-NA_Top10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1220" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj_6dGTm1dSYprxihC3xwMJXomXNFnTOD28fOFrGEgJCxAft2OWlp5zQQOAekDOEEBlwqTOeiSTz_WzWnpLRiaNxraDly9qd1PTu4yYm9iBdQwZBTw-1nyo99DyyY9jfkrFqfHffav6fas/s400/WinRate_No_NAs_Loss-NA_Top10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Win Rate - Top 10 Variations</td></tr>
</tbody></table>
<br />
<ul>
<li><b><i><u>No Stop Loss - Bottom 10 Strategy Variations By Metric</u></i></b></li>
</ul>
<blockquote class="tr_bq">
The bottom 10 strategy variations in terms of P&L per day readings were associated with trades starting at 38 DTE, 25 point wings, using the extra long put (EL) IC structure. There was no trend in short strike deltas and profit taking level.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiBkqtC7fAYS68k47XalsPb3M3MB1BO11zAkL8_KXAw-VujQ0Sq_-VEZujcLjwfUXMPzhryKr6Qq_qgXynw2IEZ5ULfoZ0trijjVYc2MsgoJpViyi7t539LIWxKNJqpQeB0Wxokfq6kceI/s1600/PLperDay_No_NAs_Loss-NA_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1218" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiBkqtC7fAYS68k47XalsPb3M3MB1BO11zAkL8_KXAw-VujQ0Sq_-VEZujcLjwfUXMPzhryKr6Qq_qgXynw2IEZ5ULfoZ0trijjVYc2MsgoJpViyi7t539LIWxKNJqpQeB0Wxokfq6kceI/s400/PLperDay_No_NAs_Loss-NA_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Day - Bottom 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The bottom 10 P&L per trade readings were associated with trades starting at 38 DTE, 25 point wings, 8 to 12 delta short strikes, using the extra long put (EL) IC structure, and profit taking at 50%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi1jbqzycpCPa8nrY_I_CWXvz9zt4WwAK9Ye9yGVIvZmpqMipAR2UruTrI3sy5cpYH1mJgIFafnXTXrzPdCC8PtRVDHqmIObX5xbeYvSykr2rIX8jRil3DUvTUVVhz6I50bfH_OHkAyeE0/s1600/PLperTrade_No_NAs_Loss-NA_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="173" data-original-width="1219" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi1jbqzycpCPa8nrY_I_CWXvz9zt4WwAK9Ye9yGVIvZmpqMipAR2UruTrI3sy5cpYH1mJgIFafnXTXrzPdCC8PtRVDHqmIObX5xbeYvSykr2rIX8jRil3DUvTUVVhz6I50bfH_OHkAyeE0/s400/PLperTrade_No_NAs_Loss-NA_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">P&L Per Trade - Bottom 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The worst 10 profit factors were also associated with trades starting in lower DTE range of 38 to 45 DTE, 25 point wing widths, and the extra long put (EL) IC structure. Short strike deltas were leaning towards the upper end of 16 to 20, and profit taking level was leaning towards 75%.</blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhnhqloeB6_xx5Edj4COia_8Zu0S7FWn2gBgjZkIafQCxs_Js4iLmfgQWgsnLKyxhVNzUx3gPFm9aSdAzbf9R9nC1Koz1hyphenhyphen42lbOzfSgeqaPLlj69B0ygJP9H08jUf1JD59LiXmZv7NNow/s1600/ProfitFactor_No_NAs_Loss-NA_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1219" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhnhqloeB6_xx5Edj4COia_8Zu0S7FWn2gBgjZkIafQCxs_Js4iLmfgQWgsnLKyxhVNzUx3gPFm9aSdAzbf9R9nC1Koz1hyphenhyphen42lbOzfSgeqaPLlj69B0ygJP9H08jUf1JD59LiXmZv7NNow/s400/ProfitFactor_No_NAs_Loss-NA_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Profit Factor - Bottom 10 Variations</td></tr>
</tbody></table>
<blockquote class="tr_bq">
<br />
The lowest 10 win rates were associated with low to mid DTE levels of 38 to 52 DTE, 25 point wings, 20 delta short strikes, and the 75% profit taking level. </blockquote>
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEirJeDzIEuzNDtFqa62H-HhIEqaHSFF0deaO23cnIi3nq9LDO_AiJTK7CC6qxblYTCczX60bshb9jRxyEmfMUVQ9-N1NuODnX0I_GH2yX-qA_OdmQKkUx4rZShfGnTxWb4Gk__zaXoL5GY/s1600/WinRate_No_NAs_Loss-NA_Bottom10.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" data-original-height="172" data-original-width="1220" height="56" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEirJeDzIEuzNDtFqa62H-HhIEqaHSFF0deaO23cnIi3nq9LDO_AiJTK7CC6qxblYTCczX60bshb9jRxyEmfMUVQ9-N1NuODnX0I_GH2yX-qA_OdmQKkUx4rZShfGnTxWb4Gk__zaXoL5GY/s400/WinRate_No_NAs_Loss-NA_Bottom10.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">Win Rate - Bottom 10 Variations</td></tr>
</tbody></table>
<br />
<ul>
<li><u style="font-style: italic; font-weight: bold;">No Stop Loss Summary</u></li>
</ul>
<blockquote class="tr_bq">
The top performing strategies not using a stop loss included:</blockquote>
<ol><ol>
<li>80 DTE, 25 pt. wings, 20 delta shorts, ST structure, no stop loss, 50% profit taking</li>
<li>80 DTE, 75 pt. wings, 8 delta shorts, DN structure, no stop loss, 50% profit taking</li>
</ol>
</ol>
<br />
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<b><u><br /></u></b></div>
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<b><u>Summary</u></b></div>
<br />
This was a fairly long article, but hopefully I've highlighted a strategy variation or two that you'd be comfortable trading...or modifying to suit your style. In the analysis above, it was clear that there were strategy variations at every stop loss level that were trade-able. Here are a few points that I noticed:<br />
<br />
<ul>
<li><b><i><u>Normalized Average P&L Per Day</u></i></b></li>
</ul>
<blockquote class="tr_bq">
The top 10 P&L per day readings were about the same across the four different stop loss levels. As stop loss level increased, the required DTE also increased for these top P&L per day readings. At the 100% stop loss level, there were a number of variations starting at 38 DTE, while at the 300% and no stop loss levels, the top variations tended towards 80 DTE.</blockquote>
<blockquote class="tr_bq">
At the lower stop loss levels, the best P&L per day numbers were associated with the 20 delta short strikes. As the stop loss level increased, the top strategy variations started to include all of the different short strikes (8, 12, 16, and 20). </blockquote>
<blockquote class="tr_bq">
Lastly, the best P&L per day numbers at the 100% stop loss level had the lowest win rates, but the smallest largest loss numbers. As stop loss level increased, the win rate increased and the largest loss also increased.</blockquote>
<ul>
<li><b><i><u>Normalized Average P&L Per Trade</u></i></b></li>
</ul>
<blockquote class="tr_bq">
As stop loss level increased, the top P&L per trade readings also increased. Win rates and profit factors also tended to increase with increasing P&L per trade readings.</blockquote>
<blockquote class="tr_bq">
Not surprisingly, the top P&L per trade readings were nearly all associated with strategies starting at 80 DTE, with 20 delta short strikes, using the standard balanced (ST) IC structure.</blockquote>
<ul>
<li><b><i><u>Profit Factor</u></i></b></li>
</ul>
<blockquote class="tr_bq">
As stop loss level increased, the top 10 profit factors also increased. Win rate also increased with increasing profit factors.</blockquote>
<ul>
<li><b><i><u>Win Rate</u></i></b></li>
</ul>
<blockquote class="tr_bq">
As stop loss level increased, the top win rates also increased. The top win rates were associated with strategies starting at 80 DTE, with 75 point wings, 8 delta short strikes, delta neutral (DN) IC structures, with profit taking at 50%.</blockquote>
<blockquote class="tr_bq">
The top win rates at the 100% stop loss level were lower (in the 80% range), but had some of the smallest largest loss numbers. As win rate increased with stop loss level, largest loss numbers also increased (along with P&L per trade, P&L per day, and profit factor). </blockquote>
<ul>
<li><b><i><u>Largest Loss</u></i></b></li>
</ul>
<blockquote class="tr_bq">
The smallest largest loss numbers tended to be associated with wing widths in the 50 to 75 point range, with 8 delta shorts. The delta neutral (DN) structures had the smallest loss numbers at the low stop loss values, and the extra long put (EL) structures had the smallest loss numbers where no stop loss was used. </blockquote>
<blockquote class="tr_bq">
With no stop loss, the 80 DTE, 25 point wing, 8 delta short strike, EL, profit taking at 50% looks very interesting: largest loss is 62% of credit received, 99% win rate, 4.8% return per trade, and 30 DIT.</blockquote>
<ul>
<li><b><i><u>Sortino Ratio</u></i></b></li>
</ul>
<blockquote class="tr_bq">
Across stop loss levels, the highest Sortino Ratios were associated with trades starting at 80 DTE, 50 point wings, and profit taking at 75%. At lower stop loss levels, the highest Sortinos were associated with 8 delta short strikes, with the 12 to 16 delta range dominating as stop loss level increased.</blockquote>
<br />
In the next article, I will look more deeply at the following strategy variations and how they are impacted by the three different IC structures:<br />
<ul>
</ul>
<ol>
<li>38 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking</li>
<li>80 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking</li>
<li>80 DTE, 75 pt. wings, 12 delta shorts, 200% stop loss, 50% profit taking</li>
</ol>
<div>
<b>I may analyze one additional strategy in the next article based on reader comments...so let me know if there is a variation in addition to the three above that you'd like me to review!</b></div>
<div>
<br /></div>
<div>
</div>
<br />
<i>Follow my blog by email, RSS feed or Twitter (<a href="https://twitter.com/DTRTrading">@DTRTrading</a>). All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", </i><i>"Follow By Email", and "Twitter"</i><i>. </i><br />
<br />Unknownnoreply@blogger.com4tag:blogger.com,1999:blog-771169794002155719.post-74218634393455994552017-05-09T06:00:00.000-06:002017-05-09T06:19:58.925-06:00Iron Condor Results SummaryOver the last several months I have shared the results from an extensive set of backtests of SPX iron condors (IC). In all, I backtested 600,912 individual SPX IC trades entered at varying days to expiration (DTE) between January 2007 and September 2016. The prior articles can be found at the links below:<br />
<ul>
<li><a href="http://dtr-trading.blogspot.com/2016/12/new-iron-condor-series-introduction.html" target="_blank">New Iron Condor Series Introduction</a></li>
<li><a href="http://dtr-trading.blogspot.com/2016/12/38-dte-iron-condor-results-summary.html" target="_blank">38 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/38-dte-iron-condor-results-summary-part.html" target="_blank">38 DTE SPX Iron Condor Results Summary - Part 2</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/45-dte-iron-condor-results-summary.html" target="_blank">45 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/45-dte-iron-condor-results-summary-part.html" target="_blank">45 DTE SPX Iron Condor Results Summary - Part 2 </a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/02/52-dte-iron-condor-results-summary.html" target="_blank">52 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/02/59-dte-iron-condor-results-summary.html" target="_blank">59 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/03/66-dte-iron-condor-results-summary.html" target="_blank">66 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/03/73-dte-iron-condor-results-summary.html" target="_blank">73 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/04/80-dte-iron-condor-results-summary.html" target="_blank">80 DTE SPX Iron Condor Results Summary</a></li>
</ul>
<br />
In this article, I'll review two key metrics collected from all of the backtests:<br />
<ol>
<li>Win Rate</li>
<li>Normalized P&L Per Day</li>
</ol>
<div>
<br />
Win rate is a common metric to analyze, but P&L per day is less obvious. P&L per day gives us a very clear view of the expected return by day for a given strategy variation. We've already seen in the prior posts how the number of days in trade (DIT) increases as we enter trades at higher days to expiration (DTE). As a very rough rule of thumb, it takes about half the DTE to collect 50% of the credit (although this changes with short strike delta!). From this normalized P&L per day value we can derive the average return per trade, as well as the average return per year.</div>
<div>
<br /></div>
Before we get into the results, I need to describe the format of the heat-map tables below. First, each IC wing width is presented in a separate table, starting with the 25 point wing ICs.<br />
<br />
Next, the first column lists the strategy variation, including the exit used. This column uses the strategy description nomenclature that I used in the last several months worth of articles in the links above.<br />
<br />
Next, there are four groups of seven columns. Each group corresponds to a different short strike delta, and each of the seven columns in the group corresponds to a different DTE starting point.<br />
<br />
<br />
<b><u>Win Rate</u></b><br />
<br />
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
It's clear that the 8 delta short strike has the highest win rates from a delta perspective. Also, 80 DTE has the highest win rate of all of the DTE tested. The 50% profit taking level is the winner for profit taking exits. We also see that the larger wing widths have slightly higher win rates. Let's think about each of these points:<br />
<ul>
<li>Both the smaller delta and higher DTE end up making a wider "tent" for the IC, which gives the market more room to run before a loss exit is triggered.</li>
<li>Taking profits at 50% versus 75% or expiration has you out of the trade sooner...reducing the chance that the market can move against your position.</li>
<li>The larger wing width, creates a larger credit, and at 75 points approximates a naked strangle. With 75 point wings, you get the margin relief (defined risk) from the long options that you don't get with a strangle. Since the longs are so far away from the short strikes, this structure has greater theta decay than ICs with 25 and 50 point wings.</li>
</ul>
<div>
<br /></div>
<div>
It's interesting to note that the win rate for the <i>same </i>short strike delta increases with increasing DTE. Recall, as DTE increases the implied volatility (IV) for the <i>same </i>delta option increases. For example, an 8 delta put at 38 DTE might have an IV of 14.15% while an 8 delta put at 80 DTE might have an IV of 17.44%. Using these two examples of IV we calculate the expected one standard deviation move of the underlying in percent:</div>
<ul>
<li>0.1415 x sqrt(38/365) = 0.045656 (+/- 4.57%)</li>
<li>0.1744 x sqrt(80/365) = 0.081648 (+/- 8.16%) </li>
</ul>
<blockquote class="tr_bq">
<span style="font-size: xx-small;">Note: IV from TOS for each of these <i>option chains</i> is lower at approximately 11.5% and 12.6% respectively</span></blockquote>
<br />
Based on these expected moves, it's worth considering a couple of questions. How does <i>actual </i>market movement over 40 days (half of 80 DTE) compare with the <i>expected </i>move? How do the actual market moves over 19 days (half of 38 DTE) compare with those over 40 days?<br />
<div class="separator" style="clear: both; text-align: center;">
</div>
<br />
<div class="separator" style="clear: both; text-align: center;">
</div>
Finally, I have two tables showing the top 30 and bottom 30 IC variations in terms of win rate. The top variations are dominated by higher DTE, 75 point wings, 8 delta short strikes, profit taking at 50%, and no loss exit. The bottom 30 are dominated by mid-range DTEs, 25 point wings, 20 delta short strikes, extra long put (EL) structures, with loss taking at 100% and no profit taking exit (take the trade to expiration).<br />
<br />
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<br />
<br />
<b><u>P&L Per Day</u></b><br />
Recall from the prior articles that all of the P&L per day numbers are normalized. 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.<br />
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
There are a few high level trends from these tables of normalized P&L % per day values:<br />
<ul>
<li>The lowest returns occur with the EL structure. The extra long put negatively impacts the theta decay of the structure, but this negative impact decreases (as we'd expect) as wing width increases</li>
<li>The next lowest returns occur with the DN structure. Since there are fewer call credit spreads than put credit spreads in this structure, there is lower theta decay than with the ST structure</li>
<li>The ST structure has the highest normalized P&L % per day numbers</li>
<li>From a short strike delta perspective, the lowest returns per day occur at 8 delta, and the highest returns occur in the 16 to 20 delta range</li>
<li>The 75 point wing structures have the lowest returns, and the 25 point wing structures have the highest returns</li>
<li>From a DTE perspective:</li>
<ul>
