SPX Iron Condor - 2018 Review

In this post we'll look at how the SPX iron condor has been performing since I last analyzed its results back in 2016 (here). For this article, we'll just look at the following variations and how they performed from January 2007 through December 2018:

1. 66 DTE - 25 pt wings, 12 Delta (200:50) / 2 DTE - exit if the trade has a loss of 200% of its initial credit OR if the trade has a profit of 50% of its initial credit OR at 2 DTE.
2. 66 DTE - 25 pt wings, 12 Delta (200:50) / 33 DTE - exit if the trade has a loss of 200% of its initial credit OR if the trade has a profit of 50% of its initial credit OR at 33 DTE.
3. 73 DTE - 25 pt wings, 12 Delta (200:50) / 2 DTE - exit if the trade has a loss of 200% of its initial credit OR if the trade has a profit of 50% of its initial credit OR at 2 DTE.
4. 73 DTE - 25 pt wings, 12 Delta (200:50) / 37 DTE - exit if the trade has a loss of 200% of its initial credit OR if the trade has a profit of 50% of its initial credit OR at 37 DTE.
5. 45 DTE - 25 pt wings, 16 Delta (200:50) / 2 DTE - exit if the trade has a loss of 200% of its initial credit OR if the trade has a profit of 50% of its initial credit OR at 2 DTE.
6. 45 DTE - 25 pt wings, 16 Delta (200:50) / 22 DTE - exit if the trade has a loss of 200% of its initial credit OR if the trade has a profit of 50% of its initial credit OR at 22 DTE.

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.

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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.

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The metrics in both tables above have mostly either worsened or stayed the same across all variations.

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.

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In case you're interested, I've included the updated return percentages for each variation below.

(average return per year: 41.7%)

(average return per year: 43.9%)

(average return per year: 17.4%)

(average return per year: 16.9%)

(average return per year: 32.2%)

(average return per year: 20.6%)

2018 had some of the lowest returns for these iron condors, with all the returns lower than their average annual returns.


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