RUT Iron Condor - Dynamic Exit - 80 DTE - 16 Delta Continued

This post is a continuation of the prior post. In this post we will look at the backtest results for dynamic exits of the 80 days-to-expiration (DTE) Iron Condor (IC), with 16 delta short strikes, with different profit and loss exits as a percentage of the initial credit.  Recall that these RUT ICs were all constructed with 20 point wide credit spreads.  This is a non-directional options trading strategy that seeks to profit from a market that stays within a range between the two short strikes of the Iron Condor.

For some background on how the results are presented and to read my prior dynamic exit posts, please visit the summary page: Dynamic Exit Iron Condor Articles.

As discussed in the two overview posts on the summary page above, we will look at the same three Iron Condor starting structures that have been backtested on this blog: Standard (STD), Delta Neutral (DN), and Extra Long Put (EL).

In this post we will only look at the Initial Credit % Profit/Loss Exit on each of the three starting structures:

• 0.6:0.9 - This is an Initial Credit % Profit/Loss Exit. Trades using this exit strategy either exit at 8 DTE OR if the trade has a profit of 90% of its initial credit OR if the trade has a loss of 60% of its initial credit.  This can also be thought of as risk:reward; risking 60% to make 90%.

This equity curve chart below is similar to the equity curves in my prior posts.  In the chart below, all of the STD Iron Condor versions have blue equity curves, all of the DN Iron Condor versions have green equity curves, and all of the EL Iron Condor versions have red equity curves.  The solid lines represent the equity curves for the "no touch" version, while the dashed lines represent the equity curves for the dynamically exited versions.

(click to enlarge)

The dynamic exit versions tested were closed at either 8 DTE or a profit of 90% of the initial credit received.  The parameters that varied were the risk or loss amount.  The trades were closed for a loss if the loss was either 60%, 70%, or 80% of the initial credit received.  Once again, all four of the Standard Iron Condor options trading strategy (STD) versions outperformed all of the Delta Neutral (DN) and Extra Long Put (EL) versions.  The top performers in terms of overall return, in order were the STD with no dynamic exit, STD-0.6:0.9, STD-0.7:0.9, and STD-0.8:0.9.  The STD-0.6:0.9 version closed at either 8 DTE, a profit of 90% of the initial credit received, or a loss of 60% of the initial credit received.

The results by year, for each of the 80 DTE, 16 delta short Iron Condor options trading strategy versions are shown in the table below.

(click to enlarge)

The details associated with each of the starting structure backtests can be found in the posts below:

• Standard Iron Condor - RUT - 80 DTE
• Delta Neutral Iron Condor - RUT - 80 DTE
• Extra Long Put Iron Condor - RUT - 80 DTE

In the next post I will show the results for the 80 DTE, 20 delta short strike Iron Condor options trading strategy.

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", "Follow By Email", and "Twitter".  I follow blogs by RSS using Feedly, but any RSS reader will work.

RUT Iron Condor - Dynamic Exit - 80 DTE - 16 Delta

You may have noticed that I am posting more frequently than in the past.  About three weeks ago, I went from posting every other day to posting five times per week.  Last weekend, after a backtest run involving 26,000 trades, I decided I wanted to push through the last of the dynamic exit articles by this weekend...hence the twice daily postings this week.  I may not finish all of these postings by this weekend, but I will be close.  By mid next week, I will move on to strangle backtests, and some others.

In this post we will look at the backtest results for dynamic exits of the 80 days-to-expiration (DTE) Iron Condor (IC) options strategy, with 16 delta short strikes, with different profit and loss exits.  This is a non-directional options trading strategy that seeks to profit from a market that stays within a range between the two short strikes of the Iron Condor.

For some background on how the results are presented and to read my prior dynamic exit posts, please visit the summary page: Dynamic Exit Iron Condor Articles.

As discussed in the two overview posts on the summary page above, we will look at the same three Iron Condor starting structures that have been backtested on this blog: Standard (STD), Delta Neutral (DN), and Extra Long Put (EL).

Also as discussed in the two overview posts, we will look at three different exits on each of these three starting structures:

• ML40% - this is a Margin Loss % Exit.  Trades using this exit strategy either exit at 8 DTE OR if the trade has a loss greater than 40% of the margin requirement for the trade. (ML40% = Max Loss 40%)
• BSP - this is a Price Movement Exit.  Trades using this exit strategy either exit at 8 DTE OR if the price of the underlying (RUT) moves below the strike of the short put.  (BSP = Below Short Put).
• 0.6:0.6 - This is an Initial Credit % Profit/Loss Exit. Trades using this exit strategy either exit at 8 DTE OR if the trade has a profit of 60% of its initial credit OR if the trade has a loss of 60% of its initial credit.  This can also be thought of as risk:reward; risking 60% to make 60%.