<li>The DN structures' returns are highest in the 38 to 45 DTE range</li>
<li>The EL structures' returns are highest in the 73 to 80 DTE range</li>
<li>The ST structures' returns are highest in the 73 to 80 DTE range, but there is also a second high return clustering in the 38 to 45 DTE range</li>
</ul>
</ul>
<div>
<br />
The return distributions related to structure and DTE, suggest that in the 38 to 45 DTE range, the market has tended to trend up or stay flat. Hence the clustering of higher daily return numbers for the DN structure in the 38 to 45 DTE range. Additionally, the data suggest that in the 73 to 80 DTE range the market has tended to stay flat or drop. The EL structure shows higher returns in longer duration trades, indicating that the extra long put has some benefit in the 73 to 80 DTE range. </div>
<div>
<br /></div>
Similar to the win rate section, I have two tables showing the top 30 and bottom 30 IC variations in terms of normalized P&L per day. The top variations are dominated by the standard (ST) structure with 25 point wings, 20 delta short strikes, profit taking at 50%, and a range of loss exits. The bottom 30 are dominated by the extra long put (EL) structure with 25 point wings, 20 delta short strikes, with no profit taking exit (take the trade to expiration).<br />
<br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi80SWtZfyypCles8yrMx6Qe-N4HnpE5LMSDcDJ2-SIUfddDTEWjzOQ2lOX6KByziizCWJHuOJrwBlFOrJbsuJW4IiyQt4OUTJ30mxVbsB8pPCJK9TDGi6G6a5PrGxCg7MUEEUIV82QEnE/s1600/Top30_PnL_Day.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="147" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi80SWtZfyypCles8yrMx6Qe-N4HnpE5LMSDcDJ2-SIUfddDTEWjzOQ2lOX6KByziizCWJHuOJrwBlFOrJbsuJW4IiyQt4OUTJ30mxVbsB8pPCJK9TDGi6G6a5PrGxCg7MUEEUIV82QEnE/s400/Top30_PnL_Day.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhM8ieQzdfL8yR0AcPK91Cb8J1xnp1dxBQrcWO055XSpv2PbvskCGwh1bAHSXQmGdNsqpzk0VE3-Yb7rR6ZJbn7oOiZr-Xnc0lW48VJ2mCD5sGjqXIFu-GGx5V1tr75AEbU_GKuxxR0QSY/s1600/Bottom30_PnL_Day.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="148" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhM8ieQzdfL8yR0AcPK91Cb8J1xnp1dxBQrcWO055XSpv2PbvskCGwh1bAHSXQmGdNsqpzk0VE3-Yb7rR6ZJbn7oOiZr-Xnc0lW48VJ2mCD5sGjqXIFu-GGx5V1tr75AEbU_GKuxxR0QSY/s400/Bottom30_PnL_Day.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
In the next article, we'll narrow down the list of 3024 strategy variations, to a list of strategies that look trade-able. I'll remove the variations without profit and loss exits, and look at win rate, normalized P&L per day, largest loss, and profit factors.<br />
<br />
Also, over the next several days I'll use Twitter to share other versions of the tables above, organized around DTE groupings instead of grouping by short strike delta..<br />
<br />
<br />
<i>Follow my blog by email, RSS feed or Twitter (<a href="https://twitter.com/DTRTrading">@DTRTrading</a>). All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", </i><i>"Follow By Email", and "Twitter"</i><i>. </i><br />
<br />Unknownnoreply@blogger.com9tag:blogger.com,1999:blog-771169794002155719.post-75565607400652242802017-04-29T13:01:00.001-06:002017-04-29T13:14:58.070-06:00SPX Monthly Returns And Tail RiskI had some time yesterday while waiting for an appointment, and re-read "<a href="https://www.caia.org/sites/default/files/2013-aiar-q1-comparison.pdf" target="_blank">A Comparison of Tail Risk Protection Strategies in the U.S. Market</a>". One particular sentence in the paper caught my attention:
<br />
<blockquote class="tr_bq">
"Remarkably, of the 24 months with greater than 5% loss in the S&P 500 between March 1990 and March 2011, 17 of them (or 71%) occurred with the S&P 500 below its 10-month moving average.<span style="font-size: xx-small;">7</span>"</blockquote>
The footnote associated with this sentence stated:<br />
<blockquote class="tr_bq">
"The ten-month or 200-day moving average is a popular technical indicator among market participants; its effectiveness in asset class timing is documented by <a href="http://mebfaber.com/" target="_blank">Faber</a> (2005)"</blockquote>
I ran the same study in <a href="https://www.amibroker.com/index.html" target="_blank">AmiBroker</a> and Excel using the <i>monthly </i>closing prices of the SPX. I calculated the 10 month moving average of SPX closing prices, and compared this value with the closing value of the first day of the next month. For example, on March 1 1990, the closing price was 332.74, and the 10 month average of monthly closing prices was 338.59 (May 1989 through Feb 1990). In this situation, March 1990 started below it's 10 month moving average.<br />
<br />
Looking at the same period of time as the Tail Risk Article (March 1990 - March 2011; 253 months), I found the following:<br />
<ul>
<li>70 of 253 months started <b><i>below </i></b>the 10 month moving average (28%)</li>
<li>183 of 253 months started <i><b>above </b></i>the 10 month moving average (72%)</li>
<li>25 of 253 months experienced a <b><i>loss </i></b>of 5% or more</li>
<ul>
<li>16 of these 25 months occurred when the month started below the 10 month moving average (64%)</li>
</ul>
</ul>
<br />
There were a few other points to note regarding winning and losing months:<br />
<div>
<ul>
<li>103 of 253 months were losing months (41%)</li>
<ul>
<li>36 of these 103 losing months occurred when the month started <i><b>below </b></i>the 10 month moving average (35%)</li>
</ul>
<li>150 of 253 months were winning months (59%)</li>
<ul>
<li>34 of these 150 winning months occurred when the month started <b><i>below </i></b>the 10 month moving average (23%)</li>
<li>29 of these 150 winning months had monthly returns of <b><i>greater </i></b>than 5% (19%)</li>
<ul>
<li>14 of these 29 occurred when the month started below the 10 month moving average (48%)</li>
</ul>
</ul>
</ul>
<div>
<br />
A few takeaways:</div>
</div>
<ul>
<li>A greater percentage of the 5%+ monthly losses occurred when a month stated <i><b>below </b></i>the 10 month moving average</li>
<li>A month starting <i><b>below </b></i>the 10 month moving average is not a good indicator of whether the month will end with any loss ... the SPX has a positive bias</li>
<li>A month starting <b><i>above</i></b> the 10 month moving average is a good indicator of whether the month will end as a win (77%)</li>
<li>The numbers are similar when the range is expanded through March 2017</li>
</ul>
<br />
<br />
<i>Follow my blog by email, RSS feed or Twitter (<a href="https://twitter.com/DTRTrading">@DTRTrading</a>). All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", </i><i>"Follow By Email", and "Twitter"</i><i>. </i><br />
<br />Unknownnoreply@blogger.com0tag:blogger.com,1999:blog-771169794002155719.post-78598864727889107422017-04-12T06:00:00.000-06:002017-04-12T06:00:17.061-06:0080 DTE Iron Condor Results SummaryThis article reviews the backtest results for iron condors (IC) entered at 80 days to expiration (DTE). These tests covered 9 IC variations, with short strike deltas at four locations (8, 12, 16, 20), utilizing 12 exits. In all, there were 432 test runs (9 variations x 4 deltas x 12 exits). Each test run executed an average of 165 SPX IC trades between the January 2007 expiration and the September 2016 expiration. A total of 432 ten year backtests. I used weekly options for this testing, so there were more than 12 trades per year. In total, there were 71,388 total trades entered for the 80 DTE testing.<br />
<br />
You can find the prior SPX IC posts in this series at the links below:<br />
<ul>
<li><a href="http://dtr-trading.blogspot.com/2016/12/new-iron-condor-series-introduction.html" target="_blank">New Iron Condor Series Introduction</a></li>
<li><a href="http://dtr-trading.blogspot.com/2016/12/38-dte-iron-condor-results-summary.html" target="_blank">38 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/38-dte-iron-condor-results-summary-part.html" target="_blank">38 DTE SPX Iron Condor Results Summary - Part 2</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/45-dte-iron-condor-results-summary.html" target="_blank">45 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/45-dte-iron-condor-results-summary-part.html" target="_blank">45 DTE SPX Iron Condor Results Summary - Part 2 </a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/02/52-dte-iron-condor-results-summary.html" target="_blank">52 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/02/59-dte-iron-condor-results-summary.html" target="_blank">59 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/03/66-dte-iron-condor-results-summary.html" target="_blank">66 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/03/73-dte-iron-condor-results-summary.html" target="_blank">73 DTE SPX Iron Condor Results Summary</a></li>
</ul>
<br />
<b><u>Normalized P&L per Day</u></b><br />
<br />
The P&L per day values shown in the charts below are expressed as a percentage of the <i>max risk</i> 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.<br />
<br />
The results:<br />
<ol>
<li>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</li>
<li>Similar to the prior test runs, as the delta of the short strikes increases, the variability in the P&L per day readings increases</li>
<li>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:</li>
<ol>
<li>ST (NA:50), 25 point wings, 20 delta</li>
</ol>
<li>The next best readings came in at 0.18% and were associated with two test runs: </li>
<ol>
<li>ST (NA:50), 25 point wings, 8 delta</li>
<li>ST (200:50), 25 point wings, 20 delta</li>
</ol>
<li>88 strategy variations had P&L per day readings of 0.12% or greater:</li>
<ol>
<li>Of these 88, 61 used the profit taking level of 50%</li>
<li>Of these 88, 55 used the standard balanced (ST) IC structure</li>
<li>Of these 88, 38 did not use a loss taking level <i>(loss taking % = NA)</i></li>
<li>Of these 88, 34 used wing widths of 50 points</li>
<li>Of these 88, 32 used a short strike delta of 20 <i>(30 used a delta of 16)</i></li>
</ol>
</ol>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg9626pOaR4edAWV6McTsXjOJsDcDGPsvBEYD2UgydoojEEVDnzGp5LrU9AfYO18vh0rrcNhyjqqjCKfi7pZ6g6eKdoSNDnofpvSoyskrxf2La3nHp_CMLgLRG_IVzJeL_akBFNfi8s1RI/s1600/SPX_IC_80DTE_PLD_08-12.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg9626pOaR4edAWV6McTsXjOJsDcDGPsvBEYD2UgydoojEEVDnzGp5LrU9AfYO18vh0rrcNhyjqqjCKfi7pZ6g6eKdoSNDnofpvSoyskrxf2La3nHp_CMLgLRG_IVzJeL_akBFNfi8s1RI/s400/SPX_IC_80DTE_PLD_08-12.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjYe9RbeK76mku_qN1S7HND_SkY4EcLvuVz4BI5S1NXrcsYbkoQy0OxmQcg4fkh_I2kHSzMZZz6zISeHrn5brENZkS3pxFvFVAmhGda5SPAH7AgMv1nOFE92cGwMNOpYuGHmVTFRBXT27s/s1600/SPX_IC_80DTE_PLD_16-20.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjYe9RbeK76mku_qN1S7HND_SkY4EcLvuVz4BI5S1NXrcsYbkoQy0OxmQcg4fkh_I2kHSzMZZz6zISeHrn5brENZkS3pxFvFVAmhGda5SPAH7AgMv1nOFE92cGwMNOpYuGHmVTFRBXT27s/s400/SPX_IC_80DTE_PLD_16-20.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>Normalized P&L per Trade</u></b><br />
<br />
The normalized P&L per trade charts display returns expressed as a percentage of the <i>max risk</i> 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.<br />
<br />
The results:<br />
<ol>
<li>The variability in normalized P&L per trade again increases as the delta of the short strike increases, and decreases with increasing wing width</li>
<li>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</li>
<li>The largest normalized P&L per trade was 9.4% and was associated with one strategy variation:</li>
<ol>
<li>ST (300:NA), 50 point wings, 16 delta</li>
</ol>
<li>174 variations had P&L per trade values of 5.0% or greater...really large number!:</li>
<ol>
<li>86 of these 174 were standard (ST) structures <i>(45 were DN structures)</i></li>
<li>75 of these 174 did not use a loss taking exit <i>(64 used the 300% level</i>)</li>
<li>67 of these 174 did not use a profit taking level <i>(59 used the 75% level)</i></li>
<li>66 of these 174 used a short strike delta of 20 <i>(53 used 16 delta)</i></li>
<li>65 of these 174 used 50 point wings <i>(58 used 75 point wings)</i></li>
</ol>
<li>The 80 DTE ICs have the largest average P&L per trade readings:</li>
<ol>
<li>80 DTE: mean 4.60% / SD 1.98%</li>
<li>73 DTE: mean 3.92% / SD 1.73%</li>
<li>66 DTE: mean 2.79% / SD 1.09%</li>
<li>59 DTE; mean 2.75% / SD 1.20%</li>
<li>52 DTE: mean 2.33% / SD 0.88%</li>
<li>45 DTE: mean 2.23% / SD 0.87%</li>
<li>38 DTE: mean 1.88% / SD 0.75%</li>
</ol>
</ol>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhUy0EOn4rsoOgJt9GivZkqm1PwdRLL_zLVSgv_Rh8PwfNEKbAbzDlBIPbSt6wbi4UrqXRd0j0voaj8xqSeCBCOihgePDwxIr4hcenoAi-bzDf7JIzeJj_M4OKksyEC9AWqVWIuu1ifgtw/s1600/SPX_IC_80DTE_PLT_08-12.PNG" imageanchor="1"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhUy0EOn4rsoOgJt9GivZkqm1PwdRLL_zLVSgv_Rh8PwfNEKbAbzDlBIPbSt6wbi4UrqXRd0j0voaj8xqSeCBCOihgePDwxIr4hcenoAi-bzDf7JIzeJj_M4OKksyEC9AWqVWIuu1ifgtw/s400/SPX_IC_80DTE_PLT_08-12.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh2TmDS9b7TWojo2AC1fdvFBYUw-WXcII1hcVJCp4rlpb9tawnlbflx9T80beSNBZKnJm987B0cuzLUqXTeFRieOe7Jt55J25B0NPBmbJRjE38DVVpeLBLQZIjap6J5_BYjaS_wR2AlJi4/s1600/SPX_IC_80DTE_PLT_16-20.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh2TmDS9b7TWojo2AC1fdvFBYUw-WXcII1hcVJCp4rlpb9tawnlbflx9T80beSNBZKnJm987B0cuzLUqXTeFRieOe7Jt55J25B0NPBmbJRjE38DVVpeLBLQZIjap6J5_BYjaS_wR2AlJi4/s400/SPX_IC_80DTE_PLT_16-20.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>Win Rate</u></b><br />
<br />
The win rate trends have been consistent across the DTEs tested:<br />
<ol>
<li>In general, win rates tend to increase as wing widths increase</li>
<li>Win rates tend to <i>decrease </i>as the delta of the short strikes <i>increases</i></li>
<ol>
<li>At 20 delta, there is only a slight increase in win rate when taking losses greater than 200%</li>
</ol>
<li>The 50% profit taking level has the highest win rates</li>
<li>The top win rate was 99%, and was associated with four strategies:</li>
<ol>
<li>EL (NA:50), wing width 25, 8 delta</li>
<li>ST (NA:50), wing width 75, 8 delta</li>
<li>EL (NA:50), wing width 75, 8 delta</li>
<li>DN (NA:50), wing width 75, 8 delta</li>
</ol>
<li>82 strategies had win rates of 91% or better:</li>
<ol>
<li>Of these 82 , 57 took profits at 50%</li>
<li>Of these 82 , 49 did not use loss exits (they exited at 2 DTE; loss taking % = NA)</li>
<li>Of these 82 , 43 had short strike deltas of 8</li>
<li>Of these 82 , 32 had wing widths of 75 points</li>
</ol>
<li>The strategies with the top win rates also had some of the largest single losses...and this is consistent across the DTEs tested</li>
</ol>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgvS8azf1HcN4Lnfg43BqLeMf0une-pR6Y_UUSeQvGo4dLI3yAGrdLKYreWp3aCYn1ZtKTqTO057hQy8VdfgmLSXk0OS609PAz_8dMkIW4pHeGcDd1InOLevZUw4Ahu5eAov51EVDhu9vU/s1600/SPX_IC_80DTE_WR_08-12.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgvS8azf1HcN4Lnfg43BqLeMf0une-pR6Y_UUSeQvGo4dLI3yAGrdLKYreWp3aCYn1ZtKTqTO057hQy8VdfgmLSXk0OS609PAz_8dMkIW4pHeGcDd1InOLevZUw4Ahu5eAov51EVDhu9vU/s400/SPX_IC_80DTE_WR_08-12.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi3PcTRaVG67wf4peNHo6_vR0nQw17ghxR_y3R4O0KSF-b5ZORb4ErnabVqSYQPgQAiuPFQxbmQ9WyLSON0cQMejrVl1pPbHykye86F1b5gruGEnlTIWLFsI2NG5hSpsW9Pi-Oq0tttOyQ/s1600/SPX_IC_80DTE_WR_16-20.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi3PcTRaVG67wf4peNHo6_vR0nQw17ghxR_y3R4O0KSF-b5ZORb4ErnabVqSYQPgQAiuPFQxbmQ9WyLSON0cQMejrVl1pPbHykye86F1b5gruGEnlTIWLFsI2NG5hSpsW9Pi-Oq0tttOyQ/s400/SPX_IC_80DTE_WR_16-20.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
<br />
<b><u>Largest Loss</u></b><br />
<br />
The next charts show the normalized largest loss for each of the test runs These largest losses are expressed as a percentage of the <i>max risk</i> found in the roughly 165 trades in each test run.<br />
<br />
The results:<br />
<ol>
<li>Typically, the largest loss percentage increases with increasing loss taking level</li>
<li>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.</li>
<ol>
<li>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.</li>
</ol>
<li>36 strategy variations had largest loss readings of 95% or greater:</li>
<ol>
<li>Of these 36, 27 did not use a loss taking level (loss taking % = NA)</li>
<li>Of these 36, 18 used wing widths of 25 points</li>
<li>Of these 36, 18 used the DN structure</li>
</ol>
<li>34 strategy variations had largest losses that were 29% or <i>smaller</i>:</li>
<ol>
<li>Of these 34, 32 used a loss taking level of 100%</li>
<li>Of these 34, 23 had short strike deltas of 8</li>
<li>Of these 34, 18 used the extra long put (EL) structure</li>
<li>Of these 34, 18 used a profit taking level of 50%</li>
