- Standard: 10 put credit spreads, and 10 call credit spreads
- Delta Neutral: 10 put credit spreads, and from 5 to 10 call credit spreads - the number is adjusted at trade initiation to create a delta neutral IC. This structure will reduce losses when up moves occur during the life of the trade.
- Extra Long Put: 10 put credit spreads, 10 call credit spreads, and 1 extra long put. This structure will reduce losses when down moves occur during the life of the trade.
The non-compounded annual growth rates for the three versions of the RUT "no touch" IC trades are shown in the first table. The returns are fairly similar at higher days to expiration (DTE) (e.g. 80 DTE), but then start to diverge at lower DTE (e.g. 38 DTE). The lower DTE strikes have less implied volatility (IV), and the long options in the credit spreads help the overall position less during underlying price movement (delta and gamma).
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The percent of winning trades for each of the three trade versions is shown in the next table. At 80 DTE, the Delta Neutral and Extra Long Put versions have higher win rates. At 66 DTE, there is not a strong pattern present between the versions and their short strike deltas...the three versions have approximately the same win rate for a given short strike delta. At 52 DTE, the Standard version has the lowest win rate across deltas. This pattern reverses at 38 DTE, with the Standard version having the highest win rate across short strike deltas.
(click to enlarge)
The starting structure of each of the three versions does not have a large impact on win rate in general...all three versions are fairly similar in terms of win rate.
The best trade for each of the three trade versions is shown in the next table. As we would expect, the Standard version always has the best trade (in terms of percent return) for each DTE / delta combination. This version contains more credit spreads than the Delta Neutral version, and did not pay for an extra long as with the Extra Long Put version. At higher DTE, the next best is the Delta Neutral version...and this is related to not paying for the extra long that was needed in the Extra Long Put version.
(click to enlarge)
The worst trade for each of the three trade versions is shown in the next table. In general, the version with the smallest worst trade is the Extra Long Put version. This suggests that the the worst trades across the time period tested occurred to the downside...where the extra long put reduced the loss.
(click to enlarge)
Additional summary statistics for all of the trade versions across all DTE and short strike deltas is shown in the table below.
(click to enlarge)
You can get a copy of the above data, as well as all of the other summary statistics for these trades, by downloading the spreadsheet from the following page:
http://dtr-trading.blogspot.com/p/backtesting-statistics.html
The details associated with each of the backtests can be found in the posts below:
- Standard Iron Condor - RUT - 38 DTE
- Standard Iron Condor - RUT - 52 DTE
- Standard Iron Condor - RUT - 66 DTE
- Standard Iron Condor - RUT - 80 DTE
- Delta Neutral Iron Condor - RUT - 38 DTE
- Delta Neutral Iron Condor - RUT - 52 DTE
- Delta Neutral Iron Condor - RUT - 66 DTE
- Delta Neutral Iron Condor - RUT - 80 DTE
- Extra Long Put Iron Condor - RUT - 38 DTE
- Extra Long Put Iron Condor - RUT - 52 DTE
- Extra Long Put Iron Condor - RUT - 66 DTE
- Extra Long Put Iron Condor - RUT - 80 DTE
In the next post I will compare the summary statistics for the three versions of the SPX "no touch" IC trades (Standard, Delta Neutral, and Extra Long Put).
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