In the chart below, all of the STD Iron Condor versions have blue equity curves, all of the DN Iron Condor versions have green equity curves, and all of the EL Iron Condor versions have red equity curves.  The solid lines represent the equity curves for the "no touch" version, while the dashed lines represent the equity curves for the dynamically exited versions.

(click to enlarge)

The highest and second highest overall returns went to the Standard (STD) Iron Condor with the BSP exit, and the STD without a dynamic exit respectively.  The STD-BSP version closed at either 8 DTE or when the market moved below the short puts of iron condor.  The STD-0.6:0.6 and the DN-BSP variations were tied for third.

The details associated with each of the starting structure backtests can be found in the posts below:

• Standard Iron Condor - RUT - 80 DTE
• Delta Neutral Iron Condor - RUT - 80 DTE
• Extra Long Put Iron Condor - RUT - 80 DTE

In the next post I will show the results for the 80 DTE, 16 delta short strike Iron Condor options trading strategy, with varying Initial Credit % Profit/Loss Exits.

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", "Follow By Email", and "Twitter".  I follow blogs by RSS using Feedly, but any RSS reader will work.

RUT Iron Condor - Dynamic Exit - 80 DTE - 12 Delta Continued

This post is a continuation of the prior post. In this post we will look at the backtest results for dynamic exits of the 80 days-to-expiration (DTE) Iron Condor (IC), with 12 delta short strikes, with different profit and loss exits as a percentage of the initial credit.  Recall that these RUT ICs were all constructed with 20 point wide credit spreads.  This is a non-directional options trading strategy that seeks to profit from a market that stays within a range between the two short strikes of the Iron Condor.

For some background on how the results are presented and to read my prior dynamic exit posts, please visit the summary page: Dynamic Exit Iron Condor Articles.

As discussed in the two overview posts on the summary page above, we will look at the same three Iron Condor starting structures that have been backtested on this blog: Standard (STD), Delta Neutral (DN), and Extra Long Put (EL).

In this post we will only look at the Initial Credit % Profit/Loss Exit on each of the three starting structures:

• 0.6:0.9 - This is an Initial Credit % Profit/Loss Exit. Trades using this exit strategy either exit at 8 DTE OR if the trade has a profit of 90% of its initial credit OR if the trade has a loss of 60% of its initial credit.  This can also be thought of as risk:reward; risking 60% to make 90%.

This equity curve chart below is similar to the equity curves in my prior posts.  In the chart below, all of the STD Iron Condor versions have blue equity curves, all of the DN Iron Condor versions have green equity curves, and all of the EL Iron Condor versions have red equity curves.  The solid lines represent the equity curves for the "no touch" version, while the dashed lines represent the equity curves for the dynamically exited versions.

(click to enlarge)

The dynamic exit versions tested were closed at either 8 DTE or a profit of 90% of the initial credit received.  The parameters that varied were the risk or loss amount.  The trades were closed for a loss if the loss was either 60%, 70%, or 80% of the initial credit received.  Again, all four of the Standard Iron Condor options trading strategy (STD) versions outperformed all of the Delta Neutral (DN) and Extra Long Put (EL) versions.  The top performers in terms of overall return were the STD, followed by the STD-0.8:0.9, STD-0.6:0.9, and STD-0.7:0.9.  The STD-0.8:0.9 version closed at either 8 DTE, a profit of 90% of the initial credit received, or a loss of 80% of the initial credit received.

The results by year, for each of the 80 DTE, 12 delta short Iron Condor options trading strategy versions are shown in the table below.  Again, it is obvious from the color coding below that the initial credit based profit and loss exits have smaller swings in their P&L.

(click to enlarge)

The details associated with each of the starting structure backtests can be found in the posts below:

• Standard Iron Condor - RUT - 80 DTE
• Delta Neutral Iron Condor - RUT - 80 DTE
• Extra Long Put Iron Condor - RUT - 80 DTE

In the next post I will show the results for the 80 DTE, 16 delta short strike Iron Condor options trading strategy.

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", "Follow By Email", and "Twitter".  I follow blogs by RSS using Feedly, but any RSS reader will work.