<li>Of these 34, 16 used wing widths of 75 points</li>
</ol>
<li>The top three <i>smallest losses</i> were associated with the following strategies:</li>
<ol>
<li>EL (100:50), 75 point wings, 8 delta -> 16% loss <i>(win rate 80%)</i></li>
<li>DN (100:50), 75 point wings, 8 delta -> 17% loss <i>(win rate 82%)</i></li>
<li>DN (100:50), 50 point wings, 8 delta -> 18% loss <i>(win rate 82%)</i></li>
</ol>
</ol>
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<br />
<br />
<u><b>Profit Factor</b></u><br />
<br />
The profit factor results are listed below:<br />
<ol>
<li>Profit factors increase for variations not using a loss taking % (loss taking % = NA)</li>
<ol>
<li>This trend is most pronounced at the short strike delta of 8</li>
</ol>
<li>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.</li>
<ol>
<li>100 of these 216 took profits at 50%</li>
<li>85 of these 216 did not use a loss taking exit (loss taking % = NA)</li>
<li>82 of these 216 used the standard IC structure (ST) <i>(73 used the DN structure)</i></li>
<li>78 of these 216 had short strike deltas of 8 <i>(61 used 12 delta)</i></li>
</ol>
<li>The top tree performers were:</li>
<ol>
<li>DN (NA:50), 75 point wings, 12 delta -> profit factor of 3.1 <i>(win rate 95%)</i></li>
<li>DN (NA:50), 50 point wings, 8 delta -> profit factor of 3.0 <i>(win rate 95%)</i></li>
<li>EL (NA:50), 50 point wings, 8 delta -> profit factor of 3.0 <i>(win rate 96%)</i></li>
</ol>
</ol>
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<br />
<u><b>Average DIT For Winning Trades</b></u><br />
<br />
This metric was derived by averaging all of the DIT for all of the <i>winning trades</i> in a test run. The trends associated with this metric are consistent with the prior DTE test runs:<br />
<ol>
<li>As short strike deltas increase, trade duration increases</li>
<li>As profit taking level increases, trade duration increases</li>
<li>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</li>
<li>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</li>
<li>There were 50 variations with winning trade DIT values less than 35:</li>
<ol>
<li>All 50 took profits at 50%</li>
<li>36 of these 50 used 8 delta short strikes</li>
<li>19 of these 50 used the loss taking level of 100%</li>
</ol>
</ol>
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<i><br /></i>Unknownnoreply@blogger.com0tag:blogger.com,1999:blog-771169794002155719.post-68981716353982378002017-03-21T08:00:00.000-06:002017-03-21T08:00:15.060-06:0073 DTE Iron Condor Results SummaryThis article reviews the backtest results for iron condors (IC) entered at 73 days to expiration (DTE). These tests covered 9 IC variations, with short strike deltas at four locations (8, 12, 16, 20), utilizing 12 exits. In all, there were 432 test runs (9 variations x 4 deltas x 12 exits). Each test run executed an average of 174 SPX IC trades between the January 2007 expiration and the September 2016 expiration. A total of 432 ten year backtests. I used weekly options for this testing, so there were more than 12 trades per year. In total, there were 75,096 total trades entered for the 73 DTE testing.<br />
<br />
You can find the prior SPX IC posts in this series at the links below:<br />
<ul>
<li><a href="http://dtr-trading.blogspot.com/2016/12/new-iron-condor-series-introduction.html" target="_blank">New Iron Condor Series Introduction</a></li>
<li><a href="http://dtr-trading.blogspot.com/2016/12/38-dte-iron-condor-results-summary.html" target="_blank">38 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/38-dte-iron-condor-results-summary-part.html" target="_blank">38 DTE SPX Iron Condor Results Summary - Part 2</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/45-dte-iron-condor-results-summary.html" target="_blank">45 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/45-dte-iron-condor-results-summary-part.html" target="_blank">45 DTE SPX Iron Condor Results Summary - Part 2 </a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/02/52-dte-iron-condor-results-summary.html" target="_blank">52 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/02/59-dte-iron-condor-results-summary.html" target="_blank">59 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/03/66-dte-iron-condor-results-summary.html" target="_blank">66 DTE SPX Iron Condor Results Summary</a></li>
</ul>
<br />
<b><u>Normalized P&L per Day</u></b><br />
<br />
The P&L per day values shown in the charts below are expressed as a percentage of the <i>max risk</i> 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.<br />
<br />
The results:<br />
<ol>
<li>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</li>
<li>Similar to the prior test runs, as the delta of the short strikes increases, the variability in the P&L per day readings increases</li>
<li>The largest reading was 0.17%, which is smaller than the largest reading for the 38, 45, and 59 DTE ICs. There was one strategy variation with a 0.17% value:</li>
<ol>
<li>ST (100:75), 25 point wings, 20 delta</li>
</ol>
<li>The next best readings came in at 0.16% and were associated with four test runs: </li>
<ol>
<li>ST (100:50), 25 point wings, 20 delta</li>
<li>ST (NA:75), 25 point wings, 20 delta</li>
<li>ST (300:75), 25 point wings, 20 delta</li>
<li>ST (200:75), 25 point wings, 20 delta</li>
</ol>
<li>46 strategy variations had P&L per day readings of 0.12% or greater:</li>
<ol>
<li>Of these 46, 35 used the standard balanced (ST) IC structure</li>
<li>Of these 46, 30 used wing widths of 25 points</li>
<li>Of these 46, 26 used the profit taking level of 50%</li>
<li>Of these 46, 25 used a short strike delta of 20</li>
</ol>
</ol>
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<br />
<b><u>Normalized P&L per Trade</u></b><br />
<br />
The normalized P&L per trade charts display returns expressed as a percentage of the <i>max risk</i> 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 73 DTE P&L per trade charts was increased from 6% to 12%. The 16 delta and 20 delta variations had some values exceeding the 6% level.<br />
<br />
The results:<br />
<ol>
<li>The variability in normalized P&L per trade again increases as the delta of the short strike increases, and decreases with increasing wing width</li>
<li>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</li>
<li>The largest normalized P&L per trade was 9.1% and was associated with two strategy variations:</li>
<ol>
<li>ST (NA:75), 25 point wings, 20 delta</li>
<li>ST (300:75), 25 point wings, 20 delta</li>
</ol>
<li>112 variations had P&L per trade values of 5.0% or greater...this is a huge number!:</li>
<ol>
<li>60 of these 112 were standard (ST) structures <i>(34 were DN structures)</i></li>
<li>57 of these 112 used a short strike delta of 20 <i>(44 used 16 delta)</i></li>
<li>51 of these 112 did not use a profit taking level <i>(44 used the 50% level)</i></li>
<li>44 of these 112 did not use a loss taking exit <i>(41 used the 300% level</i>)</li>
<li>44 of these 112 used 25 point wings <i>(41 used 50 point wings)</i></li>
</ol>
<li>The 73 DTE ICs have the largest average P&L per trade readings:</li>
<ol>
<li>73 DTE: mean 3.92% / SD 1.73%</li>
<li>66 DTE: mean 2.79% / SD 1.09%</li>
<li>59 DTE; mean 2.75% / SD 1.20%</li>
<li>52 DTE: mean 2.33% / SD 0.88%</li>
<li>45 DTE: mean 2.23% / SD 0.87%</li>
<li>38 DTE: mean 1.88% / SD 0.75%</li>
</ol>
</ol>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
<b><u>Win Rate</u></b><br />
<br />
The win rate trends have been consistent across the DTEs tested:<br />
<ol>
<li>In general, win rates tend to increase as wing widths increase</li>
<li>Win rates tend to <i>decrease </i>as the delta of the short strikes <i>increases</i></li>
<ol>
<li>As the short strike delta increases to 16 and 20 delta, there is only a slight increase in win rate when taking losses greater than 200%</li>
</ol>
<li>The 50% profit taking level has the highest win rates</li>
<li>The top win rate was 96%, and was associated with four strategies:</li>
<ol>
<li>ST (NA:50), wing width 75, 8 delta</li>
<li>EL (NA:50), wing width 75, 8 delta</li>
<li>DN (NA:50), wing width 75, 8 delta</li>
<li>EL (NA:50), wing width 50, 8 delta</li>
</ol>
<li>49 strategies had win rates of 91% or better:</li>
<ol>
<li>Of these 49, 39 took profits at 50%</li>
<li>Of these 49, 31 did not use loss exits (they exited at 2 DTE; loss taking % = NA)</li>
<li>Of these 49, 26 had short strike deltas of 8</li>
<li>Of these 49, 22 had wing widths of 75 points</li>
</ol>
<li>The strategies with the top win rates also had some of the largest single losses...and this is consistent across the DTEs tested</li>
</ol>
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<br />
<b><u>Largest Loss</u></b><br />
<br />
The next charts show the normalized largest loss for each of the test runs These largest losses are expressed as a percentage of the <i>max risk</i> found in the roughly 174 trades in each test run.<br />
<br />
The results:<br />
<ol>
<li>Typically, the largest loss percentage increases with increasing loss taking level</li>
<li>There were three strategy variations that had losses measurably greater than 100% of risk. They were the 25 point wing, 12 delta shorts, EL using a loss taking level of 300%. These variations hit a loss of 117% of risk due to bad data.</li>
<ol>
<li>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 the 66 DTE trades.</li>
</ol>
<li>43 strategy variations had largest loss readings of 95% or greater:</li>
<ol>
<li>Of these 43, 27 used wing widths of 25 points</li>
<li>Of these 43, 25 used the ST structure</li>
<li>None of the 43 used a loss taking level (loss taking % = NA)</li>
</ol>
<li>42 strategy variations had largest losses that were 29% or <i>smaller</i>:</li>
<ol>
<li>Of these 42, 33 had short strike deltas of 8 and loss taking at 100%</li>
<li>Of these 42, 21 used wing widths of 75 points</li>
<li>Of these 42, 19 used the extra long put (EL) structure</li>
</ol>
<li>The top three <i>smallest losses</i> were associated with the following strategies:</li>
<ol>
<li>DN (100:50), 75 point wings, 8 delta -> 15% loss <i>(win rate 82%)</i></li>
<li>EL (100:75), 75 point wings, 8 delta -> 16% loss <i>(win rate 72%)</i></li>
<li>ST (100:50), 75 point wings, 8 delta -> 17% loss <i>(win rate 77%)</i></li>
</ol>
</ol>
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<br />
<br />
<u><b>Profit Factor</b></u><br />
<br />
The profit factor results are listed below:<br />
<ol>
<li>Profit factors increase for variations not using a loss taking % (loss taking % = NA)</li>
<ol>
<li>This trend is more pronounced at the lower short strike deltas of 8 and 12</li>
</ol>
<li>110 strategy variations had profit factors of 2.0 or greater...this is a big increase from the number of variations meeting this criteria at 66 DTE.</li>
<ol>
<li>57 of these 110 did not use a loss taking exit (loss taking % = NA)</li>
<li>55 of these 110 used the delta neutral structure (DN)</li>
<li>49 of these 110 took profits at 50%</li>
<li>46 of these 110 had short strike deltas of 8</li>
</ol>
<li>The top tree performers were:</li>
<ol>
<li>DN (NA:50), 75 point wings, 12 delta -> profit factor of 3.1 <i>(win rate 95%)</i></li>
<li>DN (NA:50), 50 point wings, 8 delta -> profit factor of 3.0 <i>(win rate 95%)</i></li>
<li>EL (NA:50), 50 point wings, 8 delta -> profit factor of 3.0 <i>(win rate 96%)</i></li>
</ol>
</ol>
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<br />
<br />
<u><b>Average DIT For Winning Trades</b></u><br />
<br />
This metric was derived by averaging all of the DIT for all of the <i>winning trades</i> in a test run. Adding a DIT exit to your profit and loss exits is worth considering.<br />
<br />
The trends associated with this metric are consistent with the prior DTE test runs:<br />
<ol>
<li>As short strike deltas increase, trade duration increases</li>
<li>As profit taking level increases, trade duration increases</li>
<li>The 50% profit taking level should have you out of your trade between 21 and 42 days for a 73 DTE IC, depending on short strike delta</li>
<li>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 25</li>
<li>There were 40 variations with winning trade DIT values less than 30:</li>
<ol>
<li>All 40 took profits at 50%</li>
<li>32 of these 40 used 8 delta short strikes</li>
<li>17 of these 40 used the loss taking level of 100%</li>
</ol>
</ol>
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<br />
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<i><br /></i>Unknownnoreply@blogger.com0tag:blogger.com,1999:blog-771169794002155719.post-55474217509899679402017-03-07T06:00:00.000-07:002017-03-07T06:00:12.071-07:0066 DTE Iron Condor Results SummaryThis article reviews the backtest results of iron condors (IC) entered at 66 days to expiration (DTE). These tests covered 9 IC variations, with short strike deltas at four locations (8, 12, 16, 20), utilizing 12 exits. In all, there were 432 test runs (9 variations x 4 deltas x 12 exits). Each test run executed slightly less than 200 SPX IC trades between the January 2007 expiration and the September 2016 expiration. A total of 432 ten year backtests. I used weekly options for this testing, so there were more than 12 trades per year. In total, there were 80,640 total trades entered for the 66 DTE testing.<br />
<br />
You can find the prior SPX IC posts in this series at the links below:<br />
<ul>
<li><a href="http://dtr-trading.blogspot.com/2016/12/new-iron-condor-series-introduction.html" target="_blank">New Iron Condor Series Introduction</a></li>
<li><a href="http://dtr-trading.blogspot.com/2016/12/38-dte-iron-condor-results-summary.html" target="_blank">38 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/38-dte-iron-condor-results-summary-part.html" target="_blank">38 DTE SPX Iron Condor Results Summary - Part 2</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/45-dte-iron-condor-results-summary.html" target="_blank">45 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/45-dte-iron-condor-results-summary-part.html" target="_blank">45 DTE SPX Iron Condor Results Summary - Part 2 </a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/02/52-dte-iron-condor-results-summary.html" target="_blank">52 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/02/59-dte-iron-condor-results-summary.html" target="_blank">59 DTE SPX Iron Condor Results Summary</a></li>
</ul>
<br />
<b><u>Normalized P&L per Day</u></b><br />
<br />
The P&L per day values shown in the charts below are expressed as a percentage of the <i>max risk</i> 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).<br />
<br />
The results:<br />
<ol>
<li>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</li>
<li>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</li>
<li>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:</li>
<ol>
<li>ST (NA:50), 25 point wings, 16 delta <i>(same top strategy as at 59 DTE)</i></li>
</ol>
<li>The next best readings came in at 0.14% and were associated with three test runs: </li>
<ol>
<li>ST (NA:50), 25 point wings, 20 delta</li>
<li>DN (NA:50), 25 point wings, 12 delta</li>
<li>ST (100:50), 25 point wings, 20 delta</li>
</ol>
<li>The top 18 strategy variations had P&L per day readings of 0.12% or greater</li>
<ol>
<li>Of these 18, 17 used the profit taking level of 50%</li>
<li>Of these 18, 12 used wing widths of 25 points</li>
<li>Of these 18, 13 used the standard balanced (ST) IC structure</li>
</ol>
</ol>
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<br />
<br />
<b><u>Normalized P&L per Trade</u></b><br />
<br />
The normalized P&L per trade charts display returns expressed as a percentage of the <i>max risk</i> for a given test run.<br />
<br />
The results:<br />
<ol>
<li>The variability in normalized P&L per trade again increases as the delta of the short strike increases, and decreases with increasing wing width.</li>
<li>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.</li>
<li>The largest normalized P&L per trade was 5.9% and was associated with two strategy variations:</li>
<ol>
<li>ST (NA:50), 25 point wings, 20 delta</li>
<li>DN (NA:75), 25 point wings, 20 delta</li>
</ol>
<li>14 variations had P&L per trade values of 5.0% or greater <i>(fewer than at 59 DTE)</i>:</li>
<ol>
<li>12 of these 14 did not use a loss taking exit (loss taking % = NA)</li>
<li>9 of these 14 were delta neutral (DN) structures <i>(5 were ST structures)</i></li>
<li>8 of these 14 used a short strike delta of 20</li>
<li>7 of these 14 used a profit taking level of 75% <i>(4 used a profit taking level of 50%)</i></li>
</ol>
<li>The 66 DTE ICs have the largest average P&L per trade readings:</li>
<ol>
<li>66 DTE: mean 2.79% / SD 1.09%</li>
<li>59 DTE; mean 2.75% / SD 1.20%</li>
<li>52 DTE: mean 2.33% / SD 0.88%</li>
<li>45 DTE: mean 2.23% / SD 0.87%</li>
<li>38 DTE: mean 1.88% / SD 0.75%</li>
</ol>
</ol>
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<br />
<b><u>Win Rate</u></b><br />
<br />
The win rate trends have been fairly consistent across the DTEs tested so far:<br />
<ol>
<li>In general, win rates tend to increase as wing widths increase</li>
<li>Win rates tend to <i>increase</i> as the delta of the short strikes <i>decreases</i></li>
<li>The top win rate was 98%, and was associated with one strategy:</li>
<ol>
<li>DN (NA:50), wing width 75, 8 delta <i>(consistent across DTE)</i></li>
</ol>
<li>The next best win rate was 97% and was associated with two strategies:</li>
<ol>
<li>ST (NA:50), wing width 75, 8 delta</li>
<li>EL (NA:50), wing width 75, 8 delta</li>
</ol>
<li>The top 39 strategies all had win rates of 91% or better. </li>
<ol>
<li>Of these 39, 28 took profits at 50%</li>
<li>Of these 39, 30 did not use loss exits (they exited at 2 DTE; loss taking % = NA)</li>
<li>Of these 39, 28 had short strike deltas of 8</li>
<li>Wing widths and IC structures varied for these 39</li>
</ol>
<li>The strategies with the top win rates also had some of the largest single losses...and this is consistent across the DTEs tested</li>
</ol>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>Largest Loss</u></b><br />
<br />
The next charts show the normalized largest loss for each of the test runs These largest losses are expressed as a percentage of the <i>max risk</i> found in the roughly 200 trades in each test run.<br />
<br />
The results:<br />
<ol>
<li>Typically, the largest loss percentage increases with increasing loss taking level</li>
<li>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).</li>
<ol>
<li>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.</li>
<li>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.</li>
</ol>
<li>65 strategy variations had largest loss readings of 95% or greater</li>
<ol>
<li>Of these 65, 24 had short strike deltas of 20, and another 24 had short strike deltas of 16</li>
<li>Of these 65, 53 used wing widths of 25 points</li>
<li>All structures (ST, DN, EL) were present in these 65 strategy variations</li>
</ol>
<li>33 strategy variations had largest losses that were 29% or <i>smaller</i></li>
<ol>
<li>Of these 33, 17 used wing widths of 75 points</li>
<li>Of these 33, 17 used the extra long put (EL) structure</li>
<li>Of these 33, 24 had short strike deltas of 8</li>
</ol>
<li>27 of the top 33 <i>smallest losses</i> used a loss taking level of 100%</li>
<li>The top four <i>smallest losses</i> were associated with the following strategies:</li>
<ol>
<li>DN (100:50), 75 point wings, 8 delta -> 11% loss <i>(win rate 82%)</i></li>
<li>DN (100:75), 75 point wings, 8 delta -> 13% loss <i>(win rate 72%)</i></li>
<li>DN (100:50), 50 point wings, 8 delta -> 14% loss <i>(win rate 77%)</i></li>
<li>DN (100:75), 50 point wings, 8 delta -> 14% loss <i>(win rate 69%)</i></li>
</ol>
</ol>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<u><b>Profit Factor</b></u><br />
<br />
The profit factor results are listed below:<br />
<ol>
<li>Profit factors increase sharply for variations not using a loss taking % (loss taking % = NA)</li>
<ol>
<li>This trend is more pronounced at the lower short strike deltas of 8 and 12</li>
</ol>
<li>44 strategy variations had profit factors of 2.0 or greater</li>
<ol>
<li>40 of these 44 did not use a loss taking exit (loss taking % = NA)</li>
<li>27 of these 44 used the delta neutral structure (DN)</li>
<li>26 of these 44 had short strike deltas of 8</li>
</ol>
<li>The top tree performers were:</li>
<ol>
<li>DN (NA:50), 50 point wings, 8 delta -> profit factor of 6.8 <i>(win rate 95%)</i></li>
<li>DN (NA:50), 75 point wings, 8 delta -> profit factor of 4.8 <i>(win rate 98%)</i></li>
<li>DN (NA:NA), 50 point wings, 8 delta -> profit factor of 3.8 <i>(win rate 89%)</i></li>
</ol>
</ol>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
<br />
<u><b>Average DIT For Winning Trades</b></u><br />
<br />
This metric was derived by averaging all of the DIT for all of the <i>winning trades</i> in a test run. Adding a DIT exit to your profit and loss exits is worth considering.<br />
<br />
The trends associated with this metric are consistent with the prior DTE test runs:<br />
<ol>
<li>As short strike deltas increase, trade duration increases</li>
<li>As profit taking level increases, trade duration increases</li>
<li>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</li>
<li>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</li>
<ol>
<li>These were the same trade structures that had the smallest winning trade DIT at 52 and 59 DTE</li>
</ol>
</ol>
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<br />
<br />
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<i><br /></i>Unknownnoreply@blogger.com0tag:blogger.com,1999:blog-771169794002155719.post-74300819840562210672017-02-28T06:00:00.000-07:002017-02-28T06:00:00.153-07:0059 DTE Iron Condor Results SummaryThis article reviews the backtest results of iron condors (IC) entered at 59 days to expiration (DTE). These tests covered 9 IC variations, with short strike deltas at four locations (8, 12, 16, 20), utilizing 12 exits. In all, there were 432 test runs (9 variations x 4 deltas x 12 exits). Each test run executed approximately 200 SPX IC trades between the January 2007 expiration and the September 2016 expiration. I used weekly options for this testing, so there were more than 12 trades per year. In total, there were 84,996 total trades entered for the 59 DTE testing.<br />
<br />
You can find the prior SPX IC posts in this series at the links below:<br />
<ul>
<li><a href="http://dtr-trading.blogspot.com/2016/12/new-iron-condor-series-introduction.html" target="_blank">New Iron Condor Series Introduction</a></li>
<li><a href="http://dtr-trading.blogspot.com/2016/12/38-dte-iron-condor-results-summary.html" target="_blank">38 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/38-dte-iron-condor-results-summary-part.html" target="_blank">38 DTE SPX Iron Condor Results Summary - Part 2</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/45-dte-iron-condor-results-summary.html" target="_blank">45 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/45-dte-iron-condor-results-summary-part.html" target="_blank">45 DTE SPX Iron Condor Results Summary - Part 2 </a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/02/52-dte-iron-condor-results-summary.html" target="_blank">52 DTE SPX Iron Condor Results Summary</a></li>
</ul>
<br />
<b><u>Normalized P&L per Day</u></b><br />
<br />
The P&L per day values shown in the charts below are expressed as a percentage of the <i>max risk</i> 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).<br />
<br />
The results:<br />
<ol>
<li>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</li>
<li>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</li>
<li>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:</li>
<ol>
<li>ST (NA:50), 25 point wings, 16 delta</li>
</ol>
<li>The next best readings came in at 0.16% and 0.15% and were associated with five test runs: </li>
<ol>
<li>EL (NA:50), 25 point wings, 16 delta <i>(0.16%)</i></li>
<li>DN (NA:50), 50 point wings, 16 delta <i>(0.15%)</i></li>
<li>ST (NA:50), 25 point wings, 20 delta <i>(0.15%)</i></li>
<li>DN (NA:50), 50 point wings, 16 delta <i>(0.15%)</i></li>
<li>ST (300:50), 25 point wings, 16 delta <i>(0.15%)</i></li>
</ol>
<li>20 of the top 22 readings were associated with a profit taking level of 50%</li>
<ol>
<li>Of these 20 readings, 14 had short delta strikes of 16</li>
</ol>
</ol>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>Normalized P&L per Trade</u></b><br />
<br />
The normalized P&L per trade charts display returns expressed as a percentage of the <i>max risk</i> for a given test run.<br />
<br />
The results:<br />
<ol>
<li>The variability in normalized P&L per trade again increases as the delta of the short strike increases, and decreases with increasing wing width.</li>
<li>In general, the returns per trade increase with increasing loss taking %, and this trend is significantly more pronounced than at 52 DTE.</li>
<li>The largest normalized P&L per trade was 6.0% for two strategy variations:</li>
<ol>
<li>ST (NA:75), 25 point wings, 16 delta</li>
<li>ST (NA:50), 25 point wings, 16 delta</li>
</ol>
<li>22 variations had P&L per trade values of 5.0% or greater</li>
<ol>
<li>21 of these 22 did not use a loss taking exit (loss taking % = NA)</li>
<li>14 of these 22 used a short strike delta of 16</li>
<li>12 of these 22 were delta neutral (DN) structures (9 were ST structures)</li>
<li>12 of these 22 used a profit taking exit of 75% (6 used a profit taking % = NA)</li>
<li>Wing widths for these 22 spanned all of the possible test values</li>
</ol>
<li>The 59 DTE ICs have the largest P&L per trade readings, and largest standard deviations:</li>
<ol>
<li>59 DTE; mean 2.75% / SD 1.20%</li>
<li>52 DTE: mean 2.33% / SD 0.88%</li>
<li>45 DTE: mean 2.23% / SD 0.87%</li>
<li>38 DTE: mean 1.88% / SD 0.75%</li>
</ol>
<ol>
</ol>
</ol>
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<br />
<br />
<b><u>Win Rate</u></b><br />
<br />
The win rate trends appear fairly consistent across the DTEs tested so far:<br />
<ol>
<li>In general, win rates tend to increase as wing widths increase</li>
<li>Win rates tend to <i>increase</i> as the delta of the short strikes <i>decreases</i></li>
<li>The top win rate was 96%, and was associated with three strategies:</li>
<ol>
<li>DN (NA:50), wing width 75, 8 delta</li>
<li>ST (NA:50), wing width 75, 8 delta</li>
<li>EL (NA:50), wing width 75, 8 delta</li>
</ol>
<li>The top 41 strategies all had win rates of 91% or better. </li>
<ol>
<li>Of these 41, 28 took profits at 50%</li>
<li>Of these 41, 35 did not use loss exits (they exited at 2 DTE; loss taking % = NA)</li>
<li>Of these 41, 26 had short strike deltas of 8</li>
<li>Wing widths and IC structures varied for these 41</li>
</ol>
<li>The strategies with the top win rates also had some of the largest single losses...and this is consistent across the DTEs tested</li>
<li>The win rates for the 59 DTE ICs were slightly better than the win rates for the 52 DTE ICs</li>
</ol>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>Largest Loss</u></b><br />
<br />
The next charts show the normalized largest loss for each of the test runs These largest losses are expressed as a percentage of the <i>max risk</i> found in the roughly 200 trades in each test run.<br />
<br />
The results:<br />
<ol>
<li>Typically, the largest loss percentage increases with increasing loss taking level</li>
<li>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.</li>
<ol>
<li>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.</li>
<li>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.</li>
</ol>
<li>72 strategy variations had largest loss readings of 95% or greater</li>
<ol>
<li>58 had short strike deltas of 20, while the other 14 had short strike deltas of 16</li>
<li>All wing widths, and structures (ST, DN, EL) were present in these 72 strategy variations</li>
</ol>
<li>27 of the top 28 <i>smallest losses</i> used a loss taking level of 100</li>
<li>15 of the top 17 <i>smallest losses</i> had short strike deltas of 8</li>
<li>The top 3 <i>smallest losses</i> were:</li>
<ol>
<li>DN (100:50), 75 point wings, 8 delta -> 14% loss <i>(win rate 82%)</i></li>
<li>EL (100:50), 50 point wings, 8 delta -> 17% loss <i>(win rate 80%)</i></li>
<li>EL (100:75), 50 point wings, 8 delta ->17% loss <i>(win rate 74%)</i></li>
</ol>
</ol>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<u><b>Profit Factor</b></u><br />
<br />
The profit factor results are listed below:<br />
<ol>
<li>Profit factors increase sharply for variations not using a loss taking % (loss taking % = NA)</li>
<li>62 strategy variations had profit factors of 2.0 or greater (double the number at 52 DTE!)</li>
<ol>
<li>55 of these 62 did not use a loss taking exit (loss taking % = NA)</li>
<li>32 of these 62 used the delta neutral structure (DN)</li>
<li>31 of these 62 had short strike deltas of 8</li>
</ol>
<li>The top tree performers were:</li>
<ol>
<li>DN (NA:NA), 75 point wings, 8 delta -> profit factor of 3.5 <i>(win rate 92%)</i></li>
<li>DN (NA:NA), 50 point wings, 8 delta -> profit factor of 3.5 <i>(win rate 90%)</i></li>
<li>DN (NA:75), 50 point wings, 8 delta -> profit factor of 3.4 <i>(win rate 92%)</i></li>
</ol>
<li>These top performers had largest losses of approximately -90% due to not implementing loss taking exits</li>
</ol>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
<br />
<u><b>Average DIT For Winning Trades</b></u><br />
<br />
This metric was derived by averaging all of the DIT for all of the <i>winning trades</i> in a test run. Adding a DIT exit to your profit and loss exits is worth considering.<br />
<br />
The trends associated with this metric are consistent with the prior DTE test runs:<br />
<ol>
<li>As short strike deltas increase, trade duration increases</li>
<li>As profit taking level increases, trade duration increases</li>
<li>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</li>
<li>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</li>
<ol>
<li>These were the same trade structures that had the smallest winning trade DIT at 52 DTE</li>
</ol>
</ol>
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<br />
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<i><br /></i>Unknownnoreply@blogger.com0tag:blogger.com,1999:blog-771169794002155719.post-86044124754440854552017-02-07T07:00:00.000-07:002017-02-07T07:00:00.798-07:0052 DTE Iron Condor Results SummaryThis article looks at the backtest results of iron condors (IC) entered at 52 days to expiration (DTE). These tests covered 9 IC variations, with short strike deltas at four locations (8, 12, 16, 20), utilizing 12 exits. In all, there were 432 test runs (9 variations x 4 deltas x 12 exits). Each test run executed more than 200 SPX IC trades between the Jan-2007 expiration and the Sep-2016 expiration. I used weekly options for this testing, so there were more than 12 trades per year. In total, there were 94,752 total trades entered for the 52 DTE testing.<br />
<br />
You can find the prior SPX IC posts in this series at the links below:<br />
<ul>
<li><a href="http://dtr-trading.blogspot.com/2016/12/new-iron-condor-series-introduction.html" target="_blank">New Iron Condor Series Introduction</a></li>
<li><a href="http://dtr-trading.blogspot.com/2016/12/38-dte-iron-condor-results-summary.html" target="_blank">38 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/38-dte-iron-condor-results-summary-part.html" target="_blank">38 DTE SPX Iron Condor Results Summary - Part 2</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/45-dte-iron-condor-results-summary.html" target="_blank">45 DTE SPX Iron Condor Results Summary</a></li>
<li><a href="http://dtr-trading.blogspot.com/2017/01/45-dte-iron-condor-results-summary-part.html" target="_blank">45 DTE SPX Iron Condor Results Summary - Part 2 </a></li>
</ul>
<br />
<b><u>Normalized P&L per Day</u></b><br />
<br />
The P&L per day values shown in the charts below are expressed as a percentage of the <i>max risk</i> 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)..<br />
<br />
The results:<br />
<ol>
<li>Similar to the 38 and 45 DTE ICs, there is more variability in P&L per day readings in the 25 point wing ICs, than in the larger wing width ICs</li>
<li>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</li>
<li>The largest reading was 0.13%, which is lower than the largest reading of 0.18% for the 38 and 45 DTE ICs. There were three strategy variations with a 0.13% value:</li>
<ol>
<li>ST (NA:75), 25 point wings, 8 delta</li>
<li>ST (100:75), 25 point wings, 8 delta</li>
<li>DN (NA:50), 25 point wings, 16 delta</li>
</ol>
<li>The next best reading was 0.12% and was associated with seven test runs: </li>
<ol>
<li>DN (NA:50), 25 point wings, 8 delta</li>
<li>DN (NA:50), 50 point wings, 20 delta</li>
<li>ST (100:50), 25 point wings, 8 delta</li>
<li>DN (NA:50), 25 point wings, 20 delta</li>
<li>DN (NA:50), 25 point wings, 12 delta</li>
<li>DN (NA:75), 25 point wings, 8 delta</li>
<li>ST (300:50), 25 point wings, 16 delta</li>
</ol>
<li>22 of the top 30 readings were associated with a profit taking level of 50%</li>
<ol>
<li>Of these 22 readings, 13 had 25 point wing widths</li>
</ol>
</ol>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>Normalized P&L per Trade</u></b><br />
<br />
The normalized P&L per trade charts display returns expressed as a percentage of the <i>max risk</i> for a given test run.<br />
<br />
The results:<br />
<ol>
<li>The variability in normalized P&L per trade again increases as the delta of the short strike increases, and decreases with increasing wing width...this is a recurring pattern in the results</li>
<li>The largest normalized P&L per trade was 4.7% for the DN (NA:NA), 25 point wings, 12 delta short strikes</li>
<li>In general, the returns per trade increase with increasing loss taking %, and is more pronounced at 52 DTE than at 45 DTE.</li>
<li>17 variations had P&L per trade values of 4.0% or greater</li>
<ol>
<li>11 of these 17 were delta neutral (DN) structures</li>
<li>16 of these 17 did not use a loss taking exit (loss taking % = NA)</li>
<li> 8 of these 17 used a profit taking exit of 75%, while the other 9 did not use a profit taking exit (profit taking % = NA)</li>
<li>Wing widths and short strike deltas for these 17 spanned all of the possible test values</li>
</ol>
<li>The 52 DTE ICs have larger P&L per trade readings than the 38 DTE ICs</li>
<ol>
<li>2.33% / SD 0.88% <i>VS</i> avg 1.88% / SD 0.75%</li>
</ol>
<li>The 52 DTE ICs have slightly larger P&L per trade readings than the 45 DTE ICs</li>
<ol>
<li>2.33% / SD 0.88% <i>VS</i> avg 2.23% / sd 0.87%</li>
</ol>
</ol>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
<br />
<b><u>Win Rate</u></b><br />
<br />
The win rate trends appear fairly consistent across the DTEs tested so far:<br />
<ol>
<li>In general, win rates tend to increase as wing widths increase</li>
<li>Win rates tend to <i>increase</i> as the delta of the short strikes <i>decreases</i></li>
<li>The top win rate was 96%, and was associated with these strategies:</li>
<ol>
<li>DN (NA:50), wing width 75, 8 delta</li>
<li>ST (NA:50), wing width 75, 8 delta</li>
</ol>
<li>The top 29 strategies all had win rates of 91% or better. </li>
<ol>
<li>Of these 29, 16 took profits at 50%</li>
<li>Of these 29, 28 did not use loss exits (they exited at 2 DTE; loss taking % = NA)</li>
<li>Of these 29, 23 had short strike deltas of 8</li>
<li>Of these 29, wing widths and IC structures varied</li>
</ol>
<li>The strategies with the top win rates also had some of the largest single losses...as you'd expect for strategies not using loss exits...and this is consistent across the DTEs tested</li>
<li>The win rates for the 52 DTE ICs were slightly better than the win rates for the 45 DTE ICs</li>
</ol>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
<br />
<b><u>Largest Loss</u></b><br />
<br />
The next charts show the normalized largest loss for each of the test runs These largest losses are expressed as a percentage of the <i>max risk</i> for all of the 200+ trades in each test run.<br />
<br />
The results:<br />
<ol>
<li>The largest loss percentage increases with increasing loss taking level</li>
<li>39 strategy variations had largest loss readings of 95% or greater</li>
<ol>
<li>36 carried trades to 2 DTE and did not use loss taking levels (loss taking % = NA)</li>
<li>3 used a loss taking level of 300%</li>
<li>All wing widths, short strike deltas, and structures (ST, DN, EL) were present in these 39 strategy variations</li>
<li>The worst 18 had wing widths of 25 points</li>
</ol>
<li>The top 28 <i>smallest losses</i> all used a loss taking level of 100</li>
<li>The top 12 <i>smallest losses</i> had short strike deltas of 8</li>
<li>The top 6 <i>smallest losses</i> had wing widths of 75 points </li>
<li>The top 3 <i>smallest losses</i> were:</li>
<ol>
<li>DN (100:50), 75 point wings, 8 delta -> 13% loss</li>
<li>EL (100:50), 75 point wings, 8 delta -> 14% loss</li>
<li>ST (100:50), 75 point wings, 8 delta ->14% loss</li>
</ol>
</ol>
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</tbody></table>
<br />
<br />
<u><b>Profit Factor</b></u><br />
<br />
The profit factor results are listed below:<br />
<ol>
<li>31 strategy variations had profit factors of 2.0 or greater</li>
<ol>
<li>29 of these 31 did not use a loss taking exit (loss taking % = NA)</li>
<li>19 of these 31 used the delta neutral structure (DN)</li>
<li>22 of these 31 had short strike deltas of 8</li>
</ol>
<li>The top five performers were:</li>
<ol>
<li>DN (NA:NA), 25 point wings, 8 delta -> profit factor of 2.9 <i>(win rate 90%)</i></li>
<li>DN (NA:NA), 75 point wings, 8 delta -> profit factor of 2.9 <i>(win rate 92%)</i></li>
<li>DN (NA:75), 25 point wings, 8 delta -> profit factor of 2.8 <i>(win rate 92%)</i></li>
<li>DN (NA:NA), 50 point wings, 8 delta -> profit factor of 2.7 <i>(win rate 91%)</i></li>
<li>DN (NA:50), 25 point wings, 8 delta -> profit factor of 2.7 <i>(win rate 95%)</i></li>
</ol>
<li>These top performers also had some of the largest single losses due to not implementing loss taking exits</li>
</ol>
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<br />
<br />
<u><b>Average DIT For Winning Trades</b></u><br />
<br />
This metric was derived by averaging all of the DIT for all of the <i>winning trades</i> in a test run. Adding a DIT exit to your profit and loss exits is worth considering.<br />
<br />
The trends associated with this metric are consistent with the prior DTE test runs:<br />
<ol>
<li>As short strike deltas increase, trade duration increases</li>
<li>As profit taking level increases, trade duration increases</li>
<li>The 50% profit taking level should have you out of your trade between 17 and 29 days for a 52 DTE IC</li>
<li>The smallest winning trade DIT of 17 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 18</li>
</ol>
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</div>
<br />
The results from using monthly trade initiation is similar to the results from weekly trade initiation. I will not publish a part 2 for the 52 DTE IC tests since the difference in results between these two data sets is minimal.<br />
<br />
<br />
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<i><br /></i>Unknownnoreply@blogger.com2tag:blogger.com,1999:blog-771169794002155719.post-56589181295913105092017-01-24T10:00:00.000-07:002017-01-24T10:00:01.537-07:0045 DTE Iron Condor Results Summary - Part 2In the last post, <a href="http://dtr-trading.blogspot.com/2017/01/45-dte-iron-condor-results-summary.html" target="_blank"><b>45 DTE Iron Condor Results Summary</b></a>, I showed the backtest results from 96,624 iron condor (IC) trades. All of those test results were based on weekly expiration data at 45 days to expiration (DTE). In this post, we'll look at a few key metrics and how those metrics differ between weekly data and monthly data.<br />
<br />
The charts below are organized similar to those in the <a href="http://dtr-trading.blogspot.com/2017/01/45-dte-iron-condor-results-summary.html" style="font-weight: bold;" target="_blank">prior post</a>. Each group of charts corresponds to the short delta listed in the heading bullet (8 delta, 12 delta, 16 delta, 20 delta). Each column corresponds to an IC wing width (column 1 = 25 points, column 2 = 50 points, column 3 = 75 points).<br />
<br />
The <i>first row</i> in each group displays the backtest results associated with weekly data, and the <i>second row</i> in each group displays the backtest results associated with monthly expiration data. Weekly data could result in a new trade being initiated every week (if the entry criteria were satisfied), while the monthly expiration data would result in at most one trade per month (if the entry criteria were satisfied). The monthly data does represent a subset of the weekly data, but will more closely match actual trade results for traders who initiate on monthly expirations rather than weekly expirations.<br />
<br />
Lastly, trades can overlap...which means there can be multiple trades active at any point in the backtesting. Opening a new trade does not require the prior trade to be closed.<br />
<br />
In this post, we'll only review three metrics:<br />
<ol>
<li>Normalized P&L per day</li>
<li>Normalized P&L per trade</li>
<li>Win rate</li>
</ol>
<br />
<u><b>Normalized P&L per Day</b></u><br />
<br />
<ul>
<li><u><i>8 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>At 8 delta, the monthly trades show a bit better P&L per day numbers than the weekly trades.</li>
</ul>
</ul>
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<br />
<ul>
<li><u><i>12 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>At 12 delta, the monthly trades again show better P&L per day readings than the weekly trades. The P&L lines are also more tightly grouped by profit taking level (50, 75, NA) as wing width increases, indicating that profit taking level has a larger impact on P&L per day than IC structure at this delta. We noticed this same pattern with the 38 DTE ICs.</li>
</ul>
</ul>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
<ul>
<li><u><i>16 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>The monthly trades continue to exhibit greater P&L per day readings than the weekly trades. As wing width increases, the P&L per day lines become closer to each other and appear to converge. The 50% profit taking level outperforms the other levels, and this trend is particularly strong in the monthly trade data. We also continue to see stronger clustering by profit taking level, with IC structure having a smaller impact.</li>
</ul>
</ul>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEidUTViiL7Qsu6Dj8SGN6Q9nAU8VsZTIA6DLKQf2J7RhXJtpZIRxI_dBSlQtuadoLWJcjFBa2Zv7KE6IfxaEIl3nk5uiQ-43roEskYtM0zaROEFgx3Wyf_inmGSIZy7_S2GqHKUGGqsJXQ/s1600/SPX_IC_PLD_16-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEidUTViiL7Qsu6Dj8SGN6Q9nAU8VsZTIA6DLKQf2J7RhXJtpZIRxI_dBSlQtuadoLWJcjFBa2Zv7KE6IfxaEIl3nk5uiQ-43roEskYtM0zaROEFgx3Wyf_inmGSIZy7_S2GqHKUGGqsJXQ/s400/SPX_IC_PLD_16-W.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj8kZxft_7wftMlNxmGhM6WoFEEgtUBHqB5TVCTonIPR4AMRgpXbPdVrHo4QRRq91IED18BbJjl7IWUxGTt-PL36v1B8JAgXSOPj8zT51LZM2rzQHfi_Lgig-KSx6xR_Yz83_Xyqw8zv2E/s1600/SPX_IC_PLD_16-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj8kZxft_7wftMlNxmGhM6WoFEEgtUBHqB5TVCTonIPR4AMRgpXbPdVrHo4QRRq91IED18BbJjl7IWUxGTt-PL36v1B8JAgXSOPj8zT51LZM2rzQHfi_Lgig-KSx6xR_Yz83_Xyqw8zv2E/s400/SPX_IC_PLD_16-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<ul>
<li><i><u>20 delta short strikes (weekly data top, monthly data bottom)</u></i></li>
<ul>
<li>At 20 delta, the returns associated with the 50% profit taking level generally outperform the other profit taking levels. We noticed this trend with the 38 DTE ICs also.</li>
</ul>
</ul>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhagcwOESFa9bYm4CWPxVZzlftLYaBX7hMwamiLpNCDb6YAWscwzUiRVY8gpkZwf4ktMLpkVpYmKv-UWf3__wVXXIblT-hRj-e0FwwODel9ayWd789o1PstFyODBZ4-aXp0Mm00J0gMVhE/s1600/SPX_IC_PLD_20-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhagcwOESFa9bYm4CWPxVZzlftLYaBX7hMwamiLpNCDb6YAWscwzUiRVY8gpkZwf4ktMLpkVpYmKv-UWf3__wVXXIblT-hRj-e0FwwODel9ayWd789o1PstFyODBZ4-aXp0Mm00J0gMVhE/s400/SPX_IC_PLD_20-W.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh-VcpcNidY3pgBL-Og7sLRYaWlleemdgZr4HKZLSxQXrbRdaj21N9EIaDeCJnrWVAyDKt2GGoYWbAu8AfRUZi3-OuHU2DRJkDcfhISICiVYk_cnsz9EeVhcQlbnlHto96t5-7obf7otTo/s1600/SPX_IC_PLD_20-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh-VcpcNidY3pgBL-Og7sLRYaWlleemdgZr4HKZLSxQXrbRdaj21N9EIaDeCJnrWVAyDKt2GGoYWbAu8AfRUZi3-OuHU2DRJkDcfhISICiVYk_cnsz9EeVhcQlbnlHto96t5-7obf7otTo/s400/SPX_IC_PLD_20-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
In general, the monthly trades have higher P&L per day readings than the weekly trades, but the weekly trades typically have tighter grouping of their P&L per day lines. Another trend to note is the general slope of these P&L per day lines at 45 DTE versus 38 DTE. At 38 DTE, most of the P&L per day lines sloped down, while at 45 DTE the P&L per day lines are starting to slope up...greater P&L per day as the loss level increases. We'll need to see if this trend continues as DTE increase.<br />
<br />
<br />
<b><u>Normalized P&L per Trade</u></b><br />
<br />
<ul>
<li><u><i>8 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>In the monthly data, we see that taking the trades to expiration resulted in larger P&L per trade results than either the 50% or 75% profit taking levels..similar to the 38 DTE trades. The weekly data, shows a similar pattern, but the P&L per trade lines are more tightly grouped. Lastly, the monthly P&L per trades values are slightly greater than the weekly P&L per trade values.</li>
</ul>
</ul>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhGXKrDInfc8njB9mGK9_YSFlXzhtG7EroqYyj3vb5bHLtDK-le-cUmS0Ghhruxb9uuoZRW9d3q6HaMeYEPzZ4PRRlx8cX2lOdeVk4BgX1CDIDCEtvsCwxlgbRnohxd8U9qZ_Km1wDPbTU/s1600/SPX_IC_PLT_08-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhGXKrDInfc8njB9mGK9_YSFlXzhtG7EroqYyj3vb5bHLtDK-le-cUmS0Ghhruxb9uuoZRW9d3q6HaMeYEPzZ4PRRlx8cX2lOdeVk4BgX1CDIDCEtvsCwxlgbRnohxd8U9qZ_Km1wDPbTU/s400/SPX_IC_PLT_08-W.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhaUGVggu81zaUU57nJDkdcmS_D-hCkjJcdcyMHSnbOAo3cOgQ8aBbg3hBIyoe0kwT9pw14zmYJ9Z3fetoRrX6RZYCHygTNa0K-ApQzOUhUt9iRjQFnt5LifqmmTgcvKZLc82wjen-Y2lc/s1600/SPX_IC_PLT_08-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhaUGVggu81zaUU57nJDkdcmS_D-hCkjJcdcyMHSnbOAo3cOgQ8aBbg3hBIyoe0kwT9pw14zmYJ9Z3fetoRrX6RZYCHygTNa0K-ApQzOUhUt9iRjQFnt5LifqmmTgcvKZLc82wjen-Y2lc/s400/SPX_IC_PLT_08-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<ul>
<li><u><i>12 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>Not a large difference between the monthly and weekly data for the 12 delta short strikes. The monthly data has slight out-performance with no profit taking target (ST-NA) with the 50 and 75 point wing widths</li>
</ul>
</ul>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi_eprIxvTDQ5DXn3qlBGBfyAMVvGobmAnDSs8L13HzVfEBOgPTPd_WSHHzFpyMdiUdslwP8l2dCUiSP8ui0emEB-FcNhfXTMnAWv5q5vRuOjbwrCEG44xRxR4S8Pv2XfmOpaXm05r4G-A/s1600/SPX_IC_PLT_12-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi_eprIxvTDQ5DXn3qlBGBfyAMVvGobmAnDSs8L13HzVfEBOgPTPd_WSHHzFpyMdiUdslwP8l2dCUiSP8ui0emEB-FcNhfXTMnAWv5q5vRuOjbwrCEG44xRxR4S8Pv2XfmOpaXm05r4G-A/s400/SPX_IC_PLT_12-W.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiA9dxICVG7bfjFQoVNKqzr7IWj73H1b5gklsoPWK3p5CLhgSAzi6_Jja3PsWwQUSt9e0cemPfUeqUWiq4ox4QpKHBaw46urp9XyRXKMHvZuoQog1rssS7LzcJrrnxAVWUktJzNLdAag3Y/s1600/SPX_IC_PLT_12-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiA9dxICVG7bfjFQoVNKqzr7IWj73H1b5gklsoPWK3p5CLhgSAzi6_Jja3PsWwQUSt9e0cemPfUeqUWiq4ox4QpKHBaw46urp9XyRXKMHvZuoQog1rssS7LzcJrrnxAVWUktJzNLdAag3Y/s400/SPX_IC_PLT_12-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<ul>
<li><u><i>16 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>Similar to the 38 DTE ICs, as the wing widths increase, we see convergence of the P&L lines by profit taking level. As wing width increases, the IC structures have less of an impact on returns than the profit taking level.</li>
</ul>
</ul>
<div class="separator" style="clear: both; text-align: center;">
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh2uzfedFo3PrISNIBa_VzUyR-u_aM-9_YpBM_pmsqdDTuVXicIoxvbnWavqtKAoKSLREdEcob6P_TBEaJgJ7GmN_awNrr72FrVUmiaR3ZcHPjs2g0ivI_7wIFnEgOrMMertzsw53SkOHc/s1600/SPX_IC_PLT_16-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh2uzfedFo3PrISNIBa_VzUyR-u_aM-9_YpBM_pmsqdDTuVXicIoxvbnWavqtKAoKSLREdEcob6P_TBEaJgJ7GmN_awNrr72FrVUmiaR3ZcHPjs2g0ivI_7wIFnEgOrMMertzsw53SkOHc/s400/SPX_IC_PLT_16-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<ul>
<li><u><i>20 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>In the weekly data, there is very little difference between the 50% and 75% profit taking levels, particularly with wing widths of 50 points and 75 points.</li>
</ul>
</ul>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEieJIVcvvUjyepDocaRICSs6fW0km9BKVRvubPzbJuRPh21wBCcrrYuNCeKlSbn1cIBowJtuFkScJRr6qAFTp2hIReA6-IaZMMAb-C662pq37tDLUK3_iPD5uthBwycvnIeYc1364VczI0/s1600/SPX_IC_PLT_20-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEieJIVcvvUjyepDocaRICSs6fW0km9BKVRvubPzbJuRPh21wBCcrrYuNCeKlSbn1cIBowJtuFkScJRr6qAFTp2hIReA6-IaZMMAb-C662pq37tDLUK3_iPD5uthBwycvnIeYc1364VczI0/s400/SPX_IC_PLT_20-W.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhwSDM8VjJqdqfLRSuJuZqojc6wINMHuFwpg8zLLMjV5xyLVqzjSO-GiXwkRUSKW2LXEQCY_x2uRhi2n6AYQ8VpRyLrYCYF-ZadSMKwzY7Ex3i6nWPjz8Vj9BA20JcZB_y4bxZdlbh31MQ/s1600/SPX_IC_PLT_20-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhwSDM8VjJqdqfLRSuJuZqojc6wINMHuFwpg8zLLMjV5xyLVqzjSO-GiXwkRUSKW2LXEQCY_x2uRhi2n6AYQ8VpRyLrYCYF-ZadSMKwzY7Ex3i6nWPjz8Vj9BA20JcZB_y4bxZdlbh31MQ/s400/SPX_IC_PLT_20-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
There are two clear trends in the P&L per trade values:<br />
<ol>
<li>As wing width increases, the difference between the P&L per trade values for the different profit taking levels and IC structures decreases...the lines become more tightly grouped.</li>
<li>In general, as loss taking levels increase, P&L per trade increases with the 45 DTE ICs.</li>
<li>The P&L per trade values are slightly greater in the monthly trades than the weekly trades...this is likely a function of more data being available for the weekly trades, which smooths out the extreme positive and negative values</li>
</ol>
<br />
<br />
<b><u>Win Rate</u></b><br />
<br />
<ul>
<li><u><i>8 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>As with the 38 DTE ICs, the 50% profit taking level outperforms the other profit taking levels at 8 delta. The win rate lines are grouped more by profit taking level than by IC structure type. The delta neutral (DN) structure out-performs the other structures at the 50% profit taking level.</li>
</ul>
</ul>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi6Bt4LAx8Tz-6oPBPzjdH2nwPUtVEyq7BT_ccxrhAovKyXGKAz5sJJ_Ej-H6jRbZDEVqLE9kSDFX5Ff26XNxG052hzem9baH4-KhbvXy10c1_sJj63sOWrHMFH6wXXYXUDOQY7EdfgzgE/s1600/SPX_IC_WR_08-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi6Bt4LAx8Tz-6oPBPzjdH2nwPUtVEyq7BT_ccxrhAovKyXGKAz5sJJ_Ej-H6jRbZDEVqLE9kSDFX5Ff26XNxG052hzem9baH4-KhbvXy10c1_sJj63sOWrHMFH6wXXYXUDOQY7EdfgzgE/s400/SPX_IC_WR_08-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<ul>
<li><u><i>12 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>At 12 delta, the 50% profit taking level continues to outperform the other profit taking levels. Win rate differences due to structure are less significant.</li>
</ul>
</ul>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjKSB4CnM44ffPVUDsjHhs9kqrigf1B7S6A6NTTm8K8DO5cngdLFyoriOoxvo9JDA4m8TST80L8TncmES-bXpZzkOOlvOEiedZD-bYGLmBp1J39ndCPjIirZ3yOVn7txJgw0ZgdGyfzKwU/s1600/SPX_IC_WR_12-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjKSB4CnM44ffPVUDsjHhs9kqrigf1B7S6A6NTTm8K8DO5cngdLFyoriOoxvo9JDA4m8TST80L8TncmES-bXpZzkOOlvOEiedZD-bYGLmBp1J39ndCPjIirZ3yOVn7txJgw0ZgdGyfzKwU/s400/SPX_IC_WR_12-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<ul>
<li><u><i>16 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>At 16 delta, win rate grouping by profit taking level is even more pronounced. The monthly results are also slightly better than the weekly results.</li>
</ul>
</ul>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjIi2euIUUv8JTl-e5dpV-Nic7sM4r5fVaiN5qprOey8_G6yKqNLm1uUCXSly7yTZK2ipzB2BQmrCzxZZJfHP0I-sRfPgPzqKBCz4-jLGBJCfEkAhvpwUe1zJAvQ_O1XW5M5oNF_tvNS4o/s1600/SPX_IC_WR_16-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjIi2euIUUv8JTl-e5dpV-Nic7sM4r5fVaiN5qprOey8_G6yKqNLm1uUCXSly7yTZK2ipzB2BQmrCzxZZJfHP0I-sRfPgPzqKBCz4-jLGBJCfEkAhvpwUe1zJAvQ_O1XW5M5oNF_tvNS4o/s400/SPX_IC_WR_16-W.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjrpoB9gVfoeTqIhrArq-8LYC04BFd0eyfTyCU722wXs8CKjSZeH8pXwG1ipE0RN0bZfnJPg47Qm9H-3-zo9QJ2KdM7_IJZxgWGZBuvBZFO82Sw5f9lTJKeAMmcdX12jSy9-qj91WUdWxM/s1600/SPX_IC_WR_16-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjrpoB9gVfoeTqIhrArq-8LYC04BFd0eyfTyCU722wXs8CKjSZeH8pXwG1ipE0RN0bZfnJPg47Qm9H-3-zo9QJ2KdM7_IJZxgWGZBuvBZFO82Sw5f9lTJKeAMmcdX12jSy9-qj91WUdWxM/s400/SPX_IC_WR_16-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<ul>
<li><u><i>20 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>As with the 38 DTE ICs, at 20 delta, the win rate grouping by profit taking level is even stronger.</li>
</ul>
</ul>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiyukJqvRNl7ISstIRgTKrqhw_JfHj2DzJG265odHEzgJyrl-Iwhxq-QMJ3aGIqGSpKWZlak-eGsLCivcTh2YZxlW_nybV9IswXA7aM75f6hKSHSgpPiCebr1pvKo7_VBRy7NWm8k_SPP0/s1600/SPX_IC_WR_20-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiyukJqvRNl7ISstIRgTKrqhw_JfHj2DzJG265odHEzgJyrl-Iwhxq-QMJ3aGIqGSpKWZlak-eGsLCivcTh2YZxlW_nybV9IswXA7aM75f6hKSHSgpPiCebr1pvKo7_VBRy7NWm8k_SPP0/s400/SPX_IC_WR_20-W.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgJjJgn2AGrHpFn06-d05QaVZqaOZEtiSkKKDZ3ktnrWQxLrY8bflJCOge7cG-io_gabxyXxZl-lL9gONQeccS83rtHRd-S8cDFeA8lkrYSPbUyuFEZ3qXnQHhvhFdSicNiAHapOBwAmgM/s1600/SPX_IC_WR_20-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgJjJgn2AGrHpFn06-d05QaVZqaOZEtiSkKKDZ3ktnrWQxLrY8bflJCOge7cG-io_gabxyXxZl-lL9gONQeccS83rtHRd-S8cDFeA8lkrYSPbUyuFEZ3qXnQHhvhFdSicNiAHapOBwAmgM/s400/SPX_IC_WR_20-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
Similar to the 38 DTE ICs, the win rate lines have a steeper slope from the 100% loss taking level to the 200% loss taking level. The slope tapers off after the 200% loss taking level. Also, as short strike deltas increase, win rate decreases.<br />
<br />
Here are a few of the "take-aways" from the 45 DTE IC backtest results...some are duplicates of the 38 DTE "take-aways":<br />
<ol>
<li>Unlike the 38 DTE ICs, the P&L per trade numbers do not <i>decrease</i> when we move from the 100% loss taking level to the 200% loss taking level. With the 45 DTE ICs, the P&L per trade numbers increase as we <i>increase</i> the loss taking %. This is more pronounced at lower deltas and larger wing widths.</li>
<li>As short strike deltas increase, the 50% profit taking level yields greater P&L per day numbers:</li>
<ol>
<li>The standard IC (ST) has better P&L per day at loss taking levels of 100% and 200%</li>
<li>The delta neutral IC (DN) has better P&L per day at loss taking levels of 300% or more</li>
</ol>
<li>As short strike deltas increase, take profits at lower profit taking levels. </li>
<ol>
<li>At 8 delta, the 75% profit taking level yields greater P&L per trade numbers</li>
<li>At 20 delta, the 50% profit taking level yields greater P&L per trade numbers</li>
</ol>
<li>The extra long put structure (EL) generally under performs the delta neutral (DN) and standard balanced (ST) structures.</li>
<li>At the 50% profit taking level you will generally be out of your trade for a profit between 16 and 26 days. If you haven't hit your profit target in 26 days, you should consider closing your trade.</li>
<li>The 50% profit taking level has a higher win rate than the other profit taking levels</li>
<li>The 100% loss taking level generally has a lower win rate than the larger loss taking levels.</li>
</ol>
The differences between the weekly and monthly trade data do not appear to be significant. Going forward, unless I see a notable difference, I will not be publishing the results from the monthly trades.<br />
<br />
<br />
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<i><br /></i>Unknownnoreply@blogger.com4tag:blogger.com,1999:blog-771169794002155719.post-8704160296487434882017-01-17T08:00:00.000-07:002017-01-21T12:16:18.564-07:0045 DTE Iron Condor Results SummaryThis article looks at iron condors (IC) entered at 45 days to expiration (DTE). The introduction to this series, <a href="http://dtr-trading.blogspot.com/2016/12/new-iron-condor-series-introduction.html" target="_blank"><b>here</b></a>, describes the different variations of SPX iron condors (IC) and exits that were tested.<br />
<br />
As mentioned in the <a href="http://dtr-trading.blogspot.com/2016/12/38-dte-iron-condor-results-summary.html" target="_blank"><b>38 DTE IC results summary post</b></a>, these tests covered 9 IC variations, with short strike deltas at four locations, utilizing 12 exits. In all, there were 432 test runs (9 variations x 4 deltas x 12 exits). Each test run executed more than 200 SPX IC trades between the Jan-2007 expiration and the Sep-2016 expiration. I used weekly options for this testing, so there were more than 12 trades per year. In total, there were 96,624 total trades entered for the 45 DTE testing.<br />
<br />
For an explanation of the nomenclature used in this article as well as the chart structure and composition, please read the first IC results post <a href="http://dtr-trading.blogspot.com/2016/12/38-dte-iron-condor-results-summary.html" target="_blank"><b>here</b></a>.<br />
<br />
<br />
<b><u>Normalized P&L per Day</u></b><br />
<br />
This first set of charts shows normalized P&L per day percentages. The P&L per day values are expressed as a percentage of the <i>max risk</i> 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).<br />
<br />
The results:<br />
<ol>
<li>Similar to the 38 DTE ICs, there is more variability in P&L per day readings in the 25 point wing width ICs</li>
<li>Again, similar to the 38 DTE ICs, as the delta of the short strikes increases, the variability in the P&L per day readings increases</li>
<li>The largest reading was 0.18% and was associated with the three strategy variations:</li>
<ol>
<li>DN (300:50), 25 point wings, 20 delta</li>
<li>DN (NA:50), 25 point wings, 20 delta</li>
<li>ST (200:50), 25 point wings, 20 delta</li>
</ol>
<li>The next best reading was 0.17% and was associated with two test runs: </li>
<ol>
<li>ST (200:50), 50 point wings, 20 delta</li>
<li>ST (200:50), 75 point wings, 20 delta</li>
</ol>
<li>The top 22 readings were all associated with a profit level of 50%</li>
<ol>
<li>Of these 22 readings, 18 were associated with a short delta of 20</li>
</ol>
</ol>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjPSQKL1yEnjWa0U1FPZEIzNJOhRnuchyphenhyphenhyphenhyphenJG12vnoLqi-7Wu5Gqa9DgO_1hKQ91Ex4Q1oSKTINd2P3Ge_lyQYxh3AuA7oh3ya5Wx4ox22kleDLr4lmkboA8d13zLmsepXfA35itQJnLOQ/s1600/SPX_IC_45DTE_PLD_08-12.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjPSQKL1yEnjWa0U1FPZEIzNJOhRnuchyphenhyphenhyphenhyphenJG12vnoLqi-7Wu5Gqa9DgO_1hKQ91Ex4Q1oSKTINd2P3Ge_lyQYxh3AuA7oh3ya5Wx4ox22kleDLr4lmkboA8d13zLmsepXfA35itQJnLOQ/s400/SPX_IC_45DTE_PLD_08-12.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgPD0e8af5pK6ZGbRaCn8N0Q69cX3CnTCc7BPKFUZ47ZsfLl0Ak1pBE7s6AvTPYjUsQgLOVeDq277_iNzWE-BSF5jHAN5w6PHf6Qh1UdTZeRTa6bKZHZcwYw6zCGqtgov3dP1kWc8MurHs/s1600/SPX_IC_45DTE_PLD_16-20.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgPD0e8af5pK6ZGbRaCn8N0Q69cX3CnTCc7BPKFUZ47ZsfLl0Ak1pBE7s6AvTPYjUsQgLOVeDq277_iNzWE-BSF5jHAN5w6PHf6Qh1UdTZeRTa6bKZHZcwYw6zCGqtgov3dP1kWc8MurHs/s400/SPX_IC_45DTE_PLD_16-20.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>Normalized P&L per Trade</u></b><br />
<br />
The normalized P&L per trade charts display returns expressed as a percentage of the max risk for a particular test run.<br />
<br />
We see the following in the data:<br />
<ol>
<li>The variability in normalized P&L per trade again increases as the delta of the short strike increases, and decreases with increasing wing width</li>
<li>The largest normalized P&L per trade was 5.2% for the DN (NA:50), 25 point wings, 20 delta</li>
<li>The top 7 P&L per trade variations were all associated short strike deltas of 20</li>
<li>The top 4 P&L per trade variations were all associated with profit taking at 50%</li>
<li>The top 3 trades in terms of P&L per day were also in the top three in terms of P&L per trade, but in a different order</li>
<li>The 45 DTE ICs have slightly larger P&L per trade readings than the 38 DTE ICs ( avg 2.23% / sd 0.87% <i>VS</i> avg 1.88% / SD 0.75%)</li>
</ol>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgEU9l_ZCpzNFf0mw04TlZUL65WxrCIsA-5FMs_ljC-OJw8HXTnVRW26ahFj04WykZSB6Owcvr7zHZIPQJWsm8Sa4-djAfNhtSAf1HwgaNm_j9WvIwbdK58glId3UBFqvGopqgZl-lJfME/s1600/SPX_IC_45DTE_PLT_08-12.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgEU9l_ZCpzNFf0mw04TlZUL65WxrCIsA-5FMs_ljC-OJw8HXTnVRW26ahFj04WykZSB6Owcvr7zHZIPQJWsm8Sa4-djAfNhtSAf1HwgaNm_j9WvIwbdK58glId3UBFqvGopqgZl-lJfME/s400/SPX_IC_45DTE_PLT_08-12.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiYwlCg85nVzD6MUwIwvUS9iFMjQqGSXJtJXVViIMTaK0yHGW1D81xeSMEOa30cKOpptY5M_0x68KArCkRRLQnkliGUDEyxS66-ZmLDS9Djg0ARpM1v7-J5_L6Qnzs7ghowMcf7O_PGQEc/s1600/SPX_IC_45DTE_PLT_16-20.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiYwlCg85nVzD6MUwIwvUS9iFMjQqGSXJtJXVViIMTaK0yHGW1D81xeSMEOa30cKOpptY5M_0x68KArCkRRLQnkliGUDEyxS66-ZmLDS9Djg0ARpM1v7-J5_L6Qnzs7ghowMcf7O_PGQEc/s400/SPX_IC_45DTE_PLT_16-20.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>Win Rate</u></b><br />
<br />
The chart structure should be familiar to you by now, so I'll not review the chart layouts. The win rate trends are clear:<br />
<ol>
<li>In general, win rates tend to increase as wing widths increase</li>
<li>Win rates tend to <i>increase</i> as the delta of the short strike <i>decreases</i></li>
<li>The top win rate was 95%, and was associated with these strategies:</li>
<ol>
<li>DN (NA:50), wing width 75, 8 delta</li>
<li>DN (NA:50), wing width 25, 8 delta</li>
</ol>
<li>The top 26 strategies all had win rates of 91% or better. </li>
<ol>
<li>Of these 26, 19 took profits at 50%</li>
<li>Of these 26, 21 did not use loss exits (they exited at 2 DTE)</li>
<li>Of these 26, 20 had short strike deltas of 8</li>
</ol>
<li>The strategies with the top win rates also had some of the largest single losses...as you'd expect for strategies not using loss exits</li>
<li>The win rates for the 45 DTE ICs were similar to the win rates for the 38 DTE ICs</li>
</ol>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjw5kydRw6Bnj8kF8S0QEbHmlfv7SJgkWVhu7pa8VZxiuD9CXHh-S_EF1_W-Rg-0pxTZPV2fi92xyJkiQFDqKw4v7UG15lVmEz2xNWRKSQrH8U5zYZmSodkFpkMW5t7aZGN8lLLcKr4Z4s/s1600/SPX_IC_45DTE_WR_16-20.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjw5kydRw6Bnj8kF8S0QEbHmlfv7SJgkWVhu7pa8VZxiuD9CXHh-S_EF1_W-Rg-0pxTZPV2fi92xyJkiQFDqKw4v7UG15lVmEz2xNWRKSQrH8U5zYZmSodkFpkMW5t7aZGN8lLLcKr4Z4s/s400/SPX_IC_45DTE_WR_16-20.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
<br />
<b><u>Largest Loss</u></b><br />
<br />
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 defined risk number for all of the 200+ trades in a test run.<br />
<br />
The results:<br />
<ol>
<li>The largest loss percentage increases with increasing short strike delta</li>
<li>The largest loss percentage increases with increasing loss taking level</li>
<li>39 strategy variations had largest loss readings of 95% or greater</li>
<ol>
<li>All 39 carried trades to 2 DTE and did not use loss taking levels</li>
<li>All wing widths, short strike deltas, and structures (ST, DN, EL) were present in these 39 strategy variations</li>
</ol>
<li>The top 9 <u><i>smallest losses</i></u> all occurred with strategies with 75 point wing widths and 8 delta short strikes. The top three were:</li>
<ol>
<li>DN (100:50), 75 point wings, 8 delta -> 15% loss</li>
<li>DN (100:75), 75 point wings, 8 delta -> 15% loss</li>
<li>DN (100:NA), 75 point wings, 8 delta ->17% loss</li>
</ol>
</ol>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgbBqQMV3N0FUZguJj_WnPAaDmkUH54zASp7VlDAr4q5-CaQLPC-vtpTai0EoyF8ovECYYREWweXkYv7cddlPY2mw5ldeTilXuaflYkz4HAUwI_keQSKLCCfqg1WwdtVrwAC4XoYr91I-o/s1600/SPX_IC_45DTE_LL_08-12.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgbBqQMV3N0FUZguJj_WnPAaDmkUH54zASp7VlDAr4q5-CaQLPC-vtpTai0EoyF8ovECYYREWweXkYv7cddlPY2mw5ldeTilXuaflYkz4HAUwI_keQSKLCCfqg1WwdtVrwAC4XoYr91I-o/s400/SPX_IC_45DTE_LL_08-12.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEidq4_1WA0SCghZ5Rw2gk1WKCr8Z3ekNkPZvY16vk5jdNkxq3h7c7ZnSyaHFC0FRyIBQgt35erabbO5rB8t9_m4eoRlUpB9BD_W0oqtdewoMIrlebmmX3XlYqx9wvlIp2PmGCDWeWsLOMI/s1600/SPX_IC_45DTE_LL_16-20.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEidq4_1WA0SCghZ5Rw2gk1WKCr8Z3ekNkPZvY16vk5jdNkxq3h7c7ZnSyaHFC0FRyIBQgt35erabbO5rB8t9_m4eoRlUpB9BD_W0oqtdewoMIrlebmmX3XlYqx9wvlIp2PmGCDWeWsLOMI/s400/SPX_IC_45DTE_LL_16-20.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
<br />
<u><b>Profit Factor</b></u><br />
<br />
The best 14 profit factors were associated with delta neutral (DN) trades. The top 10 of these 14 had 8 delta short strikes. The top 9 of these 14 had profit factors of 2.0 or greater. <br />
<br />
The results:<br />
<ol>
<li>The top performers were:</li>
<ol>
<li>DN (NA:50), 25 point wings, 8 delta -> 2.4 <i>(win rate 95%)</i></li>
<li>DN (NA:50), 75 point wings, 8 delta -> 2.2 <i>(win rate 95%)</i></li>
<li>DN (NA:75), 75 point wings, 8 delta -> 2.1 <i>(win rate 93%)</i></li>
<li>DN (NA:NA), 75 point wings, 8 delta -> 2.1 <i>(win rate 89%)</i></li>
</ol>
<li>These top performers also had some of the largest single losses due to not implementing loss taking exits</li>
</ol>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
<br />
<u><b>Average DIT For Winning Trades</b></u><br />
<br />
This metric was derived by averaging all of the DIT for all of the <i><u>winning trades</u></i> in a test run. Adding a DIT exit to your profit and loss exits is worth considering.<br />
<br />
Here are a few trends:<br />
<ol>
<li>The larger the delta of your short strikes the longer you'll need to stay in your trades</li>
<li>The larger your profit taking level, the longer you'll need to stay in your trade</li>
<li>The 50% profit taking level should have you out of your trade between 16 and 26 days for a 45 DTE IC</li>
<li>The smallest winning trade DITs of 16 were associated with 8 delta short strikes, profit taking at 50%, and loss taking at 100%...the structure type (ST, EL, DN) did not matter as seen in the charts</li>
</ol>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgNJ1SzzQsvLZwP3AH4aAG4oKSTgaUxoyQbSgVSWt9EHYSR71nCZJ2zFFtrtHv0AxRAFeWnqaIYlQcpBnYIwvxSx6x3UKM63S0iwantUOdNFDkvwLoYB9oo6k07ZkqIoiGtxYG__Br25WA/s1600/SPX_IC_45DTE_WDIT_08-12.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgNJ1SzzQsvLZwP3AH4aAG4oKSTgaUxoyQbSgVSWt9EHYSR71nCZJ2zFFtrtHv0AxRAFeWnqaIYlQcpBnYIwvxSx6x3UKM63S0iwantUOdNFDkvwLoYB9oo6k07ZkqIoiGtxYG__Br25WA/s400/SPX_IC_45DTE_WDIT_08-12.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgbZ1rn0lO-E4eoa1JT_K1kAViyvGMCV1cQ3N0QZM5OafVqT6wCs8RF4UPea2SkD89GUNCXKLOHzre8bHfEkjTRMINqGT1wQslfoPzFSaEA73EaqPhQphqwnUTxI4CzYEDhuY7714Vp_N8/s1600/SPX_IC_45DTE_WDIT_16-20.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgbZ1rn0lO-E4eoa1JT_K1kAViyvGMCV1cQ3N0QZM5OafVqT6wCs8RF4UPea2SkD89GUNCXKLOHzre8bHfEkjTRMINqGT1wQslfoPzFSaEA73EaqPhQphqwnUTxI4CzYEDhuY7714Vp_N8/s400/SPX_IC_45DTE_WDIT_16-20.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
Part 2 will be published some time next week and will compare the weekly trades with the monthly trades.<br />
<br />
<br />
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<i><br /></i>Unknownnoreply@blogger.com2tag:blogger.com,1999:blog-771169794002155719.post-33549708448950408862017-01-03T08:00:00.000-07:002017-01-03T08:33:50.411-07:0038 DTE Iron Condor Results Summary - Part 2In the last post, <a href="http://dtr-trading.blogspot.com/2016/12/38-dte-iron-condor-results-summary.html" target="_blank"><b>38 DTE Iron Condor Results Summary</b></a>, I showed the backtest results from 97,416 iron condor (IC) trades. All of those test results were based on weekly expiration data at 38 days to expiration (DTE). In this post, we'll look at a few key metrics and how those metrics differ between weekly data and monthly data.<br />
<br />
The charts below are organized similar to those in the <a href="http://dtr-trading.blogspot.com/2016/12/38-dte-iron-condor-results-summary.html" style="font-weight: bold;" target="_blank">prior post</a>. Each group of charts corresponds to the short delta listed in the heading bullet (8 delta, 12 delta, 16 delta, 20 delta). Each column corresponds to an IC wing width (column 1 = 25 points, column 2 = 50 points, column 3 = 75 points).<br />
<br />
The <i>first row</i> in each group displays the backtest results associated with weekly data, and the <i>second row</i> in each group displays the backtest results associated with monthly expiration data. Weekly data could result in a new trade being initiated every week (if the entry criteria were satisfied), while the monthly expiration data would result in at most one trade per month (if the entry criteria were satisfied). The monthly data does represent a subset of the weekly data, but will more closely match actual trade results for traders who initiate on monthly expirations rather than weekly expirations.<br />
<br />
Lastly, trades can overlap...which means there can be multiple trades active at any point in the backtesting. Opening a new trade does not require the prior trade to be closed.<br />
<br />
In this post, we'll only review three metrics:<br />
<ol>
<li>Normalized P&L per day</li>
<li>Normalized P&L per trade</li>
<li>Win rate</li>
</ol>
<br />
<u><b>Normalized P&L per Day</b></u><br />
<br />
<ul>
<li><u><i>8 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>At 8 delta, the delta neutral structure outperforms the other IC structures.</li>
</ul>
</ul>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<ul>
<li><u><i>12 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>At 12 delta, the 75% profit taking level results in more stable returns as wing width increases. The P&L lines are also more tightly grouped by profit taking level (50, 75, NA) as wing width increases, indicating that profit taking level has a larger impact on P&L than IC structure at this delta.</li>
</ul>
</ul>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjd95iRIL6DERN1e9PiL-HlO9FMytOdVA2_UcB4GiNWpPQILSu7laimMpnxBmG6zUuQ7XWuE7xsZGcyixLlsIam-yxztK-Tirv6-0mJsUAJ56Z4hDw_YXYRkYBEVHC1uRQ5LQnOI7k6RTA/s1600/SPX_IC_PLD_12-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjd95iRIL6DERN1e9PiL-HlO9FMytOdVA2_UcB4GiNWpPQILSu7laimMpnxBmG6zUuQ7XWuE7xsZGcyixLlsIam-yxztK-Tirv6-0mJsUAJ56Z4hDw_YXYRkYBEVHC1uRQ5LQnOI7k6RTA/s400/SPX_IC_PLD_12-W.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEirxyVcX0Imn54JOeGzZW3DKCqXrsupPM_qdQQisXnqzlHz8p814HrDkz8y_55wXrr7z1FKvEwJkVdZd2NZ2QussOBSN75kVmeR6Pdus4ECZVH7bok2IdC6SmdiTKA7biykqyozT6XvQeQ/s1600/SPX_IC_PLD_12-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEirxyVcX0Imn54JOeGzZW3DKCqXrsupPM_qdQQisXnqzlHz8p814HrDkz8y_55wXrr7z1FKvEwJkVdZd2NZ2QussOBSN75kVmeR6Pdus4ECZVH7bok2IdC6SmdiTKA7biykqyozT6XvQeQ/s400/SPX_IC_PLD_12-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
<ul>
<li><u><i>16 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>As wing width increases, the P&L per day lines become closer to each other and appear to converge. The 75% profit taking level outperforms the other levels, except for the delta neutral structure. For the delta neutral IC structure, the 50% profit taking level outperforms with 25 point and 50 point wings.</li>
</ul>
</ul>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiXeNu2hDrphE743sJiLPitpwNAqbhM3Bu1o8iESsiaz7FNYpIznxak9U5NeULqkamkmUKVQelKgzKYdT_P7dEcyvCGn2xnNEW7PE6MndixOon8ogyn8Oz1LVgy6Ue23-etpWYnST4HIFo/s1600/SPX_IC_PLD_16-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiXeNu2hDrphE743sJiLPitpwNAqbhM3Bu1o8iESsiaz7FNYpIznxak9U5NeULqkamkmUKVQelKgzKYdT_P7dEcyvCGn2xnNEW7PE6MndixOon8ogyn8Oz1LVgy6Ue23-etpWYnST4HIFo/s400/SPX_IC_PLD_16-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<ul>
<li><i><u>20 delta short strikes (weekly data top, monthly data bottom)</u></i></li>
<ul>
<li>At 20 delta, the returns associated with the 50% profit taking level generally outperform the other profit taking levels.</li>
</ul>
</ul>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg9IQwM78cHShYE2Qjtf9OUsRVfLO17g94wf_H1PyH7gfuBsNaDmABJp4CMmpecG4l_C-Au8GOYn9crot7dv1Fyk5oY553rzDdV8zwkH-sFAtSEw72KjkHSvVpXrPnycXOYDtEYfKERvfw/s1600/SPX_IC_PLD_20-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg9IQwM78cHShYE2Qjtf9OUsRVfLO17g94wf_H1PyH7gfuBsNaDmABJp4CMmpecG4l_C-Au8GOYn9crot7dv1Fyk5oY553rzDdV8zwkH-sFAtSEw72KjkHSvVpXrPnycXOYDtEYfKERvfw/s400/SPX_IC_PLD_20-W.PNG" width="400" /></a></div>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The difference between the weekly and monthly results is not large. In general the grouping of the P&L lines in the weekly results is "tighter" than with the monthly results.<br />
<br />
<br />
<b><u>Normalized P&L per Trade</u></b><br />
<br />
<ul>
<li><u><i>8 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>In the monthly data, we see that taking the trades to expiration resulted in larger P&L per trade results than either the 50% or 75% profit taking levels. The weekly data, in general, shows the 75% profit taking level narrowly beating taking the trade to expiration.</li>
</ul>
</ul>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhMMtWP2g9BQZjlYE95bBROlDNCKBZJZWDeu4Eag8ooRXdFsiOwm-X7A2i4zstiYYjC-tyXxwfu4ItP_riV1E3wJzubZIJ-5rqPXFMVQTBFyTH8xfTyDzXOEotIPeGBLv9QBgJRp9imiTw/s1600/SPX_IC_PLT_08-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhMMtWP2g9BQZjlYE95bBROlDNCKBZJZWDeu4Eag8ooRXdFsiOwm-X7A2i4zstiYYjC-tyXxwfu4ItP_riV1E3wJzubZIJ-5rqPXFMVQTBFyTH8xfTyDzXOEotIPeGBLv9QBgJRp9imiTw/s400/SPX_IC_PLT_08-W.PNG" width="400" /></a></div>
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<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<ul>
<li><u><i>12 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>Again, in the monthly data we see that taking the trades to expiration results in greater profits per trade than exiting at the 75% profit taking level. In the weekly data, the 75% profit taking level beats taking the trades to expiration.</li>
</ul>
</ul>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgv8Cpz3__ajiBSSJ_qDKKwoc6IdTTW9ByQbyCBL7AVSyQJk8xMfoLl945M-JpUKyujXuZeyNWAU9M7z9wYLhjUzZFBF713oP5iztUrhzheUk26GivKXwiPJ2Af_gX4WVIF1gbWBEQXjIY/s1600/SPX_IC_PLT_12-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgv8Cpz3__ajiBSSJ_qDKKwoc6IdTTW9ByQbyCBL7AVSyQJk8xMfoLl945M-JpUKyujXuZeyNWAU9M7z9wYLhjUzZFBF713oP5iztUrhzheUk26GivKXwiPJ2Af_gX4WVIF1gbWBEQXjIY/s400/SPX_IC_PLT_12-W.PNG" width="400" /></a></div>
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</tbody></table>
<br />
<ul>
<li><u><i>16 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>As the wing widths increase, we see convergence of the P&L lines by profit taking level. The IC structure appears to have less of an impact on returns than the profit taking level...as wing width increases.</li>
</ul>
</ul>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgaxvt0GaT4CxoPaoUZPiQ7UkNjnoyNuJaimfG4O75mvU92pewXw5kmars5t9YeORBsV_wLR_bIrmglmIFT_rSVsqX_bxHjCg2FtR40gfNUSi7NgewFwIGmUxvhSwMeyHXy15dejJclEsw/s1600/SPX_IC_PLT_16-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgaxvt0GaT4CxoPaoUZPiQ7UkNjnoyNuJaimfG4O75mvU92pewXw5kmars5t9YeORBsV_wLR_bIrmglmIFT_rSVsqX_bxHjCg2FtR40gfNUSi7NgewFwIGmUxvhSwMeyHXy15dejJclEsw/s400/SPX_IC_PLT_16-W.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhSsjU86yqyz8QA2mBPSxgxAf5750nMsq4ZDvy12b9DKN3YFVEZyRTnj-MZYfhpXt06vA6wzVRL-PUITTZ24w4wR8Xjk-wGZOLH9LhukQEvQP0Z_pKQlDoMQutLD3W5qnZSiKK0zjoBQiI/s1600/SPX_IC_PLT_16-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhSsjU86yqyz8QA2mBPSxgxAf5750nMsq4ZDvy12b9DKN3YFVEZyRTnj-MZYfhpXt06vA6wzVRL-PUITTZ24w4wR8Xjk-wGZOLH9LhukQEvQP0Z_pKQlDoMQutLD3W5qnZSiKK0zjoBQiI/s400/SPX_IC_PLT_16-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<ul>
<li><u><i>20 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>At 20 delta, the 50% profit taking level outperforms at wing widths of 25 points and 50 points. As we increase the wing width to 75 points, the 75% profit taking level begins to outperform with increasing loss taking levels.</li>
</ul>
</ul>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiU685URPlPzpR-GBVknR9FamuXsZRf773lZNn6TetCaMYILAMULHbznQsr1dgI1hP86n_iAHq2h1FcYS_WPHBsMZIrHG6ISQlFF8KlAy9r0Fk1gsyr0rGX393qid0Jb2Y4emPCv0q3yBo/s1600/SPX_IC_PLT_20-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiU685URPlPzpR-GBVknR9FamuXsZRf773lZNn6TetCaMYILAMULHbznQsr1dgI1hP86n_iAHq2h1FcYS_WPHBsMZIrHG6ISQlFF8KlAy9r0Fk1gsyr0rGX393qid0Jb2Y4emPCv0q3yBo/s400/SPX_IC_PLT_20-W.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgLfZLeF4xiFTZKNeRTVxzMZ80fd8BsPrt4IJASKDN4pdfMb5lCDVFUfD3-b6h8gMqHPRLkwDfs-BLk5QAmaANZTXQID01Xr3t7PptZlZ-H0VKsQAzMLZMFYEJJB_SwQHrM5KFzlaO9aS0/s1600/SPX_IC_PLT_20-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgLfZLeF4xiFTZKNeRTVxzMZ80fd8BsPrt4IJASKDN4pdfMb5lCDVFUfD3-b6h8gMqHPRLkwDfs-BLk5QAmaANZTXQID01Xr3t7PptZlZ-H0VKsQAzMLZMFYEJJB_SwQHrM5KFzlaO9aS0/s400/SPX_IC_PLT_20-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
The weekly results are again more tightly grouped than the monthly results. The weekly data can result in approximately four times as many trades as the monthly data. This increase in the number of trades in the weekly data reduces the impact of those trades with "extreme" results (both positive and negative).<br />
<br />
<br />
<b><u>Win Rate</u></b><br />
<br />
<ul>
<li><u><i>8 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>The 50% profit taking level outperforms the other profit taking levels at 8 delta. The win rate lines appear to be grouped more by profit taking level than by IC structure type.</li>
</ul>
</ul>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjZ6G0loecGZJ9KkwyF1-zC0HgPPW3kuJ0vvRN1mCFqg2jktPBoyknGM5Cy54MKeDC_HM9kDfZ8-abQQSLnsY93S8_Ebs5Cz8t1Npak5eoYiQnilAMj8z-zgMEpNgAlHOCufcER4AXM6QI/s1600/SPX_IC_WR_08-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjZ6G0loecGZJ9KkwyF1-zC0HgPPW3kuJ0vvRN1mCFqg2jktPBoyknGM5Cy54MKeDC_HM9kDfZ8-abQQSLnsY93S8_Ebs5Cz8t1Npak5eoYiQnilAMj8z-zgMEpNgAlHOCufcER4AXM6QI/s400/SPX_IC_WR_08-W.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEherJkot0YfbfozaO2zBzh3XFoM-AIQfTbdqct8DBL0FWsvY6j_MImYOdDLYySSoVg_U1WZqjcLzxSibAK9jVXE1ASEcmFZUPfSD6_7Imf4bSJT99ceqj3O-qkDTKkqhlTVwLcR3ts09dQ/s1600/SPX_IC_WR_08-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEherJkot0YfbfozaO2zBzh3XFoM-AIQfTbdqct8DBL0FWsvY6j_MImYOdDLYySSoVg_U1WZqjcLzxSibAK9jVXE1ASEcmFZUPfSD6_7Imf4bSJT99ceqj3O-qkDTKkqhlTVwLcR3ts09dQ/s400/SPX_IC_WR_08-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<ul>
<li><u><i>12 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>At 12 delta, the 50% profit taking level again outperforms the other profit taking levels. At this delta and 50% profit taking level, the delta neutral structure outperforms the other IC structure types.</li>
</ul>
</ul>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg0wobxjtsIyr287M8-r-zkOWZsjHKh9ttn0yxVuu7yvB8Vg7x6YtLgSYmY3YdYzZ3uqOIMlSRI2Toh69UZsqFJSLJ8MChAiHU_569kCLHA-gqnYm7eAk5L19fAY4wvMMY3wjpNahOWEMA/s1600/SPX_IC_WR_12-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg0wobxjtsIyr287M8-r-zkOWZsjHKh9ttn0yxVuu7yvB8Vg7x6YtLgSYmY3YdYzZ3uqOIMlSRI2Toh69UZsqFJSLJ8MChAiHU_569kCLHA-gqnYm7eAk5L19fAY4wvMMY3wjpNahOWEMA/s400/SPX_IC_WR_12-W.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjQMwiuQtlCUWEcry0qj-9dwDN5QY7vOsP0T4rjWzYso2jY5TDtgJr8pG3gPI7D4KDj8lhwyRQ8rpVlXkd5C9Isql7OFDHyy9PPLNxWoK0S1eDrgc3CodzwlhtBZZXH9zavH8fNWwp816w/s1600/SPX_IC_WR_12-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjQMwiuQtlCUWEcry0qj-9dwDN5QY7vOsP0T4rjWzYso2jY5TDtgJr8pG3gPI7D4KDj8lhwyRQ8rpVlXkd5C9Isql7OFDHyy9PPLNxWoK0S1eDrgc3CodzwlhtBZZXH9zavH8fNWwp816w/s400/SPX_IC_WR_12-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<ul>
<li><u><i>16 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>At 16 delta, win rate grouping by profit taking level is even more pronounced.</li>
</ul>
</ul>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhQbWVKMw4wNom4iTZZHpTUhMu9kMUbcvXBlt_94DMAKcKsgeOwqQcIAiAaAn2ULesg41MMwLdbpUMfehafI0cbhyaWDFbJ_1YEHE7b3y7Uvoe1ilch_eJKguk_8c4ZEMfyueYkLshoX_s/s1600/SPX_IC_WR_16-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhQbWVKMw4wNom4iTZZHpTUhMu9kMUbcvXBlt_94DMAKcKsgeOwqQcIAiAaAn2ULesg41MMwLdbpUMfehafI0cbhyaWDFbJ_1YEHE7b3y7Uvoe1ilch_eJKguk_8c4ZEMfyueYkLshoX_s/s400/SPX_IC_WR_16-W.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj6iQ0fZ1NVUdFN62vPckiGdWh6ZkAIefqaABmFoiz-suKlrCMhHATgpjt3v2luZ1-lzFhcsl2THtMCQLtqIvfVWiDe2O3dEDa1X6Vr4PkW3Jye9WJsKi8kIG1CFbJ2z3MyiAhoQcHg008/s1600/SPX_IC_WR_16-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj6iQ0fZ1NVUdFN62vPckiGdWh6ZkAIefqaABmFoiz-suKlrCMhHATgpjt3v2luZ1-lzFhcsl2THtMCQLtqIvfVWiDe2O3dEDa1X6Vr4PkW3Jye9WJsKi8kIG1CFbJ2z3MyiAhoQcHg008/s400/SPX_IC_WR_16-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<ul>
<li><u><i>20 delta short strikes (weekly data top, monthly data bottom)</i></u></li>
<ul>
<li>At 20 delta, the win rate grouping by profit taking level is even stronger. The 50% profit taking level is the clear win rate winner.</li>
</ul>
</ul>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiMnO6xd6RaZD2Jyu_NbzZf3Do566QaudUr-KFaWv4AmKJJuYpNlKNvEkAeYrRWZzfp7dZrccWSH_tGpdHDWz6cNth4Y2-qitJYr_2FtSlptcy4w_NOMjr7TghW0Js7mCB9D0lNVmIOkBM/s1600/SPX_IC_WR_20-W.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiMnO6xd6RaZD2Jyu_NbzZf3Do566QaudUr-KFaWv4AmKJJuYpNlKNvEkAeYrRWZzfp7dZrccWSH_tGpdHDWz6cNth4Y2-qitJYr_2FtSlptcy4w_NOMjr7TghW0Js7mCB9D0lNVmIOkBM/s400/SPX_IC_WR_20-W.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhZ9jkiXdrIo056LavGYckGp4EnfLsYC4LPUtYMjvAgB2mtff0PMThO2fTQpLx7Vrpihh6Vtwrtg7QOVgyIPe9_h1syUGqTu8Oiij4GbLzNSy35XJUMUxRIY7TFV4IUGb7iPF15ThlX0io/s1600/SPX_IC_WR_20-M.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="78" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhZ9jkiXdrIo056LavGYckGp4EnfLsYC4LPUtYMjvAgB2mtff0PMThO2fTQpLx7Vrpihh6Vtwrtg7QOVgyIPe9_h1syUGqTu8Oiij4GbLzNSy35XJUMUxRIY7TFV4IUGb7iPF15ThlX0io/s400/SPX_IC_WR_20-M.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
In general, the win rate lines have a steeper slope from the 100% loss taking level to the 200% loss taking level. The slope tapers off after the 200% loss taking level. When we review the P&L per trade numbers at the 100% loss taking level and 200% loss taking level, in general these P&L per trade numbers decrease as we move from the 100% loss taking level to the 200% loss taking level. Even though the win rate is lower at the 100% loss taking level, the <i>total losses</i> are lower at this level, resulting in a greater P&L per trade value at the 100% loss taking level.<br />
<br />
There are several "take-aways" from the results shown in these two articles:<br />
<ol>
<li>As short strike deltas are increased, take profits at lower profit taking levels. For example, at 8 delta, take profits at 75%, while at 20 delta, take profits at 50%.</li>
<li>The extra long put structure generally under performs the delta neutral and standard balanced structures.</li>
<li>At lower short strike deltas, there is value in using the delta neutral structure. As short strike delta increases, the value in the delta neutral structure decreases.</li>
<li>At the 50% profit taking level you will generally be out of your trade for a profit between 15 and 20 days. If you haven't hit your profit target in 20 days, you should close your trade.</li>
<li>The 50% profit taking level has a higher win rate than the other profit taking levels.</li>
<li>The 100% loss taking level generally has a higher P&L per trade than the 200% and larger loss taking levels.</li>
<li>The 100% loss taking level generally has a lower win rate than the larger loss taking levels.</li>
</ol>
<br />
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<i><br /></i>Unknownnoreply@blogger.com2tag:blogger.com,1999:blog-771169794002155719.post-16852958611024964362016-12-22T08:00:00.000-07:002016-12-22T08:00:33.549-07:0038 DTE Iron Condor Results SummaryThe introduction to this series, <a href="http://dtr-trading.blogspot.com/2016/12/new-iron-condor-series-introduction.html"><b>here</b></a>, described the different variations of SPX iron condors (IC) and exits that were tested at 38 days to expiration (DTE). Recall, the tests covered 9 IC variations, with short strike deltas at four locations, utilizing 12 exits. In all, there were 432 test runs (9 variations x 4 deltas x 12 exits). Each test run executed more than 200 SPX IC trades between the Jan-2007 expiration and the Sep-2016 expiration. I used weekly options for this testing, so there were more than 12 trades per year. In total, there were 97,416 total trades entered for the 38 DTE testing.<br />
<br />
There are six groupings of charts below, with each grouping containing 12 charts. Each row corresponds to a short delta (row 1 = 8 delta, row 2 = 12 delta, row 3 = 16 delta, row 4 = 20 delta), and each column corresponds to an IC wing width (column 1 = 25 points, column 2 = 50 points, column 3 = 75 points).<br />
<br />
Each of the charts contains data for the 12 exits for each of the three primary IC structures (standard balanced - ST, extra long put - EL, delta neutral - DN).<br />
<br />
All of the charts are structured similarly:<br />
<ul>
<li style="border: none; margin: 0px 0px 0.25em; padding: 0.25em 0px;">Each colored line in a chart represents a particular type of IC structure:</li>
<ul>
<li style="border: none; margin: 0px 0px 0.25em; padding: 0.25em 0px;">Blue lines are for standard balanced ICs (ST)</li>
<li style="border: none; margin: 0px 0px 0.25em; padding: 0.25em 0px;">Red lines are for extra long put ICs (EL)</li>
<li style="border: none; margin: 0px 0px 0.25em; padding: 0.25em 0px;">Green lines are for delta neutral ICs (DN)</li>
</ul>
<li style="border: none; margin: 0px 0px 0.25em; padding: 0.25em 0px;">The lines styles are associated with a particular profit taking approach:</li>
<ul>
<li style="border: none; margin: 0px 0px 0.25em; padding: 0.25em 0px;">Solid lines represent profit taking at 50% of the credit received</li>
<li style="border: none; margin: 0px 0px 0.25em; padding: 0.25em 0px;">Dashed lines represent profit taking at 75% of the credit received</li>
<li style="border: none; margin: 0px 0px 0.25em; padding: 0.25em 0px;">Dotted lines represent closing the trade at 2 DTE with no profit taking target (NA)</li>
</ul>
<li style="border: none; margin: 0px 0px 0.25em; padding: 0.25em 0px;">The X-axis displays the loss taking percentage level in terms of the credit received:</li>
<ul>
<li style="border: none; margin: 0px 0px 0.25em; padding: 0.25em 0px;">100%, 200%, 300%, and no loss taking level / closing at 2 DTE (NA)</li>
</ul>
</ul>
<br />
<b><u>Normalized P&L per Day</u></b><br />
<br />
This first set of charts shows normalized P&L Per Day percentages. A couple of notes on these charts:<br />
<ul>
<li style="border: none; margin: 0px 0px 0.25em; padding: 0.25em 0px;">The Y-axis scale is the same for all the P&L per day charts in this blog post</li>
<li style="border: none; margin: 0px 0px 0.25em; padding: 0.25em 0px;">The Y-axis displays the average normalized percent P&L per day</li>
<li>Each of the 432 test runs is represented in the 12 charts below, and each test run had a different average days-in-trade (DIT). The number DIT obviously impacts the average P&L <i><u>per day</u></i></li>
<li>The max risk for a 25 point 8 delta IC will be approximately half the max risk for a 50 point 8 delta IC. The P&L per day values 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</li>
</ul>
A couple of trends are clear:<br />
<ol>
<li>There is more variability in P&L per day readings in the 25 point wing width ICs</li>
<li>As the delta of the short strikes increases, the variability in the P&L per day readings increases</li>
<li>The largest reading was 0.18% and was associated with the ST (100:50), 50 point wings, 20 delta</li>
<li>The next best reading was 0.17% and was associated with three test runs: </li>
<ol>
<li>ST (100:50), 25 point wings, 20 delta</li>
<li>ST (100:75), 25 point wings, 16 delta</li>
<li>DN(100:50), 25 point wings, 20 delta</li>
</ol>
</ol>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgKTs8glPHwvDNb-oNOj609_lpd61__h5Nhg7ZG5xYvHBDOiglNHhmJCkSP0vsmmRddIxHW4Az242Fvg6SGAyaS9h3XG1RBg3dpQWimYqbnBYGr_F5UWfN9FaLvIanhhZMidNsvZmnza6M/s1600/SPX_IC_PLD_08-12.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgKTs8glPHwvDNb-oNOj609_lpd61__h5Nhg7ZG5xYvHBDOiglNHhmJCkSP0vsmmRddIxHW4Az242Fvg6SGAyaS9h3XG1RBg3dpQWimYqbnBYGr_F5UWfN9FaLvIanhhZMidNsvZmnza6M/s400/SPX_IC_PLD_08-12.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi1luPFDYRAsC258xrOhyLcj4C1B7QY7Lp5SMtAwsQf-VZiaMhWfzsp0_84RhkRILacMzwrIYjd8Tffwz1ZfdC-zeoDnf1NXu3B9EiRLc_DAJtuoPU-9ZEeNi8_QhiHOTc51k5Da0TMBTs/s1600/SPX_IC_PLD_16-20.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi1luPFDYRAsC258xrOhyLcj4C1B7QY7Lp5SMtAwsQf-VZiaMhWfzsp0_84RhkRILacMzwrIYjd8Tffwz1ZfdC-zeoDnf1NXu3B9EiRLc_DAJtuoPU-9ZEeNi8_QhiHOTc51k5Da0TMBTs/s400/SPX_IC_PLD_16-20.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
<br />
<br />
<b><u>Normalized P&L per Trade</u></b><br />
<br />
The normalized P&L per trade charts are organized in the same way as the normalized P&L per day charts. Also note that these returns are expressed as a percentage of the max risk for a particular test run. There were 432 test runs, with each test run including 200+ trades. In a test run, the $ returns for each of these trades varied slightly, as well as the $ max risk for each of these trades. The $ returns were averaged, and this $ average was divided by the largest $ max risk for all of the 200+ trades in that run. This is the normalized P&L for that test run...with all 432 of these data points displayed in the 12 charts below.<br />
<br />
We see the following in the data:<br />
<ol>
<li>We can see that the variability in normalized P&L per trade again increases as the delta of the short strike increases, and decreases with increasing wing width.</li>
<li>The largest normalized P&L per trade was 4.3% for the ST (200:75), 25 point wings, 16 delta</li>
<li>The top four P&L per trade variations were all associated with profit taking at 75%, wing widths of 25 points, and short strike deltas of 16</li>
<li>The top <i><u>P&L per day</u></i> variations came in the following positions in terms of P&L per trade:</li>
<ol>
<li>ST (100:50), 50 point wings, 20 delta came in 7th place -> 3.4%</li>
<li>ST (100:50), 25 point wings, 20 delta came in 11th place -> 3.4%</li>
<li>ST (100:75), 25 point wings, 16 delta came in 2nd place -> 4.1%</li>
<li>DN(100:50), 25 point wings, 20 delta came in 5th place -> 3.5%</li>
</ol>
</ol>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhRXCnjfAHCQHmKkyZ7u_H_rMZTNLS9TURRdPgaeh8wM312QjHkUxfyRYJaCx3xj9Z4LvAf1vQViRHYHpOhZtm-U97DNhPlDhIuGKlm-2Qu5cbEsTk6AMhh3x15SVXGZe4KBVwvCN-_HMw/s1600/SPX_IC_PLT_08-12.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhRXCnjfAHCQHmKkyZ7u_H_rMZTNLS9TURRdPgaeh8wM312QjHkUxfyRYJaCx3xj9Z4LvAf1vQViRHYHpOhZtm-U97DNhPlDhIuGKlm-2Qu5cbEsTk6AMhh3x15SVXGZe4KBVwvCN-_HMw/s400/SPX_IC_PLT_08-12.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhI6GqRFZYIgWr-Gn8i0Cv6jHbwcwkTE_vOWuIqnmbpHsDZ_cPqLyjbB2QqwQeVeglXMMQZINTqSkUwhTnk5QPwvnMmulr74kWqsRMvrE9KDjxMFPIRIea_U7cWDEl_UeouiZnbxfjVFXU/s1600/SPX_IC_PLT_16-20.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhI6GqRFZYIgWr-Gn8i0Cv6jHbwcwkTE_vOWuIqnmbpHsDZ_cPqLyjbB2QqwQeVeglXMMQZINTqSkUwhTnk5QPwvnMmulr74kWqsRMvrE9KDjxMFPIRIea_U7cWDEl_UeouiZnbxfjVFXU/s400/SPX_IC_PLT_16-20.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<br />
<b><u>Win Rate</u></b><br />
<br />
The chart structure should be familiar to you by now, so I'll not review the chart layouts. The win rate trends are clear:<br />
<ol>
<li>Win rates tend to increase as wing widths increase</li>
<li>Win rates tend to increase as the delta of the short strike decreases</li>
<li>The top win rate was 92%, and was associated with these five strategies:</li>
<ol>
<li>DN (NA:50), wing width 75, 8 delta</li>
<li>DN (NA:50), wing width 50, 8 delta</li>
<li>ST (NA:50), wing width 50, 8 delta</li>
<li>ST (NA:50), wing width 75, 8 delta</li>
<li>DN (NA:50), wing width 25, 8 delta</li>
</ol>
<li>The top 10 strategies all had win rates of 91% or better...and all 10 had two variables in common...they took profits at 50%, and none of them used loss exits (they exited at 2 DTE). 8 of these 10 also had short strike deltas of 8.</li>
</ol>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjsIyvn0ec9ZO3zSFCwFD8zFgCHwfyq-mj6FO5_7tz3MBmwD1ENsgxAEdQqGoCX2yT6DtQ0gpGcvRDQvIJ9WpVclE-fL478EIBbDbJaOTGCynF7cI-lNZYXPHCUeiOWFmKyHPWZU7XV7Oo/s1600/SPX_IC_WR_08-12.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjsIyvn0ec9ZO3zSFCwFD8zFgCHwfyq-mj6FO5_7tz3MBmwD1ENsgxAEdQqGoCX2yT6DtQ0gpGcvRDQvIJ9WpVclE-fL478EIBbDbJaOTGCynF7cI-lNZYXPHCUeiOWFmKyHPWZU7XV7Oo/s400/SPX_IC_WR_08-12.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhjVCjHct1jwfdkvzAHMzew8_LWip18zN14Aa8Uo_oM-4BZnUlCRUm6YFIti8LGVUpC_z6LTJ7e8i4PAt-wCf_lmMIguzwmolo0ziAe8i7WFoSOC55Zt5vGM1wBM6WTxaHMfSkQR8LNkXs/s1600/SPX_IC_WR_16-20.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhjVCjHct1jwfdkvzAHMzew8_LWip18zN14Aa8Uo_oM-4BZnUlCRUm6YFIti8LGVUpC_z6LTJ7e8i4PAt-wCf_lmMIguzwmolo0ziAe8i7WFoSOC55Zt5vGM1wBM6WTxaHMfSkQR8LNkXs/s400/SPX_IC_WR_16-20.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
</tbody></table>
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<br />
<b><u>Largest Loss</u></b><br />
<br />
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 defined risk number for all of the 200+ trades in a test run. Here are the trends:<br />
<ol>
<li>The largest loss percentage increases with increasing short strike delta</li>
<li>The largest loss percentage increases with increasing loss taking level...surprise! :)</li>
<li>The top 24 largest losses all occurred with strategies with 25 point wing widths, and had losses of 95% or greater</li>
<li>The top 4 <u><i>smallest losses</i></u> all occurred with strategies with 75 point wing widths and 8 delta short strikes:</li>
<ol>
<li>DN (100:50), 75 point wings, 8 delta -> 15% loss</li>
<li>DN (100:75), 75 point wings, 8 delta -> 15% loss</li>
<li>ST (100:50), 75 point wings, 8 delta ->15% loss</li>
<li>ST (100:75), 75 point wings, 8 delta -> 15% loss</li>
</ol>
</ol>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj41NRdD759j6IFZ5zbnxIrJUX5yEXcN18dvoknQ3tMeaJIVleAGRVs8mYXZFgHEWr-dyl_cLyccBClHL55SytdBQgp4o-YaYrDZ-Ie5XzqCRn5L90Wb-Ml7YUJLK_L_nmnFiGCfo1KXJA/s1600/SPX_IC_LL_08-12.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj41NRdD759j6IFZ5zbnxIrJUX5yEXcN18dvoknQ3tMeaJIVleAGRVs8mYXZFgHEWr-dyl_cLyccBClHL55SytdBQgp4o-YaYrDZ-Ie5XzqCRn5L90Wb-Ml7YUJLK_L_nmnFiGCfo1KXJA/s400/SPX_IC_LL_08-12.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiBtDzw8R2ZJ972JkQ8lAICaXScC92QaHpslU4oaS-UTpQTmRK6dxOsEVOWqai_302aCFvgQC4Kwf1U-x6UXs1F2Qg3M5izKUTBwatXVWCMeaBA6GnNQBgcGO32nxSNsArcih1YKw9d9r0/s1600/SPX_IC_LL_16-20.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiBtDzw8R2ZJ972JkQ8lAICaXScC92QaHpslU4oaS-UTpQTmRK6dxOsEVOWqai_302aCFvgQC4Kwf1U-x6UXs1F2Qg3M5izKUTBwatXVWCMeaBA6GnNQBgcGO32nxSNsArcih1YKw9d9r0/s400/SPX_IC_LL_16-20.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
<u><b>Profit Factor</b></u><br />
<br />
The best 15 profit factors were associated with delta neutral trades with 8 delta short strikes. The top performers were:<br />
<ol>
<li>DN (NA:NA), 75 point wings, 8 delta -> 2.0</li>
<li>DN (NA:75), 50 point wings, 8 delta -> 1.9</li>
<li>DN (NA:75), 75 point wings, 8 delta -> 1.9</li>
<li>DN (NA:NA), 50 point wings, 8 delta -> 1.9</li>
<li>DN (300:75), 50 point wings, 8 delta -> 1.9 </li>
</ol>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgtV10O1jyLVT60ZwjFREOJK-nh0HvpnK57HvxibNWfDEpi40DJriWeU1Qx6SZaszr2dDKkWJL06U4OgcUKuI7jHCxCLpgLf3X_gtkEUJ8XBJQydBEMBiqzs_194vIuKys0uHxfiSs50B0/s1600/SPX_IC_PF_08-12.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgtV10O1jyLVT60ZwjFREOJK-nh0HvpnK57HvxibNWfDEpi40DJriWeU1Qx6SZaszr2dDKkWJL06U4OgcUKuI7jHCxCLpgLf3X_gtkEUJ8XBJQydBEMBiqzs_194vIuKys0uHxfiSs50B0/s400/SPX_IC_PF_08-12.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjL63QP9bS-pYEqhRPFgzdap55Un22zevtXfzpIMvxg2j7OoamDSlg3kU2fPeBSyI2k3lMthXUA5vXuiEDtjO7tTHDW-ALeAqaZXKcJITJU8eUAunsspQrpmsRNT-TzNsd3XCRR64GfB6U/s1600/SPX_IC_PF_16-20.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjL63QP9bS-pYEqhRPFgzdap55Un22zevtXfzpIMvxg2j7OoamDSlg3kU2fPeBSyI2k3lMthXUA5vXuiEDtjO7tTHDW-ALeAqaZXKcJITJU8eUAunsspQrpmsRNT-TzNsd3XCRR64GfB6U/s400/SPX_IC_PF_16-20.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
<u><b>Average DIT For Winning Trades</b></u><br />
<br />
This metric was derived by averaging all of the DIT for all of the <i><u>winning trades</u></i> in test run. If you are basing your IC trading on one of the 432 variations in my backtesting, you'll want to keep an eye on these DIT numbers. Adding a DIT exit to your profit and loss exits is worth considering.<br />
<br />
Here are a few trends:<br />
<ol>
<li>The larger the delta of your short strikes the longer you'll need to stay in your trades</li>
<li>The larger your profit taking level, the longer you'll need to stay in your trade...surprise! :)</li>
<li>The 50% profit taking level should have you out of the trade in less than 20 days for a 38 DTE IC</li>
<li>The smallest winning trade DITs were associated with 8 delta short strikes, profit taking at 50%, and loss taking at 100%...the structure type (ST, EL, DN) did not matter as seen in the charts</li>
</ol>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi8gjVkX6ry0rre1mAlDtyDvjxse-Au4Oz_bS5LFMp-h_0Z7EnP22Hy9jDTEBZnX6u0VsWnlgPVWBL4_Svb1RmaJ3Ae6nIFxTbvzzCgvjnZwNKsqOwRzQCQR6r9KNgleKMUV1nTJ9Q82ps/s1600/SPX_IC_WDIT_08-12.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi8gjVkX6ry0rre1mAlDtyDvjxse-Au4Oz_bS5LFMp-h_0Z7EnP22Hy9jDTEBZnX6u0VsWnlgPVWBL4_Svb1RmaJ3Ae6nIFxTbvzzCgvjnZwNKsqOwRzQCQR6r9KNgleKMUV1nTJ9Q82ps/s400/SPX_IC_WDIT_08-12.PNG" width="400" /></a></div>
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEibiQip4sPSk-r0mLijnuCfGNoCFuUvam7VcEgfL_hhf4xS-AH5fzT1UEK4zz9GwZT5_G58ExKbo9JGPNyNFLq6DRgRQWFAj9osgvu4dlmnQ8rN-uPzjPOGMud1efhfuzTQG9xnkACIgtE/s1600/SPX_IC_WDIT_16-20.PNG" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEibiQip4sPSk-r0mLijnuCfGNoCFuUvam7VcEgfL_hhf4xS-AH5fzT1UEK4zz9GwZT5_G58ExKbo9JGPNyNFLq6DRgRQWFAj9osgvu4dlmnQ8rN-uPzjPOGMud1efhfuzTQG9xnkACIgtE/s400/SPX_IC_WDIT_16-20.PNG" width="400" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">(click to enlarge)</td></tr>
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<br />
A part two to this article will follow some time next week.<br />
<br />
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